Exploring Stock Return Discontinuities in the Japanese Banking Industry 査読

Chikashi Tsuji

Journal of Management Research   14 ( 1 )   37 - 45   2022年4月

Spillovers and Dynamic Correlations between REITs, Exchange Rates, and Equities in Japan 査読

Chikashi TSUJI

Accounting and Finance Research   10 ( 4 )   13 - 22   2021年11月

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

Chikashi TSUJI

Modern Economy   12 ( 4 )   869 - 877   2021年4月

Size and Operating Profitability Portfolio Returns and Return Premia in Japan—A Tour d’horizon 査読

Chikashi TSUJI

Journal of Management Research   13 ( 2 )   1 - 14   2021年4月

New evidence on dynamic interactions between biofuel crops, crude oil, and US and European equities—A quinquevariate approach 査読

Chikashi Tsuji

Fuel   277   117765   2020年10月

Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management 査読

Chikashi TSUJI

International Review of Financial Analysis   70   101392   2020年7月

An Overview of Stock Portfolio Returns and Return Premia in Japan: The Case of Size and Book-to-Market Portfolios 査読

Chikashi TSUJI

International Journal of Social Science Studies   8 ( 4 )   39 - 50   2020年7月

An Analysis of Stock Return Transmission in North and Latin America 査読

Chikashi TSUJI

International Journal of Business Administration   10 ( 6 )   14 - 21   2019年11月

Exploring Return Transmission in Asian Stock Markets 査読

Chikashi TSUJI

Journal of Management Research   11 ( 4 )   48 - 59   2019年10月

A Multivariate Analysis of the Effects of Structural Breaks on Stock Return Volatility Persistence: The Case of the US and Japan 査読

Chikashi TSUJI

International Journal of Business Administration   10 ( 3 )   39 - 49   2019年5月

Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets 査読

Chikashi TSUJI

Journal of Management Research   11 ( 2 )   30 - 44   2019年4月

An Investigation of the Predictive Speed of the UK VIX for the Downside Risk in European Equity Markets 査読

Chikashi TSUJI

International Business Research   11 ( 12 )   18 - 25   2018年12月

Structural Breaks and Volatility Persistence of Stock Returns: Evidence from the US and UK Equity Markets 査読

Chikashi TSUJI

Applied Economics and Finance   5 ( 6 )   76 - 83   2018年11月

New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries 査読

Chikashi TSUJI

Applied Energy   229   1202 - 1217   2018年11月

How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan 査読

Chikashi TSUJI

Modern Economy   9 ( 10 )   1635 - 1643   2018年10月

Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses 査読

Chikashi TSUJI

Economic Modelling   74   167 - 185   2018年8月

Corporate Investment and Portfolio Returns in Japan: A Markov Switching Approach 査読

Chikashi TSUJI

Journal of Management and Strategy   9 ( 2 )   1 - 7   2018年5月

Volatility Regime and Equity Portfolio Return: Evidence from Europe 査読

Chikashi TSUJI

Applied Economics and Finance   5 ( 3 )   1 - 7   2018年5月

Value Premium and Portfolio Return Regime: Evidence from European Equities 査読

Chikashi TSUJI

Modern Economy   9 ( 3 )   434 - 442   2018年3月

How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns 査読

Chikashi TSUJI

Business and Economic Research   7 ( 2 )   342 - 351   2017年12月

Interpreting the Estimates from the Full VECH Model with Asymmetry: The Case of US and Canadian Equity Prices 査読

Chikashi TSUJI

Accounting and Finance Research   6 ( 4 )   236 - 243   2017年11月

A Non-linear Estimation of the Capital Asset Pricing Model: The Case of Japanese Automobile Industry Firms 査読

Chikashi TSUJI

Applied Finance and Accounting   3 ( 2 )   20 - 26   2017年8月

A Robust Estimation of the CAPM with a Heavy-tailed Distribution 査読

Chikashi TSUJI

International Journal of Social Science Studies   5 ( 5 )   79 - 86   2017年5月

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 査読

Chikashi TSUJI

Accounting and Finance Research   6 ( 2 )   86 - 93   2017年5月

A Quantitative Investigation of the Time-varying Beta of the International CAPM: The Case of North American and European Equity Portfolios 査読

Chikashi TSUJI

Journal of Management Research   9 ( 2 )   104 - 112   2017年4月

Does the CBOE Volatility Index Predict Downside Risk at the Tokyo Stock Exchange? 査読

Chikashi TSUJI

International Business Research   10 ( 3 )   1 - 7   2017年3月

Forecasting Large Price Declines of the Nikkei Using the S&P 500 Implied Volatility 査読

