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39 件中 1 - 10 件目

年度 Year	論文題目名 Title of the articles	共著区分 Collaboration Classification
年度 Year	掲載誌名 Journal name，出版機関名 Publishing organization，巻／号 Vol./no.，頁数 Page nos.，発行年月（日） Date
2023	Venture Business Project Valuation with the Risk Sensitive Value Measure and Both Sensitive Value Measure	共著
	International Journal of Real Options and Strategy ， The Japan Association of Real Options and Strategy ， 10 ， 1-22 ， 2023/12
	概要（Abstract） This paper attempts to evaluate risky venture business projects. The nature of risky project valuation lies in the difficulty to integrate the uncertainty of success and magnitude of cash f lows generated from the project. Traditional qualitative methods tend to use arbitrary subjective measures where quantitative methods use highly uncertain cash flows and discount rate adjustments that lead to highly diverse valuation results. We propose a risk sensitive value measure (RSVM) that is known to be effective when the project includes extreme outcomes. One advantage of the RSVM is the capability to model the discount rate for cash flows and the risk aversion level separately, which leads to directly observing the relative level of aggressiveness for various projects. The sensitivity of the numerical valuation results and effectiveness of the RSVM is presented in comparison to the traditional venture business valuation methods using a numerical example.
	備考（Remarks）
2023	The Entropy Level, Systematic Risk, and Market Sentiment	単著
	Nanzan Management Review ，南山経営学会， 38/2 ， 181-193 ， 2023/10
	概要（Abstract） This paper attempts to measures the information level of the market via information entropy defined in Gosh et. al. (2016). The relation between the information level of the market, systematic risk, and market sentiment is investigated. The sentiment of the market is measured by the analyst forecasts of the market, where the systematic risk is measured by the dynamically estimated corporate beta. In general, there is a positive relation between the analyst forecast (proxy for sentiment) and corporate beta (proxy for systematic risk). In addition, the relation between the corporate beta (proxy for systematic risk) and entropy level of the market (proxy for market information) is presented.
	備考（Remarks）
2022	The Stock Return Exposure to Market Sentiment, Market Return Entropy and Price to Book Ratios in the Japanese Equity Market	単著
	Nanzan Management Review ，南山大学経営学会， 37/3 ， 337-352 ， 2023/3/30
	概要（Abstract） This paper identifies the exposure of stock returns to analyst forecasts of the market index (proxy for the market sentiment measured), the entropy of the market distribution, and price to book ratio representing future growth opportunities in the Japanese equity market. The exposure is examined for industry sector portfolios and individual stocks. The individual stock results are further regressed to check if there is a cross section effect on industry sectors. I find that sectors such as the Agriculture, Fishery and Mining, Manufacturing and Financial and Insurance are more sensitive to the market sentiment and the entropy measure. The impact of these factors is positive for the market sentiment and negative for the entropy measure respectively, indicating that the market sentiment is amplified for such sectors.
	備考（Remarks）
2022	Exploring Systematic Risk Shocks in the Japanese Equity Market	単著
	Nanzan Management Review ， Nanzan Daigaku Keiei Gakkai ， 37/2 ， pp.151-165 ， 2022/10/30
	概要（Abstract） This paper attempts to identify the market surprise level by dynamically estimating the market beta (risk premium) with the Kalman Filter. The Kalman filter approach enables the calculation of the Kalman Gain, which can be interpreted as the market surprise level. Dynamic systematic risk was estimated for firms listed on the Japanese equity market based on daily data for a period that includes the three financial crises that occurred in 1990, 2000 and 2008. The industry sector of firms that had demonstrated a high market surprise level provides some evidence on how market surprises propagated through the financial system. Finally, this research proposes an information portfolio that can potentially earn abnormal profits from the additional risk premium derived from dynamic estimation.
	備考（Remarks）
2022	賃貸等不動産を考慮に入れた企業のリアルオプション評価	共著
	リアルオプション研究，リアルオプション学会， 14 ， pp.1-32 ， 2022/12/26
	概要（Abstract）抄録 The objective of this paper is to introduce a framework that models the cash flow behavior of firms which need to consistently fund risky long-term capital-intensive projects. The model focuses on firms that can potentially fund such long-term projects with their underutilized internal resources such as corporate real estate. We build on the model of Moreno-Bromberg and Rochet [7] in a way that initial liquidity level incorporates the steady cash flow generated from the underutilized assets. The model carries on the basic characteristics which models the firm's growth opportunities (modeled by the operating cash flow). In addition, it not only successfully captures the impact of capitalizing on underutilized assets on the firm's liquidity decision problem, but also provides insights on the timing to reinvest part of the liquid assets into risky long-term capital-intensive projects that might generate future growth opportunities. The potential benefit of implementing such a model is demonstrated by observing the simulated liquidity level using parameters estimated from well-established Japanese firms.
