Updated on 2024/05/16

写真a

 
TSUJI Chikashi
 
Organization
Faculty of Economics Professor
Other responsible organization
Economics Course of Graduate School of Economics, Master's Program
Economics Course of Graduate School of Economics, Doctoral Program
External link

Degree

  • Ph.D. in Economics ( Osaka University )

  • 修士(経済学) ( 大阪大学 )

Education

  • 2003.3
     

    Osaka University   Graduate School, Division of Economics   doctor course   finished without a degree after completion of required course credits

  • 2000.3
     

    Osaka University   Graduate School, Division of Economics   master course   completed

  • 1991.3
     

    Osaka University   Faculty of Economics   graduated

Research History

  • 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

Professional Memberships

  • 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

Research Interests

  • 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

Research Areas

  • Humanities & Social Sciences / Money and finance  / Money/Finance

Papers

  • Exchange Rate Forecasting via a Machine Learning Approach Reviewed

    Chikashi Tsuji

    iBusiness   14 ( 3 )   119 - 126   2022.9

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  • 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

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  • 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

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  • Exploring Stock Return Discontinuities in the Japanese Banking Industry Reviewed

    Chikashi Tsuji

    Journal of Management Research   14 ( 1 )   37 - 45   2022.4

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  • 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

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  • Returns and Return Premia of Size and Investment Portfolios in Japan—A Conspectus Reviewed

    Chikashi TSUJI

    Modern Economy   12   869 - 877   2021.4

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • Exploring Return Transmission in Asian Stock Markets Reviewed

    Chikashi TSUJI

    Journal of Management Research   11 ( 4 )   48 - 59   2019.10

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • Volatility Regime and Equity Portfolio Return: Evidence from Europe Reviewed

    Chikashi TSUJI

    Applied Economics and Finance   5 ( 3 )   1 - 7   2018.5

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  • Value Premium and Portfolio Return Regime: Evidence from European Equities Reviewed

    Chikashi TSUJI

    Modern Economy   9 ( 3 )   434 - 442   2018.3

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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    This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market. Our main findings are as follows. First, using the univariate logit and quantile regression models, we reveal that the previous day’s VIX and the forecast S&amp
    P 500 volatilities from GARCH, exponential GARCH (EGARCH), power GARCH (PGARCH), and threshold GARCH (TGARCH) models have statistically significant predictive power for large declines in the S&amp
    P 500. Second, direct comparisons with the multiple logit and quantile regression models demonstrate that the volatility forecasts from the EGARCH, PGARCH, and TGARCH models dominate the predictive power of the previous day’s VIX
    and we also clarify that the predictive power of volatility forecasts from the EGARCH and TGARCH models is much stronger. Third, our additional tests further suggest that the forecast VIX, the forecast volatility of VIX, and the forecast volatility of the first log differences of VIX cannot outperform the S&amp
    P 500 volatility forecasts from econometric models in predicting US stock market downside risk. Fourth, our vector-half (VECH), Baba-Engle-Kraft-Kroner (BEKK), dynamic conditional correlation (DCC), and asymmetric DCC (ADCC) multivariate GARCH (MGARCH) analyses demonstrate that the time-varying correlations between the previous day’s VIX and the volatility forecasts from the EGARCH or TGARCH models are weaker than the correlations of volatility forecasts from the EGARCH and TGARCH models. Finally, our VECH-, BEKK-, DCC-, and ADCC-MGARCH analyses further clarify almost perfect correlations around the US Lehman Brothers bankruptcy across all three volatility series. The key contribution of this paper is that it clarifies the superiority of volatility forecasts using econometric models compared with VIX in predicting the US stock market downside risk. The primary implications of our results are the importance of developing effective technical models and the need to use econometric model volatility forecasts in practice.

    DOI: 10.1080/23322039.2016.1220711

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  • 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

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  • 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

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  • 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

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  • 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

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  • Testing the Traditional CCAPM in the US: A Revisit Reviewed

    Chikashi TSUJI

    Issues in Social Science   4 ( 1 )   1 - 12   2016.6

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  • 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

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  • 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

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  • 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

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  • Effects of the Japanese Stock Market on Canadian Value Stocks Reviewed

    Chikashi TSUJI

    Journal of Management and Strategy   7 ( 2 )   21 - 30   2016.5

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  • 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

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  • Exchange Rate Effects on Equity Prices: The Recent Case from Japan Reviewed

    Chikashi TSUJI

    Business and Management Research   4 ( 4 )   1 - 12   2015.12

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  • 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

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  • 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

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  • Recent International Evolution of the Cross-border M&A Reviewed

    Chikashi TSUJI

    Journal of Management and Strategy   6 ( 2 )   1 - 13   2015.5

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • Japanese Stock Markets and the US Stock Price Index Ratios Reviewed

    Chikashi TSUJI

    Applied Economics and Finance   1 ( 2 )   37 - 47   2014.11

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • The Market Valuation Hypothesis of Dividend Policy: New Evidence from Japan Reviewed

