Updated on 2024/05/02
Ph.D. in Economics ( Osaka University )
修士（経済学） ( 大阪大学 )
Osaka University Graduate School, Division of Economics doctor course finished without a degree after completion of required course credits
Osaka University Graduate School, Division of Economics master course completed
Osaka University Faculty of Economics graduated
2013.4 -
中央大学経済学部 教授
2011.10 - 2013.3
筑波大学システム情報系 社会工学域 准教授
2007.4 - 2011.9
筑波大学大学院システム情報工学研究科 准教授
2003.4 - 2007.3
立命館大学経営学部 講師
2001.4 - 2003.3
日本学術振興会 特別研究員
日本経営財務研究学会
日本経済学会
日本金融・証券計量・工学学会
日本ファイナンス学会
行動経済学会
アセット・プライシング コーポレート・ファイナンス フィナンシャル・リスク・マネジメント 行動ファイナンス
Humanities & Social Sciences / Money and finance / Money/Finance
Exchange Rate Forecasting via a Machine Learning Approach Reviewed
Chikashi Tsuji
iBusiness 14 ( 3 ) 119 - 126 2022.9
The meaning of structural breaks for risk management: New evidence, mechanisms, and innovative views for the post-COVID-19 era Reviewed
Chikashi Tsuji
Quantitative Finance and Economics 6 ( 2 ) 270 - 302 2022.5
Stock Return Jumps and Tail Risk Assessment: The Case of European Non-Euro Banking Sectors Reviewed
Chikashi Tsuji
International Business Research 15 ( 5 ) 53 - 62 2022.5
Exploring Stock Return Discontinuities in the Japanese Banking Industry Reviewed
Chikashi Tsuji
Journal of Management Research 14 ( 1 ) 37 - 45 2022.4
Spillovers and Dynamic Correlations between REITs, Exchange Rates, and Equities in Japan Reviewed
Chikashi TSUJI
Accounting and Finance Research 10 ( 4 ) 13 - 22 2021.11
Returns and Return Premia of Size and Investment Portfolios in Japan—A Conspectus Reviewed
Chikashi TSUJI
Modern Economy 12 869 - 877 2021.4
Size and Operating Profitability Portfolio Returns and Return Premia in Japan—A Tour d’horizon Reviewed
Chikashi TSUJI
Journal of Management Research 13 ( 2 ) 1 - 14 2021.4
New evidence on dynamic interactions between biofuel crops, crude oil, and US and European equities—A quinquevariate approach Reviewed
Chikashi Tsuji
Fuel 277 117765 2020.10
Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management Reviewed
Chikashi TSUJI
International Review of Financial Analysis 70 101392 2020.7
An Overview of Stock Portfolio Returns and Return Premia in Japan: The Case of Size and Book-to-Market Portfolios Reviewed
Chikashi TSUJI
International Journal of Social Science Studies 8 ( 4 ) 39 - 50 2020.7
An Analysis of Stock Return Transmission in North and Latin America Reviewed
Chikashi TSUJI
International Journal of Business Administration 10 ( 6 ) 14 - 21 2019.11
Exploring Return Transmission in Asian Stock Markets Reviewed
Chikashi TSUJI
Journal of Management Research 11 ( 4 ) 48 - 59 2019.10
A Multivariate Analysis of the Effects of Structural Breaks on Stock Return Volatility Persistence: The Case of the US and Japan Reviewed
Chikashi TSUJI
International Journal of Business Administration 10 ( 3 ) 39 - 49 2019.5
Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets Reviewed
Chikashi TSUJI
Journal of Management Research 11 ( 2 ) 30 - 44 2019.4
An Investigation of the Predictive Speed of the UK VIX for the Downside Risk in European Equity Markets Reviewed
Chikashi TSUJI
International Business Research 11 ( 12 ) 18 - 25 2018.12
Structural Breaks and Volatility Persistence of Stock Returns: Evidence from the US and UK Equity Markets Reviewed
Chikashi TSUJI
Applied Economics and Finance 5 ( 6 ) 76 - 83 2018.11
New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries Reviewed
Chikashi TSUJI
Applied Energy 229 1202 - 1217 2018.11
How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan Reviewed
Chikashi TSUJI
Modern Economy 9 ( 10 ) 1635 - 1643 2018.10
Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses Reviewed
Chikashi TSUJI
Economic Modelling 74 167 - 185 2018.8
Corporate Investment and Portfolio Returns in Japan: A Markov Switching Approach Reviewed
Chikashi TSUJI
Journal of Management and Strategy 9 ( 2 ) 1 - 7 2018.5
Volatility Regime and Equity Portfolio Return: Evidence from Europe Reviewed
Chikashi TSUJI
Applied Economics and Finance 5 ( 3 ) 1 - 7 2018.5
Value Premium and Portfolio Return Regime: Evidence from European Equities Reviewed
Chikashi TSUJI
Modern Economy 9 ( 3 ) 434 - 442 2018.3
How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns Reviewed
Chikashi TSUJI
Business and Economic Research 7 ( 2 ) 342 - 351 2017.12
Interpreting the Estimates from the Full VECH Model with Asymmetry: The Case of US and Canadian Equity Prices Reviewed
Chikashi TSUJI
Accounting and Finance Research 6 ( 4 ) 236 - 243 2017.11
A Non-linear Estimation of the Capital Asset Pricing Model: The Case of Japanese Automobile Industry Firms Reviewed
Chikashi TSUJI
Applied Finance and Accounting 3 ( 2 ) 20 - 26 2017.8
A Robust Estimation of the CAPM with a Heavy-tailed Distribution Reviewed
Chikashi TSUJI
International Journal of Social Science Studies 5 ( 5 ) 79 - 86 2017.5
An Exploration of the Time-varying Beta of the International Capital Asset Pricing Model: The Case of the Japanese and the Other Asia-Pacific Stock Markets Reviewed
Chikashi TSUJI
Accounting and Finance Research 6 ( 2 ) 86 - 93 2017.5
A Quantitative Investigation of the Time- varying Beta of the International CAPM: The Case of North American and European Equity Portfolios Reviewed
Chikashi TSUJI
Journal of Management Research 9 ( 2 ) 104 - 112 2017.4
Does the CBOE Volatility Index Predict Downside Risk at the Tokyo Stock Exchange? Reviewed
Chikashi TSUJI
International Business Research 10 ( 3 ) 1 - 7 2017.3
Forecasting Large Price Declines of the Nikkei Using the S&P 500 Implied Volatility Reviewed
Chikashi TSUJI
International Journal of Business Administration 8 ( 1 ) 58 - 64 2017.1
Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market Reviewed
Chikashi Tsuji
Cogent Economics and Finance 4 ( 1 ) 1 - 42 2016.9
Did the expectations channel work? Evidence from quantitative easing in Japan, 2001-06 Reviewed
Chikashi TSUJI
Cogent Economics & Finance 4 ( 1210996 ) 1 - 28 2016.8
Time-varying International Effects of Japanese Stock Prices on US and Canadian Stock Markets Reviewed
Chikashi TSUJI
Applied Economics and Finance 3 ( 3 ) 81 - 92 2016.8
Relations of Japanese Investment Styles and US Investment Styles after the Lehman Bankruptcy: Evidence from Japanese and US Stock Markets Reviewed
Chikashi TSUJI
World Journal of Social Science 3 ( 2 ) 42 - 52 2016.7
Dynamic Relations of Consumer Prices: A Case Study of Recent Effects on the Japanese Headline CPI Reviewed
Chikashi TSUJI
Journal of Social Science Studies 3 ( 2 ) 28 - 39 2016.7
Testing the Traditional CCAPM in the US: A Revisit Reviewed
Chikashi TSUJI
Issues in Social Science 4 ( 1 ) 1 - 12 2016.6
Re-exploring the CCAPM: The Case of US Industry Returns with Different Price Deflators Reviewed
Chikashi TSUJI
Journal of Management and Sustainability 6 ( 2 ) 67 - 76 2016.6
Are Dividend Yield and ROE Smart Portfolio Fundamentals? The Recent Case of Japan Reviewed
Chikashi TSUJI
Business and Management Horizons 4 ( 1 ) 10 - 21 2016.6
A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan Reviewed
Chikashi TSUJI
International Journal of Social Science Studies 4 ( 5 ) 95 - 103 2016.5
Effects of the Japanese Stock Market on Canadian Value Stocks Reviewed
Chikashi TSUJI
Journal of Management and Strategy 7 ( 2 ) 21 - 30 2016.5