Chikashi TSUJI

International Journal of Business Administration   8 ( 1 )   58 - 64   2017年1月

Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market 査読

Chikashi Tsuji

Cogent Economics and Finance   4 ( 1 )   1 - 42   2016年9月

Did the expectations channel work? Evidence from quantitative easing in Japan, 2001-06 査読

Chikashi TSUJI

Cogent Economics & Finance   4 ( 1210996 )   1 - 28   2016年8月

Time-varying International Effects of Japanese Stock Prices on US and Canadian Stock Markets 査読

Chikashi TSUJI

Applied Economics and Finance   3 ( 3 )   81 - 92   2016年8月

Relations of Japanese Investment Styles and US Investment Styles after the Lehman Bankruptcy: Evidence from Japanese and US Stock Markets 査読

Chikashi TSUJI

World Journal of Social Science   3 ( 2 )   42 - 52   2016年7月

Dynamic Relations of Consumer Prices: A Case Study of Recent Effects on the Japanese Headline CPI 査読

Chikashi TSUJI

Journal of Social Science Studies   3 ( 2 )   28 - 39   2016年7月

Are Dividend Yield and ROE Smart Portfolio Fundamentals? The Recent Case of Japan 査読

Chikashi TSUJI

Business and Management Horizons   4 ( 1 )   10 - 21   2016年6月

Testing the Traditional CCAPM in the US: A Revisit 査読

Chikashi TSUJI

Issues in Social Science   4 ( 1 )   1 - 12   2016年6月

Re-exploring the CCAPM: The Case of US Industry Returns with Different Price Deflators 査読

Chikashi TSUJI

Journal of Management and Sustainability   6 ( 2 )   67 - 76   2016年6月

Effects of the Japanese Stock Market on Canadian Value Stocks 査読

Chikashi TSUJI

Journal of Management and Strategy   7 ( 2 )   21 - 30   2016年5月

A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan 査読

Chikashi TSUJI

International Journal of Social Science Studies   4 ( 5 )   95 - 103   2016年5月

An investigation of the Recent Linkages of Consumer Prices in Japan 査読

Chikashi TSUJI

International Journal of Financial Research   7 ( 1 )   9 - 17   2016年1月

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

Chikashi TSUJI

Business and Management Research   4 ( 4 )   1 - 12   2015年12月

Recent Comovements of the Yen-US Dollar Exchange Rate and Stock Prices in Japan 査読

Chikashi TSUJI

World Journal of Business and Management   1 ( 2 )   19 - 32   2015年12月

An Empirical Approach to Modeling the Term Structure of the Japanese Government Bond Yields 査読

Chikashi TSUJI

Journal of Management and Sustainability   5 ( 2 )   24 - 30   2015年6月

Recent International Evolution of the Cross-border M&A 査読

Chikashi TSUJI

Journal of Management and Strategy   6 ( 2 )   1 - 13   2015年5月

Empirical Modeling of the Government and Corporate Bond Yields: The Case of Japan 査読

Chikashi TSUJI

Journal of Management Research   7 ( 3 )   1 - 13   2015年4月

How Did the Profitability of the Japanese Firms Change? Before, During, and After the Lehman Shock in the US 査読

Chikashi TSUJI

Business and Management Research   4 ( 1 )   74 - 82   2015年3月

An Empirical Comparison of the Corporate Financing Behavior: The Case Study of the Major US and Japanese Firms in the Electrical-related Industries 査読

Chikashi TSUJI

International Finance and Banking   1 ( 2 )   18 - 29   2014年12月

The Value and Growth Spreads: The Recent Cases in the Japanese Stock Markets 査読

Chikashi TSUJI

Business Management and Strategy   5 ( 2 )   68 - 81   2014年12月

Exploring the Financial Ratios: The Case Study of the Famed Chemical Industry Firms in the US 査読

Chikashi TSUJI

Case Studies in Business and Management   1 ( 2 )   11 - 21   2014年12月

Japanese Stock Markets and the US Stock Price Index Ratios 査読

Chikashi TSUJI

Applied Economics and Finance   1 ( 2 )   37 - 47   2014年11月

Did the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan? 査読

Chikashi TSUJI

Business and Management Horizons   2 ( 1 )   98 - 108   2014年6月

Capital Structure, Turnover, and Stock Return: The Case of the Firms in the Nikkei 225 査読

Chikashi TSUJI

Journal of Management and Sustainability   4 ( 1 )   84 - 95   2014年3月

Equity Ownership and Capital Structure: Evidence from the Firms in the Nikkei 225 Stock Index 査読