    Chikashi TSUJI

    Research in Applied Economics   5 ( 1 )   54 - 76   2013.3

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • 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

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  • A Discussion on the Signaling Hypothesis of Dividend Policy Reviewed

    Chikashi TSUJI

    The Open Business Journal   5   1 - 7   2012.2

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  • Do industries contain predictive information for the Fama-French factors? Reviewed

    Chikashi Tsuji

    Quantitative Finance   12 ( 6 )   969 - 991   2012

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD  

    We examine whether the returns of US industry portfolios predict the returns and volatility of Fama and French's small-minus-big (SMB) and high-minus-low (HML) factors. The analysis reveals that all 30 industry returns strongly forecast one-month-ahead SMB factor returns. Moreover, a significant number of industry returns predict the volatility of the SMB and HML factors by up to two or three months. These findings suggest that US industry returns contain profitable information on Fama-French SMB and HML factors, and since most investors cannot extract the profitable information contained in industry returns in a timely manner, this information gradually diffuses in equity markets.

    DOI: 10.1080/14697681003762271

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  • Positive return premia in Japan Reviewed

    Chikashi Tsuji

    Quantitative Finance   12 ( 3 )   345 - 367   2012

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    This paper examines Jensen's [J. Finance, 1968, 23, 389-416] alphas and the time-varying return premia unexplained by standard risk factors in Japan and presents several new findings. First, in contrast to the US experience, positive alphas remain after Fama and French's three factors are applied to excess stock returns in Japan. Second, positive alphas remain in Japan, even if the Fama-French three factors combined with momentum and reversal factors are applied to excess stock returns. Third, the positive return premia unexplained by these five factors bear little relation to the dynamics of the Japanese macroeconomy. Fourth, the time series evolution of the positive return premia indicates autonomous dynamics with at least three regimes. Fifth, we can predict or time the acquisition of the positive return premia for small-size portfolios in Japan by observing the direction and effect of the return premia of large-size portfolios and high-book equity to market equity (BE/ME) portfolios. Finally, application of the self-exciting threshold autoregressive (SETAR) model shows that the size effects are stronger than the BE/ME effects in Japan, given that the return premia from small-size portfolios in the SETAR model are bounded by positive thresholds, while the return premia from high-BE/ME portfolios are bounded by negative thresholds.

    DOI: 10.1080/14697688.2010.541485

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  • 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

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  • Exploring the Priced Factors in ICAPM in Japan Reviewed

    Chikashi TSUJI

    Modern Economy   2   701 - 705   2011.9

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  • 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

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  • 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

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  • 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

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  • Exploring the Corporate Dividend Payment Behavior of the Japanese Chemicals Industry Firms Reviewed

    Chikashi TSUJI

    The Open Business Journal   4   1 - 13   2011.2

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  • 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

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  • 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

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  • 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

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  • Consumption, Aggregate Wealth, and Expected Stock Returns in Japan Reviewed

    Chikashi TSUJI

    International Journal of Economics and Finance   1   123 - 133   2009.8

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  • 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

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  • The time-varying pricing of value and size premia in Japan

    Chikashi TSUJI

    Osaka Economic Papers   58 ( 4 )   68 - 87   2009.3

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    DOI: 10.18910/24469

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  • 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

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  • Quadruple-Threshold Credit Risk Modeling: Implications for Corporate Financial Risk Management Reviewed

    Chikashi TSUJI

    The Open Management Journal   1   26 - 31   2008.11

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  • 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

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  • Do Industries Lead Fama-French Factor Returns in Japan? Reviewed

    Chikashi TSUJI

    The Open Business Journal   1   34 - 39   2008.5

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  • On the Alphas in Japan

    Chikashi TSUJI

    Osaka Economic Papers   57 ( 4 )   143 - 163   2008.3

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    DOI: 10.18910/18920

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    Other Link: http://hdl.handle.net/11094/18920

  • What macro-innovation risks really are priced in Japan? Reviewed

    Chikashi Tsuji

    Applied Financial Economics   17 ( 13 )   1085 - 1099   2007.9

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    This article examines whether specified macroeconomic and macro-financial market variables innovations carry risks that are rewarded in the Japanese stock market by a restricted nonlinear multivariate regression model. We find that not all macroeconomic variables priced in the United States are priced in Japan. In addition, we also find, for the first time, that two additional macro-factors, namely the innovations in money supply and in gold and foreign exchange reserves, are strongly priced in Japan. Furthermore, neither market portfolio nor oil price variables are priced separately, as with the evidence from the United States. However, differently from previous US results, we find that innovations in aggregate real per capita consumption are weakly priced in Japan.