	備考（Remarks）
2021	コロナ禍後の人口減少観光地を対象とした観光サービス利用制限政策のリアルオプション的評価	共著
	リアルオプション研究，日本リアルオプション学会， 13 ， 1-19 ， 2021/12/20
	概要（Abstract）抄録 This paper postulates a user-restriction policy for tourism to maintain SDGs at under-populated destinations using a real-option framework. The sharp decline in tourism caused by the COVID-19 pandemic has forced many tourism related businesses to go out of business in Japan. Our paper is even more important because the post-pandemic tourists may well reduced the amenity level of under-populated destinations.
	備考（Remarks）
2021	Market Investor Sentiment and Time Varying Betas of Japanese Mutual Funds - A Kalman Filter Estimate of Time Varying Beta and its Long Term Persistence	単著
	Nanzan Management Review ，南山大学経営学会， 36/2 ， pp. 221-232 ， 2021/10/30
	概要（Abstract） This paper attempts to identify market sentiment in the mutual fund industry by utilizing the Kalman filter, i.e. dynamically estimating the market beta. Mutual funds traded in Japan were used to estimate the time varying market beta. The systematic risk is estimated using 382 equity funds observed with a monthly frequency. Market sentiment is assessed using an original measure (the ratio of the entropy level of the historical and forecasted returns). This ratio represents the reduction level of future expected forecasts given that investors form beliefs based on Kalman filter forecasts. In addition, the analysis reveals the sensitivity of mutual funds to time varying systematic risk. The funds are then classified by this ratio to describe their characteristics.
	備考（Remarks）
2020	訪日宿泊客と外国為替リスクの回帰分析と機械学習をもちいた分類に関する考察	共著
	南山経営研究，南山経営学会， 35/1・2 ， 19-35 ， 2020/10/30
	概要（Abstract）
	備考（Remarks）本研究は、訪日観光宿泊客と為替リスクの関係について、回帰分析によって特徴を抽出し、機械学習の手法であるSVM(Stochastic Vector Machine)を用いて分類しようと試みた。訪日客の特徴を、為替リスクの影響を受けやすい観光客と為替リスクの影響を受けにくいビジネス客に分類できるという仮説を立て、実際の訪日宿泊客を用いた実証分析を行った。その結果、訪日宿泊客が多い都道府県では為替の影響をうけにくいビジネス客が多く、訪日宿泊客が少ない都道府県は為替の影響を受けやすい観光客が多いという結果が得られた。
2019	地域事業主間の自発的提携によって「地域の6次産業化」の実現は可能か？	共著
	日本観光学会誌，日本観光学会， 60 ， 22-38 ， 2019/12/31
	概要（Abstract）本研究は、他の農・畜産物に比べ１生産サイクルTが比較的長く、したがって資本毀損リスクのヘッジ可能性がより高いと考えられる酪農業を想定し、乳製品加工・販売業者と地域の酪農従事者との間に原料直接調達に関する自発的提携が生じるか否か、その結果として地域の6次産業化の実現が可能であるか否かを考察する。
	備考（Remarks）
2018	A Real Option Valuation of Lead Time Uncertainty: The value of workforce effort	単著
	南山経営研究，南山大学経営学会， 33/2 ， pp. 285-296 ， 2018/11/30
	概要（Abstract） We attempt to value the workforce on a generic consumer product line when there is uncertainty in the lead time. The uncertainty is related to disruptions in the production line such as breakdowns etc. We focus on the lead time as a performance measure of production activity related disturbances. In addition, we assume that the primary source of uncertainty originates from the disruptions (machine breakdowns etc.) that can be decomposed into two factors. The first factor being the lead time uncertainty related directly to the impact from the breakdown, i.e. the white noise and the secondary effect originating from the recovery process. The second factor is examined and interpreted as the workforces’ effort to recover from the disruptions (machine breakdowns etc.). Evaluating a workforce in this context may justify high labor costs associated with a skilled workforce when making outsourcing decisions.
	備考（Remarks）

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