Yoshio Nozawa's Homepage

Publications

  1. Duration-Based Valuation of Corporate Bonds with Jules van Binsbergen and Michael Schwert, Review of Financial Studies, forthcoming.
  2. Over-the-Counter Markets for Non-Standardized Assets with Anton Tsoy, Journal of Finance, forthcoming.
  3. Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns with Söhnke Bartram and Mark Grinblatt, Journal of Financial and Quantitative Analysis, forthcoming.
  4. A Benchmark for Collateralized Loan Obligations with Redouane Elkamhi and Ruicong Li, Management Science, forthcoming.
  5. The Global Credit Spread Puzzle with Jingzhi Huang and Zhan Shi, Journal of Finance, forthcoming.
  6. A One-Factor Model of Corporate Bond Premia, 2024, with Redouane Elkamhi and Chanik Jo, Management Science 70, 3, pp1875-1900. Online Appendix
  7. Fire-Sale Risk in the Leveraged Loan Market, 2022, with Redouane Elkamhi, Journal of Financial Economics 146, 3, pp1120-1147. Online Appendix
  8. Liquidity Supply in the Corporate Bond Market, 2021, with Jonathan Goldberg, Journal of Finance 76, 2, pp755-796. Online Appendix
  9. Corporate Bond Market Reactions to Quantitative Easing During the COVID-19 Pandemic, 2021, with Yancheng Qiu, Journal of Banking and Finance 133, 106153.
  10. Option-Based Credit Spreads, 2018, with Chris Culp and Pietro Veronesi, American Economic Review 108, 2, pp454-488. Online Appendix Data
  11. What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach, 2017, Journal of Finance 72, 5, pp2045-2072. Online Appendix
  12. Are Capital Market Anomalies Common to Equity and Corporate Bond Markets?, 2017, with Tarun Chordia, Amit Goyal, Avanidhar Subrahmanyam, Qing Tong, Journal of Financial and Quantitative Analysis 52, 4, pp1301-1342.

Working Papers

Publications (Japanese)

Policy Publications

Research Grant

Conference Presentations

2024 MFA, World Symposium on Investment Research, NFA
2023 SFS Cavalcade, LUISS Finance Workshop
2022 AFA, MFA, ABFER
2021 WFA, Japan Finance Association, EFA, NFA, FMA, NZFM
2020 AFA, Japan Finance Association, NBER Summer Institute
2019 AFA, Dolomite Winter Finance Conference, University of Connecticut Finance Conference, Erasmus Liquidity Conference, Japan Finance Association, CICF, SAFE Market Microstructure Conference, Melbourne Asset Pricing Meeting, ANU Summer Research Camp
2018 Finance Down Under, HEC-McGill Winter Finance Conference, Baltimore Area Finance Conference, ITAM Finance Conference, Asian FA, CICF, Central Bank Conference on the Microstructure of Financial Markets, Canon Global Institute
2017 EFM Symposium, Japan Finance Association, CICF, Northern Finance Association
2016 CICF, Risk Management Conference at NUS, EFA
2015 CICF, Japan Finance Association
2014 MFA, Erasmus Credit Conference, SFM
(The list above does not include presentations by coauthors.)

Seminars

2024 UNC Chapel Hill, Temple University, Atlanta Fed, University of Georgia, University of British Columbia, University of Lausanne, University of Illinois at Urbana-Champaign, University of Rochester (Scheduled), Texas A\&M University (Scheduled)
2023 Tokyo Metropolitan University
2022 University of Tokyo, Tokyo Metropolitan University, UNSW
2021 National University of Singapore, Korea Advanced Institute of Technology, Fudan FISF, Claremont McKenna College, Tinbergen Institute
2020 Tokyo Metropolitan University, University of Toronto (Rotman), Shanghai Advanced Institute of Finance, University of Melbourne, Hitotsubashi University, Seoul National University, University of Osaka, U.S. Treasury OFR, Chicago Fed, Waseda University
2019 Lugano, Tsinghua PBC, Southwestern University of Finance and Economics, Monash
2018 Hitotsubashi, Osaka, Australian National University, Tokyo Metropolitan University
2017 HKUST, HK PolyU, Maryland, FRB, Hitotsubashi U, Philladelphia Fed, Hong Kong U, National University of Singapore, Penn State, UCSD Rady
2016 Bank of Japan, Keio University
2015 UW Foster, Hitotsubashi University, Keio University
2014 FRB, Chicago Fed, NY Fed, Aoyama-Gakuin U, Waseda U, U Tokyo, Hitotsubashi ICS
(The list above does not include presentations by coauthors.)

