A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information

A one-factor asset pricing model with an Ornstein–Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a liquid asset and exponential utility indifference pricing formulas for derivative securities written on an illiquid asset are presented. Moreover, a conditionally linear filtering result is introduced to compute the pricing/hedging formulas and the Bayesian estimators of the hidden variables.     

Employee Stock Ownership Plans and Productivity in Japanese Manufacturing Firms

By using a large new enterprise-level data set, and evidence drawn from case studies, we show that Japanese employee stock ownership plans (ESOPs) are a pervasive and neglected institution. In 1988, more than 90% of all firms listed on Japanese stock markets had an ESOP, and close to 50% of the labour force in firms with ESOPs participated in the plan. Micro data and a production function framework are used to examine the effects on business performance of ESOPs. On average, the net effect of introducing an ESOP is to increase productivity by almost 7%.     

Optimal tracking for asset allocation with fixed and proportional transaction costs

This paper studies the asset allocation problem of optimally tracking a target mix of asset categories when there are transaction costs. We consider the trading strategy for an investor who is trying to minimize both fixed and proportional transaction costs while simultaneously minimizing the tracking error with respect to a specified, target asset mix. We use imupulse control theory in a continuous-time, dynamic setting to deal with this problem in a general and analytical way, showing that the optimal trading strategy can be characterized in terms of a quasi-variational inequality. We derive an explicit solution for the two-asset case, and we use this to provide a sensitivity analysis, showing how the optimal strategy depends upon individual input parameters. We also use some theory for one-dimensional diffusion processes to derive analytical expressions for various measures of performance such as the average time between transactions.     

Optimal pair-trading strategy over long/short/square positions—empirical study

Suzuki [Automatica, 2016, 67, 33–45] solves the optimal, finitely iterative, three-regime switching problem for investing in a mean-reverting asset that follows an Ornstein–Uhlenbeck price process and find explicit solutions. The remarkable feature of this model is that the investor can explicitly take either a long, short or square position and can switch the position, with transaction costs, during the investment period. We run empirical simulations of such multiple-regime switching models. There are very few such attempts in the existing literature because it is difficult to find, first, an explicit solution to the problem and second, appropriate financial assets that follow the artificial stochastic process required by the mathematical model. According to the Monte Carlo simulations of the optimal pair-trading strategy, the mean daily Sharp ratio is more than 2.3, whereas the mean Sharp ratio for the historical simulation of the ‘stub’ pairs (combinations of parent/subsidiary companies) is 0.6886. We believe that the results obtained from performing the empirical simulations are remarkable and consider that the optimal switching strategy of the rigorous mathematical model is applicable to businesses in the real world. For the reference many pseudo-program codes are added, which can help to replicate the optimal trading strategies.     

Work and family practices in Japanese firms: their scope,nature and impact on employee turnover

Using firm-level data from Japan, this study examines the effects of four commonly used work and family practices on employee turnover: flextime, maternity leave, child care leave, and nursing care leave. Overall, we find statistically significant associations between work and family practices and female employee turnover in Japan. In stark contrast, we do not find such a statistically significant linkage between work and family practices and male employee turnover. As such, this study highlights the potential moderating effect of individual characteristics such as gender on the relationship between work and family practices and employee attitudes and behaviours.     

ANALYSIS OF AN OPTION MARKET DYNAMICS BASED ON A HETEROGENEOUS AGENT MODEL

We propose a two‐market model in which an option market and its underlying market interact. Many artificial markets representing stock markets have been developed, and these models have been actively used to investigate the effects of market rules. However, no artificial market model for derivatives has been intensively studied, even though derivative markets are increasingly important. We tested stylized facts that can be observed in an option market and our model can replicate fat‐tailed distributions, positive skew of the return and positive autocorrelation of the square of return of implied volatility. We found that the speed of volatility mean reversion for fundamentalists and the existence of chartists are important factors for replicating the positive skew of an option market. The value of fat‐tailed distributions and positive skewness of the return get closer to the real value by coupling an option market and an underlying market. Copyright © 2014 John Wiley & Sons, Ltd.     

The effect of exchange rate changes on Japanese consumption exports

This paper investigates how exchange rates affect Japanese exports. This is difficult because many of Japan's exports are used to produce goods for re-export. An appreciation in the importing country that decreases exports can decrease its imported inputs from Japan. To avoid this bias we examine consumption exports. Using a panel dataset of Japan's consumption exports to 17 countries over the 1988–2009 period, we find exchange rate elasticities of about one. These results indicate that the large swings in the value of the yen over the last decade have caused large swings in the volume of Japanese exports.     

Qualitative and quantitative studies of leadership in multinational settings: Meta-analytic and cross-cultural reviews

Much of the research on leadership has been conducted by Western researchers and has led to a largely Western and individualistic perspective on leadership. This has led researchers to raise questions concerning the extent to which these theories apply globally. In particular, do Western theories of leadership apply to the same extent in more communal Asian countries, such as Japan, China, Indonesia, and Thailand? Based on leadership studies conducted in Japan, we argue that Japanese leadership practices often differ from the styles practiced widely in the West. These differences in behavior have their roots in Japanese cultural traditions and business practices. Our conclusion is based on the results of meta-analyses of studies of the five most popular leadership theories used in the West, an empirical study of transformational and gatekeeper leadership, and in-depth qualitative case studies of three Japanese corporate leaders. We observe that there are relatively few qualitative studies of leaderships in international contexts, and propose that in order to understand leadership phenomena in a global context, it is necessary to take a triangulation approach, employing surveys, experimental manipulations, company records, and qualitative interviews.