HOME > Faculty and Specialization > Yasuaki Watanabe

What is Management?

Academic Qualifications

Diploma of Executive Program, 2005, Harvard Business School, Boston
Ph.D. in Finance, 2003, Tohoku University, Sendai, Miyagi
MBA in Finance, 1996, International University in Japan, Niigata
B.A. in Commercial Science, 1983, Keio University, Tokyo

Other Qualification

Chartered Member of the Security Analysts Association of Japan Abbreviation : CMA
Certified International Investment Analyst Abbreviation : CIIA

Teaching And Research Interests

・Finance (general)
・Portfolio Management
・Asset Pricing
・Volatility Modeling

Academic And Oru Related Experience

Professor in Finance / October 2007 to Present
Department of Management, Graduate School of Entrepreneur Engineering Course, and Center for 21 Century C.O.E. (= Center of Excellence) Programs Social Management Systems
Kochi University of Technology

Visiting Scholar / June 2009 to September 2009
Massachusetts Institute of Technology Economics Department
(Seconded from Kochi University of Technology)

Researcher / April 2004 to September 2007
Resource Management Group Science Division
The Japan Research Institute, Limited

Visiting Scholar
Stanford Graduate School of Business / June 2005 to March 2007
(Seconded from The Japan Research Institute, Limited)

Visiting Scholar
UC Berkeley Haas School of Business / April 2004 to May 2005
(Seconded from The Japan Research Institute, Limited)

Associate Professor in Finance / April 2003 to March 2004
Department of Communication, Aichi Shukutoku University, Japan

Associate Professor in Finance / April 1997 to March 2003
Department of International Management, Shonai College of Industry & Technology, Japan

Employment History

1993 - 1994 Societe Generale Security Tokyo Branch, Assistant Manager, Funding Section
1988 - 1993 Kleinwort Benson Security Tokyo Branch,Section Chief in Accounting Department, in charge of Bank of Japan and Ministry of Finance
1984 - 1987 Chase Manhattan Bank Tokyo Branch, Clerk (Seconded to Chase Trust Bank for two years)
1983 - 1984 Tokyo Wire & Rope Co. Ltd, office worker