An investigation of the Recent Linkages of Consumer Prices in Japan Reviewed
Chikashi TSUJI
International Journal of Financial Research 7 ( 1 ) 9 - 17 2016.1
Exchange Rate Effects on Equity Prices: The Recent Case from Japan Reviewed
Chikashi TSUJI
Business and Management Research 4 ( 4 ) 1 - 12 2015.12
Recent Comovements of the Yen-US Dollar Exchange Rate and Stock Prices in Japan Reviewed
Chikashi TSUJI
World Journal of Business and Management 1 ( 2 ) 19 - 32 2015.12
An Empirical Approach to Modeling the Term Structure of the Japanese Government Bond Yields Reviewed
Chikashi TSUJI
Journal of Management and Sustainability 5 ( 2 ) 24 - 30 2015.6
Recent International Evolution of the Cross-border M&A Reviewed
Chikashi TSUJI
Journal of Management and Strategy 6 ( 2 ) 1 - 13 2015.5
Empirical Modeling of the Government and Corporate Bond Yields: The Case of Japan Reviewed
Chikashi TSUJI
Journal of Management Research 7 ( 3 ) 1 - 13 2015.4
How Did the Profitability of the Japanese Firms Change? Before, During, and After the Lehman Shock in the US Reviewed
Chikashi TSUJI
Business and Management Research 4 ( 1 ) 74 - 82 2015.3
An Empirical Comparison of the Corporate Financing Behavior: The Case Study of the Major US and Japanese Firms in the Electrical-related Industries Reviewed
Chikashi TSUJI
International Finance and Banking 1 ( 2 ) 18 - 29 2014.12
The Value and Growth Spreads: The Recent Cases in the Japanese Stock Markets Reviewed
Chikashi TSUJI
Business Management and Strategy 5 ( 2 ) 68 - 81 2014.12
Exploring the Financial Ratios: The Case Study of the Famed Chemical Industry Firms in the US Reviewed
Chikashi TSUJI
Case Studies in Business and Management 1 ( 2 ) 11 - 21 2014.12
Japanese Stock Markets and the US Stock Price Index Ratios Reviewed
Chikashi TSUJI
Applied Economics and Finance 1 ( 2 ) 37 - 47 2014.11
Did the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan? Reviewed
Chikashi TSUJI
Business and Management Horizons 2 ( 1 ) 98 - 108 2014.6
Capital Structure, Turnover, and Stock Return: The Case of the Firms in the Nikkei 225 Reviewed
Chikashi TSUJI
Journal of Management and Sustainability 4 ( 1 ) 84 - 95 2014.3
Equity Ownership and Capital Structure: Evidence from the Firms in the Nikkei 225 Stock Index Reviewed
Chikashi TSUJI
International Journal of Economics and Finance 6 ( 3 ) 55 - 63 2014.3
An Overview of the Corporate Capital Structure in the Industries at the Tokyo Stock Exchange Reviewed
Chikashi TSUJI
International Business Research 7 ( 2 ) 100 - 112 2014.2
Cash Holdings, Dividend Policy, and Stock Return of the Automobile Related Firms at the Tokyo Stock Exchange: Before and After the US Lehman Shock Reviewed
Chikashi TSUJI
Journal of Social Science Studies 1 ( 2 ) 32 - 46 2014.2
An Investigation of the Relationship between Risk and Return: The Case of the Latin American Stock Markets Reviewed
Chikashi TSUJI
Accounting and Finance Research 3 ( 1 ) 9 - 17 2014.2
Comprehensive Income and Stock Return: Evidence from the Tokyo Stock Exchange Reviewed
Chikashi TSUJI
Journal of Management and Sustainability 3 ( 3 ) 142 - 147 2013.9
Corporate Solvency and Capital Structure: The Case of the Electric Appliances Industry Firms of the Tokyo Stock Exchange Reviewed
Chikashi TSUJI
International Journal of Economics and Finance 5 ( 6 ) 46 - 54 2013.6
Corporate Profitability and Capital Structure: The Case of the Machinery Industry Firms of the Tokyo Stock Exchange Reviewed
Chikashi TSUJI
International Journal of Business Administration 4 ( 3 ) 14 - 21 2013.5
An Investigation of Comprehensive Income and Firm Performance: The Case of the Electric Appliances Industry of the Tokyo Stock Exchange Reviewed