Chikashi TSUJI

International Journal of Economics and Finance   6 ( 3 )   55 - 63   2014年3月

An Overview of the Corporate Capital Structure in the Industries at the Tokyo Stock Exchange 査読

Chikashi TSUJI

International Business Research   7 ( 2 )   100 - 112   2014年2月

Cash Holdings, Dividend Policy, and Stock Return of the Automobile Related Firms at the Tokyo Stock Exchange: Before and After the US Lehman Shock 査読

Chikashi TSUJI

Journal of Social Science Studies   1 ( 2 )   32 - 46   2014年2月

An Investigation of the Relationship between Risk and Return: The Case of the Latin American Stock Markets 査読

Chikashi TSUJI

Accounting and Finance Research   3 ( 1 )   9 - 17   2014年2月

Comprehensive Income and Stock Return: Evidence from the Tokyo Stock Exchange 査読

Chikashi TSUJI

Journal of Management and Sustainability   3 ( 3 )   142 - 147   2013年9月

Corporate Solvency and Capital Structure: The Case of the Electric Appliances Industry Firms of the Tokyo Stock Exchange 査読

Chikashi TSUJI

International Journal of Economics and Finance   5 ( 6 )   46 - 54   2013年6月

Corporate Profitability and Capital Structure: The Case of the Machinery Industry Firms of the Tokyo Stock Exchange 査読

Chikashi TSUJI

International Journal of Business Administration   4 ( 3 )   14 - 21   2013年5月

An Investigation of Comprehensive Income and Firm Performance: The Case of the Electric Appliances Industry of the Tokyo Stock Exchange 査読

Chikashi TSUJI

Accounting and Finance Research   2 ( 2 )   29 - 35   2013年5月

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

Chikashi TSUJI

Research in Applied Economics   5 ( 1 )   54 - 76   2013年3月

The Pricing of Exchange Rates in Japan: The Cases of the Japanese Automobile Industry Firms after the US Lehman Shock 査読

Chikashi TSUJI

International Journal of Business and Management   7 ( 24 )   78 - 87   2012年11月

Exchange Rate Changes and Stock Returns: The Recent Cases of the Japanese Electric Appliances Industry Firms 査読

Chikashi TSUJI

Journal of Business Administration Research   1 ( 2 )   71 - 79   2012年9月

The Stock Return Comovements: A Study of the European and the Japanese Equity Markets 査読

Chikashi TSUJI

International Business Research   5 ( 8 )   1 - 7   2012年8月

Stock Return Conjunction in Markets with Deteriorated Sentiment: Evidence from the Japanese Electric Appliances Industry 査読

Chikashi TSUJI

Modern Economy   3   463 - 468   2012年7月

Market Sentiment Deterioration and Stock Returns: The Case of the Japanese Electric Appliances Industry 査読

Chikashi TSUJI

International Journal of Economics and Finance   4   63 - 69   2012年6月

The Stock Market Integration of the US, Canadian, and the Japanese Markets: Before and After the Lehman Shock in the US 査読

Chikashi TSUJI

Business and Economic Research   2 ( 1 )   1 - 8   2012年6月

The Extreme Decline of Investor Sentiment and Market Efficiency: Evidence from the Electric Appliances Industry in Japan 査読

Chikashi TSUJI

Journal of Management Research   4 ( 2 )   216 - 225   2012年4月

A Discussion on the Signaling Hypothesis of Dividend Policy 査読

Chikashi TSUJI

The Open Business Journal   5   1 - 7   2012年2月

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

Chikashi Tsuji

Quantitative Finance   12 ( 6 )   969 - 991   2012年

Positive return premia in Japan 査読

Chikashi Tsuji

Quantitative Finance   12 ( 3 )   345 - 367   2012年

An International Survey of the Evidence on the Pecking Order Theory of Corporate Financing 査読

Chikashi TSUJI

Business and Economic Research   1 ( 1 )   E1   2011年12月

Exploring the Priced Factors in ICAPM in Japan 査読

Chikashi TSUJI

Modern Economy   2   701 - 705   2011年9月

An Investigation of the ICAPM in Japan: Evidence from the Tokyo Stock Exchange with a Review of International and Accounting Research 査読

Chikashi TSUJI

International Journal of Accounting and Financial Reporting   1 ( 1 )   18 - 28   2011年8月

A Test of Dividend Policy: The Case of the Japanese Machinery Industry Firms 査読

Chikashi TSUJI

International Journal of Economics and Finance   3 ( 3 )   119 - 130   2011年8月

An Investigation on the Monetary Policy and Short-term Interest Rates in Japan 査読

