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| Ken-ichi TATSUMI |
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Professor |
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| (Place and year of birth : Osaka City, Osaka Prefecture, 1947) |
| [Bio/CV] |
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Undergraduate
Monetary and Financial Theory
Graduate
Monetary and Financial Economics
Quantitative Method of Economic Analysis |
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Osaka University, Department of Economics April 1965-March 1969 (B.A. degree,
March 1969)
Osaka University, Graduate Division for Research of Economics April 1969-July
1972 (M.A. degree, March 1971)
University of Pennsylvania, Graduate Group in Economics Philadelphia, Pa.
19104 U.S.A. September 1972-(Ph.D. degree, December 1975) |
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Tokyo Keizai University, Faculty of Business Administration
Kokubunji-city, Tokyo 185-0021 Japan
Assistant Professor April 1976-March 1978
Associate Professor April 1978-March 1983
Professor April 1983-March 1990
Gakushuin University, Faculty of Economics
Mejiro, Toshima-ku, Tokyo 171-8588 Japan
Professor April 1990-Present
Head of Department of Economics April 1993-March 1995
Head of Law and Economics Library April 2002-March 2003
Head of Graduate School of Economics April 2003-March 2005
Other Positions
Academic Visitor, London School of Economics, Spring 1988
Visiting Lecturer, Graduate School of Commerce，Nihon University April
1998-Present |
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Teaching Experiences
Security Market 1989-1991
Monetary and Financial theory 1991-Present
Macro and microeconomics 1979 and 1986 respectively
Corporate Finance 1976-1993
Honors and Awards
(ⅰ) Nominee, Nominated for 1985 Nikkei Book Prize: Japanese Banking and Security Industries (in Japanese), 1984.
(ⅱ) Kusumoto Prize 1969 of Osaka University (Graduation of Economics Department
with the top average mark)
(ⅲ)Scholarship or Fellowship: Asia Foundation Travel Grant, University
of Pennsylvania Economics Research Unit Fellowship, Japan Ikueikai Scholarship,
Hyogo Mutual bank Scholarship, Tokai Bank Scholarship
(iv)Research Grant: Ministry of Education, Trust Bank Association, Telecommunications
Advancement Foundation, Postal Bank Insurance and Pension Cultural Foundation,
Bank Association, TCER and many others
Publications I: Refereed Journals or Conferences with Online Proceedings
(ⅰ)“Epps Effect of Daily Stock Prices and its Mechanism(in Japanese),”
(with Hoshi, Y., Mori, Y., and Matsuba, I.), IEICE , June 2010, pp. 440-443.
(ⅱ)“Optimal timing of information security investment,” (with Goto,
M.)
WEIS 2009, University College of London, June 25 2009. Downloadable
(http://weis09.infosecon.net/files/112/index.html)
(ⅲ) "IPOs in Jasdaq Securities Exchange", International Journal of Applied Economics and Econometrics, Vol. 12, No.4, 2004, pp. 537-556.
(iv) “IPOs of Founder-owned Firms and Subsidiaries of Listed Companies
in Jasdaq Market～Statistical Test of Entrenchment Hypothesis (in Japanese)”,
(with Kayama, Y.) The JSRI Journal of Financial and Securities Markets,
September 2004，No.47, pp. 65-82.
(v) “Nonlinear Time Series Analyses of the Days-of-the-Week Effect on
Stock
Return (in Japanese)”, (with Miyano, T.) IEICE Transactions (The Institute of
Electronics, Information and Electronics), August 2004，Vol.J87, No.9,
pp.
1226-1235.
( ⅵ )“Bookbuilding of IPOs in Japanese OTC Stock Market ～ Statistical
Ken-ichi TATSUMI(March 2011) page2
Comparison with Auction (in Japanese)”, (with Kayama, Y.) The JSRI Journal
of Financial and Securities Markets, March 2003，No.41, pp. 143-157.
(ⅶ) “Fuzzy Regression Analysis of Data with Error (in Japanese)”, (with
Yabuuti, K. and Watada, J.) Journal of Japan Society for Fuzzy Theory and
Systems, vol.6, No.2, pp. 1161-1170 (1994).
( ⅷ )“Corporate Grouping in Japanese Securities Industry ― Historical
Perspective (in Japanese) ”, Japan Financial Review, April 1985, pp.39-59.
(IX)“Commercial Bank Lending Behavior and Risk-Taking”, Economic Studies
Quarterly (currently Japan Economic Review ), December 1976, pp. 221-232.
(X)“Essays in the Theory of Bankruptcy of the Firm and Financial Market”,
University of Pennsylvania Ph.D. Dissertation, December 1975. (Supervised
by late Dr. Irwin Friend.)
(XI) “Translation Costs and the Precautionary Demand for Money”, Economic
Studies Quarterly (currently Japan Economic Review ), April 1974, pp. 56-60.
Publications II: Unrefereed Articles or conference papers
There are more than 60 articles in commercial journals without referees,
which I was asked to write by the editors of Weekly Diamond, Financial Review (Ministry of Finance, Japan ), Weekly Economist, Monthly Kinyu Journal, Kinzai Weekly, Financial Analyst
Journal and others.
“Nonlinear Time Series Analysis of Stock Return Variation,” (with Miyano,
T.)
Research Institute for Mathematical Sciences, Kyoto University, Note 1620、
January 2009, pp.27-38.