Chikashi TSUJI
Accounting and Finance Research 2 ( 2 ) 29 - 35 2013.5
The Market Valuation Hypothesis of Dividend Policy: New Evidence from Japan Reviewed
Chikashi TSUJI
Research in Applied Economics 5 ( 1 ) 54 - 76 2013.3
The Pricing of Exchange Rates in Japan: The Cases of the Japanese Automobile Industry Firms after the US Lehman Shock Reviewed
Chikashi TSUJI
International Journal of Business and Management 7 ( 24 ) 78 - 87 2012.11
Exchange Rate Changes and Stock Returns: The Recent Cases of the Japanese Electric Appliances Industry Firms Reviewed
Chikashi TSUJI
Journal of Business Administration Research 1 ( 2 ) 71 - 79 2012.9
The Stock Return Comovements: A Study of the European and the Japanese Equity Markets Reviewed
Chikashi TSUJI
International Business Research 5 ( 8 ) 1 - 7 2012.8
Stock Return Conjunction in Markets with Deteriorated Sentiment: Evidence from the Japanese Electric Appliances Industry Reviewed
Chikashi TSUJI
Modern Economy 3 463 - 468 2012.7
Market Sentiment Deterioration and Stock Returns: The Case of the Japanese Electric Appliances Industry Reviewed
Chikashi TSUJI
International Journal of Economics and Finance 4 63 - 69 2012.6
The Stock Market Integration of the US, Canadian, and the Japanese Markets: Before and After the Lehman Shock in the US Reviewed
Chikashi TSUJI
Business and Economic Research 2 ( 1 ) 1 - 8 2012.6
The Extreme Decline of Investor Sentiment and Market Efficiency: Evidence from the Electric Appliances Industry in Japan Reviewed
Chikashi TSUJI
Journal of Management Research 4 ( 2 ) 216 - 225 2012.4
A Discussion on the Signaling Hypothesis of Dividend Policy Reviewed
Chikashi TSUJI
The Open Business Journal 5 1 - 7 2012.2
Do industries contain predictive information for the Fama-French factors? Reviewed
Chikashi Tsuji
Quantitative Finance 12 ( 6 ) 969 - 991 2012
Positive return premia in Japan Reviewed
Chikashi Tsuji
Quantitative Finance 12 ( 3 ) 345 - 367 2012
An International Survey of the Evidence on the Pecking Order Theory of Corporate Financing Reviewed
Chikashi TSUJI
Business and Economic Research 1 ( 1 ) E1 2011.12
Exploring the Priced Factors in ICAPM in Japan Reviewed
Chikashi TSUJI
Modern Economy 2 701 - 705 2011.9
An Investigation of the ICAPM in Japan: Evidence from the Tokyo Stock Exchange with a Review of International and Accounting Research Reviewed
Chikashi TSUJI
International Journal of Accounting and Financial Reporting 1 ( 1 ) 18 - 28 2011.8
A Test of Dividend Policy: The Case of the Japanese Machinery Industry Firms Reviewed
Chikashi TSUJI
International Journal of Economics and Finance 3 ( 3 ) 119 - 130 2011.8
An Investigation on the Monetary Policy and Short-term Interest Rates in Japan Reviewed
Chikashi TSUJI
Journal of Public Administration and Governance 1 ( 1 ) 64 - 70 2011.6
Exploring the Corporate Dividend Payment Behavior of the Japanese Chemicals Industry Firms Reviewed
Chikashi TSUJI
The Open Business Journal 4 1 - 13 2011.2
A Test of the Catering Theory of Dividends: The Case of the Japanese Electric Appliances Industry Reviewed
Chikashi TSUJI
Journal of Management Research 2 ( 2 ) E6 2010.7
The Limits of Standard Risk and Macroeconomic Factors in Explaining the Return Premia: Evidence from the Tokyo Stock Exchange Reviewed
Chikashi TSUJI
International Business Research 3 80 - 96 2010.1
Can We Resurrect the CAPM in Japan? Evaluating Conditional Asset Pricing Models by Incorporating Time-varying Price of Risk Reviewed
Chikashi TSUJI
Research in Applied Economics 1 ( 1 ) E10 2009.12
Consumption, Aggregate Wealth, and Expected Stock Returns in Japan Reviewed
Chikashi TSUJI