Publications

  1. 『The Recent Trend of Hedge Fund Strategies』(Editor and Joint work with coauthors) Nova Science Publishers, Inc., 2010
    Abstract of my chapter
     We select the top four hedge fund strategies as desirable ones based on the Prospect Ratio in this paper, and we examine the risk factors of each hedge fund strategy to specify the source of return in the past ten years. We use multifactor models based on GMM analysis. And we use AIC (Akaike Information Criterion) and SIC (Schwarz Information Criterion) to resolve the problem to specify the valid exogenous variables in each strategy. The result shows that the selected model contains only significant exogenous variables in each strategy.
  2. 『Economics of Emerging Markets』(Joint work with coauthors) Nova Science Publishers, Inc., 2008
    Abstract of my chapter 5
     We believe that this is the first paper which considers until kurtosis in the empirical analysis of asset allocation. In the analysis, it is subject to the sequential quadratic programming based on a quasi-Newton updating method. As the covariance affects the asset allocation in the mean-variance model, it seems that the coskewness and cokurtosis affect the asset allocation in the mean-variance-skewness-kurtosis model. We find that if the investors’ amounts are relatively small, the traditional mean-variance approach of asset allocation is acceptable. However, when considering large investments, we note a small but significant percentage change in investor satisfaction when using skewness and kurtosis.
  3. 『Fundamental Analyses of Emerging Equity Markets』Printec, 2003
    Abstract  This book is written in terms of Japanese investors. Concerning emerging equity markets, Japanese equity investment trust began to accept emerging equity markets recently. Thus, we analyzed the emerging equity markets from the perspective of qualitative and quantitative approaches. Basic statistical methods, ARCH type variation models and higher order moments in portfolio management are used.
  4. “The Affect of Audit Risk on Credit Risk”, Journal of Current Issues in Finance, Business and Economics, Volume 3, Issue 1
    Abstract
     A company’s credit rating usually is based on its historical financial statements and security analyst forecasts. One problem of basing in credit risk on historical financial statements is that audit risk by the management is ignored. In this paper we examine change of credit ratings in one-year transition matrix of Moody’s by considering audit risk. We use Altman’s Z-score in determining the changes of credit ratings in this case. We find that the average decline of selected ten IT industries in U.S. is 3.5 notches in Moody’s credit rating.
  5. “Emerging Equity Markets and its Integration”, Research Bulletin of Kochi University of Technology No.5, 2008
    Abstract
     The market integration in emerging markets is becoming stronger with the passage of time. This implies that economic and trade ties between emerging markets and developed markets are also becoming stronger. Here, we take two categories such as BRIC’s and VISTA. We take three factors such as GDP, Trade Balance, and Foreign Exchange Reserves to see which country is wealthier than others, in other words, which country is much closer to developed country in terms of market integration. As a result, we can confirm that China and Turkey mark the highest principal components points.
  6. “The importance of Environmental Conservation - Lake Biwa’s Case -”, Proceedings of International Symposium on Society for Social Management Systems in Kochi, 2008
    Abstract
     The problem of environmental pollution is rampant around the globe with the passage of time. Here, we take up water pollution seen at Lake Biwa located in Shiga Prefecture in Japan. A few decades has passed since the water pollution of the lake became a topic. Many people who live in Kyoto and Osaka areas highly depend on their water in the lake. If we take contaminated water and fish periodically, our heath will be destroyed gradually. The serious problem is that some materials which cause cancer are included. Thus, we must show some prescription to provide for the safe water and maintain the fishing volume in the lake. Basically, this analysis is based on the models of liner first order differential equations made up by the author.
  7. “Is Sharpe Ratio still effective?” The Journal of Performance Measurement, Volume 11: Number 1, 2006
    Abstract
     It seems that Sharpe Ratio is not still effective, because the orders of eleven out of thirteen in Sharpe Ratio are changed by considering skewness/kurtosis ratio. So, we recommend Prospect Ratio rather than either Sharpe or Sortino Ratio, because this ratio reflects the actual investors’ behavioral patterns. In addition, Prospect Ratio plus skewness/kurtosis ratio would perform much better than Prospect Ratio in terms of precision.
  8. ”Comparison of Volatility Estimation Models in Emerging Stock Markets”,Annual Report of the Economic Society Tohoku University, Vol.65, No.3, January 2004
    Abstract
     Concerning the normality in emerging markets, it is often said that their normality is dubious. So, we execute the normality tests of skewness and kurtosis in emerging markets. The results are that stock returns in emerging markets are almost not subject to the normal distribution. Concerning the level of persistence in the innovations, GARCH(1,1) model shows the large levels in most cases. In addition, asymmetric feature of volatility at 5 percent significant level can also be observed in most cases through GJR(1,1) and EGARCH(1,1) models. The coefficient of in return is not significant at 5 percent level in both GARCH-M and EGARCH-M models. Finally, the normality of emerging stock markets has a tendency to be rejected in the statistics of the standardized residuals for the ARCH variation models.
  9. ”Modeling the Volatility in the Japanese Yen/US Dollar Exchange Rate”, Bulletin of Yamagata Industry & Technology, No.8, 2002
    Abstract
     We can surmise that the volatility of return in foreign exchange between US Dollar and Japanese Yen do not subject to the conditional variance. So, we can safely say that conventional GARCH(1,1), GJR(1,1), EGARCH(1,1) models are enough to explain the volatility of foreign exchange between US Dollar and Japanese Yen. GARCH(1,1)-M and GJR(1,1)-M models are preferable in checking the level of innovations. In addition, EGARCH(1,1)-M model is most preferable in checking the asymmetric feature of volatility. The situations of right skewness and fat-tails can not be explained by the fluctuations of volatility. Finally, it has proved that is no autocorrelation of standardized residuals in foreign exchange between US Dollar and Japanese Yen.
  10. ”Revitalization of Japanese Economy”, Bulletin of Tohoku University of Community Service and Science, No.3, 2002
    Abstract
     The scheme of indirect financing is now a functional disorder due to the vile spiral of deflation and accumulated bad loans. To revitalize the economy by getting out of these circumstances, it is necessary to arrange the scheme of direct financing by using venture capital for the venture businesses such as Biotechnology and Nanotechnology.
  11. ”Predictability of Returns and Volatility Estimation in Emerging Stock Markets”, Annual Report of the Economic Society Tohoku University, Vol.64, No.1, July 2002
    Abstract
    It has proved that forecasting future returns in emerging stock markets by using the historical financial data are relatively difficult in the world where the random walk hypothesis is realized. And it has also proved that there is a tendency to become a negative return in the period when the firm size is relatively large. Generally speaking, the volatilities of emerging stock markets are heteroskedastic. Here, GARCH(1,1) model is used to estimate the volatilities. In Argentina’s case, the level of persistence for successive shocks or disturbances is very large and the market is more affected by the past many volatilities than the past shocks or disturbances. Thus, the volatility of the market is large. While, in India’s case, the volatility of the market is relatively small due to the lower level of persistence in the innovations. Finally, there exists little difference between advanced markets and emerging markets concerning the average level of persistence for successive shocks or disturbances.
  12. ”Expansion of Mean-Variance Approach and Comparison of Volatility Estimation Models in Emerging Stock Markets”, Proceedings of Japan Finance Association 10th ,2002
    Abstract
     We examine the affection of coskewness and coskewness to expected utilities. We can find out that the increase of coskewness : S jee  makes the expected rate of return in EM-Comosite : μj  decrease. While, the increase of cokurtosis : k jeee
    makes the expected rate of return in EM-Composite : μj increase.