Discussions

2024 "Corporate Bond Factor Zoo" by Alex Dickerson, Christian Julliard, and Phillip Mueller at the WFA Annual Meeting
"Corporate Bond Multipliers: Substitutes Matter" by Manav Chaudhary, Zhiyu Fu, and Jian Li at the Yiran Fan Memorial Conference
"Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds" by Lorenzo Bretscher, Lukas Schmid and Tiange Ye at the AFA Annual Meeting
2023 "The Price of Macroeconomic Uncertainty: Evidence from Daily Option Expirations" by Juan Londono and Mehrdad Samadi at the UNSW Asset Pricing Workshop
"Forward Guidance and Its Effectiveness: A Macro-Finance Shadow-Rate Framework" by Junko Koeda and Bin Wei at the NFA Annual Meeting
"Interdealer Price Dispersion" by Andrea L. Eisfeldt, Bernard Herskovic, and Shuo Liu at the FIRS Annual Meeting
"Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads" by Samuel Hanson, Aytek Malkhozov, and Gyuri Venter at the Advances in Fixed Income Macro-Finance Research Conference
"Duration-Based Valuation of Corporate Bonds" by Jules van Binsbergen and Michael Schwert at the AFA Annual Meeting
"Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns?" by Tinghua Duan, Frank Weikai Li, and Quan Wen at the AFA Annual Meeting
2022 "Speculation and Liquidity in Stock and Corporate Bond Markets" by Paolo Pasquariello and Mirela Sandulescu at the UNSW Asset Pricing Workshop
"Risk Aversion in Corporate Bond Markets" by Antje Berndt, Ilya Dergunov, and Jean Helwege at CICF
"Do Credit Markets Respond To Macroeconomic Shocks? The Case For Reverse Causality" by Martijn Boons, Giorgio Ottonello, and Rossen Valkanov at the WFA Annual Meeting
"The Debt-Equity Spread" by Hui Chen, Zhiyao Chen, and Jun Li at the MFA Annual Meeting
"Do Firms Benefit From Carbon Risk Management?: Evidence From Credit Default Swap Market" by Huu Nhan Duong, Petko S. Kalev, Madhu Kalimipalli, and Saurabh Trivedi at the MFA Annual Meeting
"Financing Infrastructure with Inattentive Investors: The Case of US Municipal Governments" by Ehsan Azarmsa at the MFA Annual Meeting
2020 "How integrated are credit and equity markets? Evidence from index options" by Pierre Collin-Dufresne, Benjamin Junge, Anders B. Trolle at the EFA Annual Meeting
2019 "Same Firm, Different Betas" by Ryan Lewis at the Colorado Finance Summit
"Ownership Networks and Bid Rigging" by Kentaro Asai and Ben Charoenwong at the ANU Summer Research Camp
"Premium for Heightened Uncertainty: Solving the FOMC Puzzle" by Grace Xing Hu, Jun Pan, Jiang Wang, and Haoxiang Zhu at CICF
"Policy Interventions, Liquidity, And Clientele Effects In The Chinese Corporate Credit Bond Market" by Jingyuan Mo and Marti G. Subrahmanyam at CICF
"Reaching for Yield and Overpricing in Bonds" by Qianwen Chen and Jaewon Choi at CICF
"CDS Trading and Banking Relationship" by Chenyu Shan, Dragon Yongjun Tang and Hong Yan at CICF
"Subjective Bond Risk Premia and Belief Aggregation" by Andrea Buraschi, Ilaria Piatti and Paul Whelan at the CEPR-CUHK-ABFER Conference
2018 "Are Short Selling Restrictions Effective?" by Yashar H. Barardehi, Andrew Bird, Stephen A. Karolyi, and Thomas G. Ruchti at the HKUST Finance Symposium
"Credit and Option Risk Premia" by Lars-Alexander Kuehn, David Schreindorfer and Florian Schulz at the SFS Cavalcade
2017 "Low Risk Anomalies?" by Paul Schneider, Christian Wagner and Josef Zechner at the AFA Annual Meeting
"Municipal Bond Ratings and Style-Related Comovement: Evidence from Moody's Recalibration" by Xinyuan Stacie Tao and Chunchi Wu at CICF 2017
"Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs" by Jaewon Choi and Yesol Huh at CICF 2017
2016 "Credit Ratings, Credit Crunches, and the Pricing of Collateralized Debt Obligations" by Alexander David and Maksim Isakin at the ITAM Finance Conference
2015 "Why Does Return Predictability Concentrate in Bad Times?" by Julien Cujean and Michael Hasler at the EFA Annual Meeting
2014 "Betting on Total Asset Growth Reversal: The Role of Style Investing and Extrapolation Bias" by Eric Lam and K.C. John Wei at the SFM 2014 Conference
"Nominal Term Spread, Real Rate and Consumption Growth" by Anna Cieslak and Pavol Povala, at the Foster Summer Finance Conference

Referee Service

International Review of Finance, Journal of Banking and Finance, Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Financial Markets, Journal of Monetary Economics, Management Science, Review of Asset Pricing Studies, Review of Finance, Review of Financial Studies

Old Working Papers