Details about Takao Kobayashi

Access statistics for papers by Takao Kobayashi.

Last updated 2010-08-04. Update your information in the RePEc Author Service.

Short-id: pko401

Working Papers

2009

1. Investment Frictions versus Financing Frictions
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

2008

2. "A Separation Theorem of Active Management and Synthetic Enhanced Active Strategies"(in Japanese)
   CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
3. Human Capital as an Asset Mix and Optimal Life-Cycle Portfolio: An Analytical Solution
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

2007

4. "A Structural Approach without Path Dependency"(in Japanese)
   CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
5. "Closed-form Solution of Bond Prices with Postponement of Redemption"(in Japanese)
   CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
6. "Global Risk Sharing: Toward a stronger Financial System"(in Japanese)
   CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
7. Why some Distressed Firms Have Low Expected Returns"
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

2006

8. "Rethinking '100% Money': Challenges from New Financial Technology"(in Japanese)
   CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
9. "Style Management and Behavioral Finance"(in Japanese)
   CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
10. "The Critical Weakness of the Japanese Financial System and Its Remedy "(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
11. "The Market Efficiency - 35 years after Fama"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo

2005

12. "Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
13. Style Analysis Based on a General State Space Model and Monte Carlo Filter
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)

2004

14. Dynamic Optimality of Yield Curve Strategies
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2001) View citations (10)
    See also Journal Article Dynamic Optimality of Yield Curve Strategies*, International Review of Finance, International Review of Finance Ltd. (2003) View citations (4) (2003)

2003

15. "Credit Risk Modeling Approaches"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
16. "Valuing Variable Annuities" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo

2001

17. "A New Dimension of Equity Analysis and Valuation" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
18. "Dynamic Optimality of Some Yield Curve Strategies" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
19. "Earning Forecasts, Earning Surprises and the Value Anomaly"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
20. "Pricing Convertible Bonds with Credit Risk: A Duffie-Singleton Approach "(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
21. Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (27)
22. The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    See also Journal Article The Contributions of Professors Fischer Black, Robert Merton and Myron Scholes to the Financial Services Industry, International Review of Finance, International Review of Finance Ltd. (2000) (2000)

2000

23. "Cross-shareholdings and Equity Valuation in Japan "(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
24. "Does the Public Offering of Parent and Subsidiary Companies Distort the Market?" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
25. "Publicly Listed Parent/Subsidiary Pairs: Benchmarking to TOPIX and Market Distortion" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
26. "Value Anomaly and Market Overreaction: Analysis using Earnings Forecast Data"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
27. Publicly Listed Parent/Subsidiary Pairs: Benchmarking to TOPIX and Market Distortion
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)

1998

28. "An Economics Contribution that is In-the-Money"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
29. The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)

1997

30. "A Theoretical Foundation for Equity Style Management"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
31. "Cross-sectional Variation of Stock Returns: A Cristal Survey"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
32. "Forecasting Interest Rates using Vasicek's Term Structure Model"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo

Journal Articles

2003

1. Dynamic Optimality of Yield Curve Strategies*
   International Review of Finance, 2003, 4, (1‐2), 49-78 View citations (4)
   See also Working Paper Dynamic Optimality of Yield Curve Strategies, CIRJE F-Series (2004) (2004)

2000

2. The Contributions of Professors Fischer Black, Robert Merton and Myron Scholes to the Financial Services Industry
   International Review of Finance, 2000, 1, (4), 295-315
   See also Working Paper The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry, CIRJE F-Series (2001) (2001)

1980

3. Equilibrium Contracts for Syndicates with Differential Information
   Econometrica, 1980, 48, (7), 1635-65 View citations (23)

Editor

1. International Review of Finance
   International Review of Finance Ltd.