    Finally, we compare ARCH variation models such as GARCH(1,1), GJR(1,1), and EGARCH(1,1) from the viewpoint which model is suitable to represent the volatility fluctuations. As a result, we can not specify which model is most suitable to represent the volatility fluctuations.
  13. ”Fundamental Analyses of Emerging Markets”, Proceedings of Japan Finance Association 9th ,2001
    Abstract
    Emerging markets are now becoming noticeable ones as one of the choice for alternative investment in Japan. Through this analysis, we can confirm that Japanese investors should invest more to the emerging markets in terms of international diversification due to the lower correlations with emerging markets as compared with other advanced markets.
  14. ”Application of Universal Hedging in Currency Hedge”, Bulletin of Yamagata Industry & Technology, No.7, 2001
    Abstract
    According to the Black’s universal hedging rule, all investors in an international multi-currency context, with non-stochastic inflation should hold a combination of their national risk-free bill and the world market portfolio partly hedged against currency risk due to Siegel’s paradox in equilibrium asset pricing models. While, Solnik pointed out that this idea held for all currencies only in the unrealistic case where all investors had the same risk tolerance and where there was no net foreign investment. Concerning “universal hedging”, this concept holds only for the ideal world where the world market is entirely integrated and current account is balanced.
  15. ”The Issues Related to Japanese Private Pensions and Their Desirable Future Reform Proposals”, Annual Report of the Economic Society Tohoku University, Vol.62, No.1, January 2000
    Abstract
    Here, I indicated the existence of optimal combination in both D.B. plan and D.C. plan by applying the Nash’s bargaining theory. Next, I propose modified hybrid plans represented by cash balance plans, pension equity plans, and floor plans by using traditional U.S.’s hybrid plans. Of course, my proposal is modified by consideration of Japanese situations. And I believe that so-called hybrid plans will be used increasingly in the future in Japan, because it offer an alternative well suited to many situations.
  16. ”Will the D.C. plan such as 401(k) in the U.S. be a Savior in Japanese Private Pension Crises?”, Bulletin of Yamagata Industry & Technology, No.5, 2000
    Abstract
    Recently, pension fund reform proposals in both public and private sectors are hotly debated issues here in Japan. An aging society with less birth rates and deterioration of investment environments especially in private pension for the long period of time after bubble economy facilitates the introduction of D.C. plan represented by 401(k) in the U.S. The changes of workforce and employment contract also spur this trend. However, the mere adoption of D.C. plans as a substitute of traditional D.B. plan will not resolve the essential problems of pension funds. Because both D.B. plan and D.C. plan have merits and demerits respectively for plan sponsors and employees, and also these plans provide them with more conveniences if used simultaneously and effectively.