Chikashi TSUJI

Journal of Public Administration and Governance   1 ( 1 )   64 - 70   2011年6月

Exploring the Corporate Dividend Payment Behavior of the Japanese Chemicals Industry Firms 査読

Chikashi TSUJI

The Open Business Journal   4   1 - 13   2011年2月

A Test of the Catering Theory of Dividends: The Case of the Japanese Electric Appliances Industry 査読

Chikashi TSUJI

Journal of Management Research   2 ( 2 )   E6   2010年7月

The Limits of Standard Risk and Macroeconomic Factors in Explaining the Return Premia: Evidence from the Tokyo Stock Exchange 査読

Chikashi TSUJI

International Business Research   3   80 - 96   2010年1月

Can We Resurrect the CAPM in Japan? Evaluating Conditional Asset Pricing Models by Incorporating Time-varying Price of Risk 査読

Chikashi TSUJI

Research in Applied Economics   1 ( 1 )   E10   2009年12月

Consumption, Aggregate Wealth, and Expected Stock Returns in Japan 査読

Chikashi TSUJI

International Journal of Economics and Finance   1   123 - 133   2009年8月

Are Investment Strategies Exploiting Option Investor Sentiment Profitable? Evidence from Japan 査読

Chikashi TSUJI

International Journal of Business and Management   4   92 - 105   2009年5月

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

Chikashi TSUJI

Osaka Economic Papers   58 ( 4 )   68 - 87   2009年3月

The Anomalous Stock Market Behavior of Big and Low Book-to-Market Equity Firms in April: New Evidence from Japan 査読

Chikashi TSUJI

The Open Business Journal   2   54 - 63   2009年3月

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

Chikashi TSUJI

The Open Management Journal   1   26 - 31   2008年11月

How Do the Time-Varying Risk Prices Behave in Japan? An Investigation with a Multivariate GARCH-CAPM Approach 査読

Chikashi TSUJI

The Open Economics Journal   1   58 - 63   2008年11月

Do Industries Lead Fama-French Factor Returns in Japan? 査読

Chikashi TSUJI

The Open Business Journal   1   34 - 39   2008年5月

On the Alphas in Japan

Chikashi TSUJI

Osaka Economic Papers   57 ( 4 )   143 - 163   2008年3月

What macro-innovation risks really are priced in Japan? 査読

Chikashi Tsuji

Applied Financial Economics   17 ( 13 )   1085 - 1099   2007年9月

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

Chikashi TSUJI

Ritsumeikan Business Journal   1   61 - 89   2007年3月

Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model 査読

Chikashi Tsuji

Applied Financial Economics Letters   3 ( 2 )   77 - 83   2007年3月

Does EVA beat earnings and cash flow in Japan? 査読

Chikashi Tsuji

Applied Financial Economics   16 ( 16 )   1199 - 1216   2006年11月

Does investors' sentiment predict stock price changes? with analyses of naive extrapolation and the salience hypothesis in Japan 査読

Chikashi Tsuji

Applied Financial Economics Letters   2 ( 6 )   353 - 359   2006年11月

Overreactions in the options markets in Japan 査読

Chikashi Tsuji

Applied Financial Economics Letters   2 ( 2 )   115 - 121   2006年3月

The credit-spread puzzle 査読

C Tsuji

Journal of International Money and Finance   24 ( 7 )   1073 - 1089   2005年11月

Economic forces and the equity market 査読

Chikashi TSUJI

Social System Studies   11   17 - 36   2005年9月

Does the term structure predict real economic activity in Japan? 査読

Chikashi TSUJI

Applied Financial Economics Letters   1 ( 4 )   249 - 257   2005年7月

Are investors rational in international bond markets? 査読

Chikashi TSUJI

Applied Financial Economics Letters   1 ( 3 )   169 - 175   2005年5月

Is volatility the best predictor of market crashes? 査読

Chikashi Tsuji

Asia-Pacific Financial Markets   10 ( 2-3 )   163 - 185   2003年9月

Long-term memory and applying the multi-factor ARFIMA models in financial markets 査読

Chikashi TSUJI

Asia-Pacific Financial Markets   9   283 - 304   2002年9月

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

Chikashi TSUJI

Osaka Economic Papers   52 ( 2 )   77 - 93   2002年9月

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年6月 - 2013年5月

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年4月 - 2008年3月

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年4月 - 2006年3月

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年4月 - 2005年3月

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年4月 - 2003年3月

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