    DOI: 10.1080/09603100600749345

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  • Forecasting real economic growth from financial markets: An international comparison with the case of Japan Reviewed

    Chikashi TSUJI

    Ritsumeikan Business Journal   1   61 - 89   2007.3

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  • 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

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    Theory predicts that, if stock and stock index futures markets operate efficiently, price movements in these markets should follow a first-order vector error correction model in which the error correction term represents the basis, and in which there are no regimes. However, following Brooks and Garrett (2002), by using the self-exciting threshold autoregressive (SETAR) model, in this article, we show that there are three regimes in the dynamics of the basis of the NIKKEI 225. In addition, in the central bound, autocorrelation exceeding the first-order variety is observed. This indicates that the basis is persistent and predictable, and triggers no arbitrage in the central bound. For Japan, the basis is successfully explained by a SETAR model with two thresholds, as suggested by Brooks and Garrett. However, the adjustment pattern of the basis outside the central bound differs from that observed for the United Kingdom.

    DOI: 10.1080/17446540600722210

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  • Does EVA beat earnings and cash flow in Japan? Reviewed

    Chikashi Tsuji

    Applied Financial Economics   16 ( 16 )   1199 - 1216   2006.11

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    The objective of this paper is to evaluate the effectiveness of Economic Value Added (EVA), a metric that is increasingly used in Japan as a measure of corporate value. EVA is compared with several other valuation measures including cash flow, operating income, and profit after tax from the viewpoint of both levels and changes. Also two different forms of EVA are examined by using the Weighted Cost of Capital (WACC) from the Capital Asset Pricing Model (CAPM) and the WACC from the Fama-French (1993) model. The results reveal that corporate market values in both levels and changes have stronger linkages with cash flow and other earnings measures than either form of EVA.

    DOI: 10.1080/09603100500447537

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  • 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

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    This paper investigates the forecast power and the characteristics of investors' sentiment in Japan. According to the empirical analyses, Japanese investors' sentiment has some forecast power for one month's future equity market dynamics. In addition, evidence is found that simultaneous and synthetic use of several sentiment variables is helpful for predicting future stock price changes in the short-term forecasting period. However, in contrast to findings in the USA, evidence cannot be found for 'naive extrapolation' or the 'salience effect' in Japanese investors' sentiment.

    DOI: 10.1080/17446540600690136

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  • Overreactions in the options markets in Japan Reviewed

    Chikashi Tsuji

    Applied Financial Economics Letters   2 ( 2 )   115 - 121   2006.3

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    This study investigates the 'term structure of implied volatilities of the NIKKEI 225 index options in order to examine the existence of investors' overreaction in the options markets in Japan. According to the rational expectations theory, the implied volatility on a longer maturity option should move by less than 1% in response to a 1% move in the implied volatility of a shorter maturity option. However, the empirical analyses show that this elasticity turns out to be larger than suggested by the theory. These results from Japanese markets, indicating that long-maturity options tend to 'overreact to the new information in comparison with the short-maturity options, are similar to those found in the USA.

    DOI: 10.1080/17446540500395737

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  • The credit-spread puzzle Reviewed

    C Tsuji

    Journal of International Money and Finance   24 ( 7 )   1073 - 1089   2005.11

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    According to theoretical models of credit risk, the determinants of credit spreads are the differences in creditworthiness between corporations. However, considering several theories, credit spreads may also be influenced by other economic factors. This paper aims to empirically test the explanatory power of the factors implied by the theory on credit spreads, and presents the puzzle that such factors explain little of these spreads. Thereafter, we attempt to economically approach this Puzzle by testing the explanatory power of other economic factors such as credit rating, illiquidity, investors' preferences, and the business cycle. (c) 2005 Elsevier Ltd. All rights reserved.

    DOI: 10.1016/j.jimonfin.2005.08.005

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  • Economic forces and the equity market Reviewed

    Chikashi TSUJI

    Social System Studies   11   17 - 36   2005.9

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  • Does the term structure predict real economic activity in Japan? Reviewed

    Chikashi TSUJI

    Applied Financial Economics Letters   1 ( 4 )   249 - 257   2005.7

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  • Are investors rational in international bond markets? Reviewed

    Chikashi TSUJI

    Applied Financial Economics Letters   1 ( 3 )   169 - 175   2005.5

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  • Is volatility the best predictor of market crashes? Reviewed

    Chikashi Tsuji

    Asia-Pacific Financial Markets   10 ( 2-3 )   163 - 185   2003.9

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    The objective of this paper is to determine the best predictor of equity market crashes by focusing particularly on volatility and market liquidity. In finance, volatility has traditionally been regarded as the best measure of market risk. However, this paper shows that the forecast value of market liquidity, in particular our modified calculated market depth, predicts equity market crashes much more accurately than does the forecast values of EGARCH or Implied Volatility. © Springer 2005.

    DOI: 10.1007/s10690-005-6009-x

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  • 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

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  • Empirical investigations on the relationship among liquidity, trading volume, volatility, and return

    Chikashi TSUJI

    Osaka Economic Papers   52 ( 2 )   77 - 93   2002.9

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Awards

  • 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?

Research Projects

  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \4550000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \1400000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \4550000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \1400000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \5070000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \1200000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \3600000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \500000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \1000000

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  • 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

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    Authorship:Principal investigator  Grant type:Competitive

    Grant amount: \2000000

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