Presentations

  • “The Possibility of Smart Grid Society”, IESL-SSMS Joint International Symposium on Social Management System in Colombo, Sri Lanka, 2011
  • “Core Concept of Total Risk Management and its Problems”, International Symposium on Society for Social Management Systems in Kochi, 2010
  • “The Affect of Financial Crises”, International Symposium on Society for Social Management Systems in Kochi, 2009
  • “Optimal Asset Allocation in Surplus Approach of Pension Fund”, 15th Annual Forecasting Financial Markets Conference at Aix-en Provence in France, 2008
  • “The importance of Environmental Conservation - Lake Biwa’s Case -”, International Symposium on Society for Social Management Systems in Kochi, 2008
  • “Style Analyses of Desirable Hedge Fund Strategies for Actual Investors”, Japan Finance Association 15th ,2007
  • “The Affect of Audit Risk on Credit Risk”, The Japanese Association of Financial Econometrics and Engineering, Summer Conference in Tokyo, 2007
  • “Style Analysis of Hedge Fund Strategies”, Joint Seminar Stanford/Berkeley/UCD/UCSF (UCSF in San Francisco), 2006
  • “Optimal Hedge Fund Strategy for Risk-Averse Investors”, Global Finance Conference in Brazil (Coppead Graduate School of Business in Rio de Janeiro),2006
  • ”Affection of Investment Policy in the Expansion of Mean-Variance Approach”, The Japanese Association of Financial Econometrics and Engineering, Winter Conference in Tokyo, 2003
  • ”Estimation of GARCH-M and EGARCH-M Models in Emerging Stock Markets”, APFA/PACAP/FMA Finance Conference in Tokyo, 2002
  • ”Expansion of Mean-Variance Approach and Comparison of Volatility Estimation Models in Emerging Stock Markets”, Japan Finance Association 10th ,2002
  • ”Predictability of Returns and Volatility Estimation in Emerging Stock Markets”, Global Finance Conference in China (Peking Univ. in Beijing),2002
  • ”Fundamental Analyses of Emerging Markets”, Global Finance Conference in U.S.A. (California State Univ. in L.A.), 2001

Grants And Fellowships

  • Aichi Shukutoku University Grant , 2004-2006
  • Development of new performance measurement in higher order moments (Grant-in-Aid for Scientific Research (C) independent; research representative), 2011-2013

Languages

  • Fluent in English (Speak, Read, and Write)
  • Working Knowledge of German and Chinese (Read)
  • Novice in French

Professional Memberships / Affiliations

  • Japan Finance Association
  • The Japanese Association of Financial Econometrics and Engineering
  • Association of Behavioral Economics and Finance
  • The Japanese Association of Risk, Insurance and Pensions
  • American Finance Association

Editorial Board

Journal of Computational Optimization in Economics and Finance, Nova Science Publishers, Inc. New York

Referee

Financial Analysts Journal, A Publication of CFA Insitute.

Board of Trustees

A councilor : International University of Japan (IUJ)
Session Chair, and Discussants
Chair and also Discussants for Session 15 of “Emerging Markets” at the APFA/PACAP/FMA Finance Conference in Tokyo, 2002

Contact Address:

185, Miyanokuchi, Tosayamada-cho, Kami City,
Kochi Prefecture, 782-8502, JAPAN
TEL: +81-887-57-2776
FAX:+81-887-57-2811
E-Mail :