Note: Please see my Curriculum Vitae for details
Selected Papers
- "Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Markets, 1924-1943," with Kenichi Hirayama, Asia-Pacific Economic History Review, 65(1), pp.131-159, 2025. [Replication Files] [Technical Appendix]
- "An Alternative Estimation Method for Time-Varying Parameter Models," with Mikio Ito and Tatsuma Wada, Econometrics, 10(2), 23, 2022.
- "The Futures Premium and Rice Market Efficiency in Prewar Japan," with Mikio Ito and Kiyotaka Maeda, Economic History Review, 71(3), pp.909-937, 2018. [WP Version]
- "A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan," Finance Research Letters, 17, pp.66-71, 2016. [WP Version]
Working Papers
- "Economic Growth, Financial Constraints, and the Evolution of Financial Market Efficiency in Japan, 1924-2024," with Kenichi Hirayama and Keiichi Morimoto [SSRN:6297578].
- "Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models," with Koichiro Moriya [arXiv:2601.21272]. [Old Version]
- "Time Instability of the Fama-French Multifactor Models: An International Evidence," with Koichiro Moriya [arXiv:2208.01270].
- "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," with Koichiro Moriya [arXiv:2305.05998] [Techni- cal Appendix].