International Journal of Economics and Finance 1 123 - 133 2009.8
Are Investment Strategies Exploiting Option Investor Sentiment Profitable? Evidence from Japan Reviewed
Chikashi TSUJI
International Journal of Business and Management 4 92 - 105 2009.5
The time-varying pricing of value and size premia in Japan
Chikashi TSUJI
Osaka Economic Papers 58 ( 4 ) 68 - 87 2009.3
The Anomalous Stock Market Behavior of Big and Low Book-to-Market Equity Firms in April: New Evidence from Japan Reviewed
Chikashi TSUJI
The Open Business Journal 2 54 - 63 2009.3
Quadruple-Threshold Credit Risk Modeling: Implications for Corporate Financial Risk Management Reviewed
Chikashi TSUJI
The Open Management Journal 1 26 - 31 2008.11
How Do the Time-Varying Risk Prices Behave in Japan? An Investigation with a Multivariate GARCH-CAPM Approach Reviewed
Chikashi TSUJI
The Open Economics Journal 1 58 - 63 2008.11
Do Industries Lead Fama-French Factor Returns in Japan? Reviewed
Chikashi TSUJI
The Open Business Journal 1 34 - 39 2008.5
Chikashi TSUJI
Osaka Economic Papers 57 ( 4 ) 143 - 163 2008.3
What macro-innovation risks really are priced in Japan? Reviewed
Chikashi Tsuji
Applied Financial Economics 17 ( 13 ) 1085 - 1099 2007.9
Chikashi TSUJI
Ritsumeikan Business Journal 1 61 - 89 2007.3
Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model Reviewed
Chikashi Tsuji
Applied Financial Economics Letters 3 ( 2 ) 77 - 83 2007.3
Does EVA beat earnings and cash flow in Japan? Reviewed
Chikashi Tsuji
Applied Financial Economics 16 ( 16 ) 1199 - 1216 2006.11
Does investors' sentiment predict stock price changes? with analyses of naive extrapolation and the salience hypothesis in Japan Reviewed
Chikashi Tsuji
Applied Financial Economics Letters 2 ( 6 ) 353 - 359 2006.11
Overreactions in the options markets in Japan Reviewed
Chikashi Tsuji
Applied Financial Economics Letters 2 ( 2 ) 115 - 121 2006.3
The credit-spread puzzle Reviewed
C Tsuji
Journal of International Money and Finance 24 ( 7 ) 1073 - 1089 2005.11
Economic forces and the equity market Reviewed
Chikashi TSUJI
Social System Studies 11 17 - 36 2005.9
Does the term structure predict real economic activity in Japan? Reviewed
Chikashi TSUJI
Applied Financial Economics Letters 1 ( 4 ) 249 - 257 2005.7
Are investors rational in international bond markets? Reviewed
Chikashi TSUJI
Applied Financial Economics Letters 1 ( 3 ) 169 - 175 2005.5
Is volatility the best predictor of market crashes? Reviewed
Chikashi Tsuji
Asia-Pacific Financial Markets 10 ( 2-3 ) 163 - 185 2003.9
Long-term memory and applying the multi-factor ARFIMA models in financial markets Reviewed
Chikashi TSUJI
Asia-Pacific Financial Markets 9 283 - 304 2002.9
Empirical investigations on the relationship among liquidity, trading volume, volatility, and return
Chikashi TSUJI
Osaka Economic Papers 52 ( 2 ) 77 - 93 2002.9
日本経営財務研究学会「学会賞」
2007.10 日本経営財務研究学会 Does EVA beat earnings and cash flow in Japan?
金融市場における資産変動の国際的なスピルオーバーに関する研究
2018.4 - 2022.3
文部科学省 科学研究費補助金（日本学術振興会・文部科学省）－基盤研究(C)
辻 爾志
金融・資本市場の計量的分析手法に関する研究
2017.4 - 2019.3
辻 爾志
金融市場における異なるアセットクラス間の国際的な連鎖・波及関係に関する実証的研究
2015.4 - 2018.3
文部科学省 科学研究費補助金（日本学術振興会・文部科学省）－基盤研究(C)
辻 爾志
日米の資本市場におけるアセット・プライシング・モデルの検証
2014.4 - 2016.3
辻 爾志
日米企業の資本構成に関する実証研究
2012.4 - 2015.3
文部科学省 科学研究費補助金（日本学術振興会・文部科学省）－基盤研究(C)
辻 爾志
行動ファイナンスの観点からの日本企業の配当政策に関する実証研究
2011.6 - 2013.5
公益財団法人 日本証券奨学財団 公益財団法人 日本証券奨学財団
辻 爾志
行動ファイナンスに関する理論と実証
2005.4 - 2008.3
文部科学省 科学研究費補助金（日本学術振興会・文部科学省）－若手研究(B)
辻 爾志
行動経済学に関する実証研究
2005.4 - 2006.3
全国銀行学術研究振興財団 民間助成金
辻 爾志
行動ファイナンスに関する理論と実証
2004.4 - 2005.3
公益財団法人 日本証券奨学財団 民間助成金
辻 爾志
金融リスクに関する理論と実証
2001.4 - 2003.3
文部科学省 特別研究員奨励費（日本学術振興会・文部科学省）
辻 爾志