“Financial Anomalies and Market-Neutral Investment Strategies”, Gakushuin Economic Papers, January 1999, pp.185-203. Downloadable
(http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_files/keizai_ronsyuu
/contents/3503=04/3503=04-19tatsumi.pdf )
Publications III: Books
(i) Structured Portfolio Management: An Introduction (in Japanese),
Yuhikaku, 2005.
(ⅱ) The Theory of Monetary and Security Market Analysis (in Japanese),
Chuou Keizaisha, March 2004.
(ⅲ) Mathematics for Derivatives and Financial Products: Problems and Exercises (in Japanese), Toyo Keizai Shinposha, 1996.
(iv) Mathematics for Derivatives and Financial Products (in Japanese), Toyo Keizai Shinposha, 1995.
(v) Monetary Theory for Analyst (in Japanese), Toyo Keizai Shinposha, 1993.
(vi) Security Analysis and Portfolio Management for Analyst (in Japanese), Yuhikaku, 1991.
(ⅶ) Corporate International Finance (in Japanese), Toyo Keizai Shinposha, 1990.
(ⅷ) Japanese Banking and Security Industries (in Japanese), Toyo Keizai Shinposha, 1984.
(ix) Japanese Monetary and Capital Markets (in Japanese), Toyo Keizai Shinposha, 1982.
Publications IV: Book Chapters, Translations, Book Editor and Others
11 book-chapters, including：
“Hedging, IPOs and Japanese Days-of-the-Week Stock Return Pattern”, in
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Susai, M. and Uchida, S., (eds.), Studies on Financial Markets in East Asia,
World Scientific, 2011. (Chapter 8, pp.121-145.)
“Optimal Timing of Information Security Investment,” (with Goto, M.)
in
Economics of Information Security and Privacy, Moore, T., Pym, D. and
Ioannidis, C. (eds.), Springer, 2010. (Chapter 11)
“Nonlinear Computational Finance and Forecasting”, in Future of Economic
Science, Puttaswamaiah, K., Ed., Isle Publishing Company, September 2009,
pp. 275-303 (Chapter 16).
“Japanese Stock Market: Function and Pricing”, in The Current State of
Economic Science, ed. by Dahiya, S. B., Spellbound, June 1999, Vol.3,
pp.1637-1651.
3 book-translations:
George J. Stigler, The Theory of Price.
Eugene F. Fama, The Foundation of Finance .
Peter L. Bernstein, Ed. The Theory and Practice of Bond Portfolio Management.
4 Editing Books:
Defined Contribution Pension Fund: An Introduction, (in Japanese) Center for
Defined Contribution, 2001.
Defined Contribution Pension Fund: Perfect Master, (in Japanese) Center for
Defined Contribution, 2001.
CIIA Subnote / Portfolio Management, Derivative, and Bond Analysis, (in
Japanese) Security Analyst Association of Japan, 2004.
CIIA Subnote / Stock Analysis and Corporate Finance, (in Japanese) Security
Analyst Association of Japan, 2004.
6 book reviews:
Notable Contributions and/or Presentations
(ⅰ) “The-Days-of-the-Week Effect and LME Metal Market”, (with Miyano,
T.)Paper presented at the APAD (Asian-Pacific Association of Derivatives)
Annual Conference held June 22-23, 2006 in Pusan, Korea.
“Stock Index Derivatives, IPOs and Japanese Days-of-the-Week Stock Return
Pattern”, Paper presented at APAD Conference in Busan, Korea, June 27,
2008.
“Hedging, IPOs and Japanese Days-of-the-Week Stock Return Pattern”,
Paper presented at The Fourth East-Asian Conference on Finance and
Accounting, Nagasaki University, Nagasaki, Japan, December 12-13, 2008.
(ⅱ) Session Chair and/or Discussant in International Meeting
Discussant: Financial Management Association Annual Meeting, Salt Lake
City Utah, USA, Oct. 2006. European Meeting, Praha Czech, June 2009. New
York, USA, Oct. 2010.
Discussant: APAD (Asian-Pacific Association of Derivatives) Annual
Conference, Pusan, Korea, June, 2006. Pusan, Korea, June, 2008.
Session Chair and Discussant: Financial Management Association Annual
Meeting, Denver Colorado, USA, Oct. 2003.
(ⅲ) “Financial Anomalies and Market-Neutral Investment Strategies” ,
Paper
presented (invited talks) at the conference on Developments in Japanese
Financial Markets Held at the University of Southern California, LA, June
9,
1994.
(vi) “Bankruptcy and the Modigliani-Miller Theorem”, a paper presented
at
the May, 1971 meeting of the Theoretical Economics and Econometric Society
of Japan ( Japan Economic Association). (A comment by the discussant on
this
paper appeared in December, 1974 issue of Economic Studies Quarterly
(currently Japan Economic Review )).
Working papers
“The Days-of-the-Week Anomaly Change in LME Metal Market ~Nonlinear
Approach~,” June 2009, TCER working paper E-14(with Miyano, T.).
downloadable(www.tcer.or.jp/wp/pdf/e14.pdf)
Current Interests and Researches
Nonlinear Time Series Analysis, IPO, Commodities and their Derivatives,
(Global) Investment Strategies, Swaps and Derivatives, Financial Market
and
Monetary Policy:
“Periodicity Analysis by Rank and Daily Stock Return Anomaly”, (with
Miyano, T.) Gakushuin University mimeo, March 2004.
“Nonlinear Computational Finance and Forecasting ”, Gakushuin University
GEM discussion paper No.02-3, Oct. 2002，P. 29.
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