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