Masahiro Watanabe - Research



My research interests include asset pricing and market microstructure, both theoretical and empirical. You can see download statistics about my research papers at my SSRN author home page. 

Working Papers

         Evidence on Retrieved Context: How History Matters, 2022 (with William N. Goetzmann and Akiko Watanabe)

         Cohort Effects on Expected Co-Movement, 2022 (with William N. Goetzmann and Akiko Watanabe)

         Supply Ambiguity and Market Fragility, 2020

         Investment Shocks and Asset Prices: International Evidence, 2019 (with Ruchith Dissanayake and Akiko Watanabe)

         Rational-expectations Whiplash, 2018 (with Efstathios Avdis)

         The Pre-FOMC Announcement Drift: A Pumping Explanation, 2018 (with Aditya Kaul)

         Looking Forward: Management Earnings Forecasts and the Value Effect, 2018 (with Takato Hiraki and Akiko Watanabe)

o    Forecasted Earnings-to-price (FEP) factor replicated and marketed by Financial Data Solutions, Inc. (Yokohama, Japan)

         A Model of Stochastic Liquidity, 2014. Technical Appendix.

         Procyclical Stocks Earn Higher Returns, 2012 (with William N. Goetzmann and Akiko Watanabe).

         Product Market Competition and Equity Returns, 2011 (with Evgeny Lyandres).

         Dynamic Corporate Capital Stocks: Cross-sectional and Inter-temporal Stock Return Patterns, 2010 (with Jacob Sagi and Matthew Spiegel).



"Strategic Disclosure and Stock Returns: Theory and Evidence from U.S. Cross-listing," (with Shingo Goto and Yan Xu), Review of Financial Studies, 2009, 22 (4), 1585-1620. Technical Appendix

  • 2007 FMA Best Paper Award in Financial Institutions

"Time-Varying Liquidity Risk and the Cross Section of Stock Returns" (with Akiko Watanabe), Review of Financial Studies, 2008, 21 (6), 2449-2486.

  • First place, 2006 Turnaround Management Association Paper Competition

"Price Volatility and Investor Behavior in an Overlapping-Generations Model with Information Asymmetry," Journal of Finance, February 2008, 63(1), 229-272. Technical Appendix


Working Papers for Reference

         Price Impact Costs and the Limit of Arbitrage, 2005, Yale ICF Working Paper No. 00-66 (with Zhiwu Chen and Werner Stanzl).

         Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows, 2005, NBER #9470, Yale ICF Working Paper No. 02-09 (with Stephen J. Brown, William N. Goetzmann, Takato Hiraki, and Noriyoshi Shiraishi).




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