A Dynamic Analysis of Corporate Profitability and Risk Choices: Theory and Empirical Data from Japanese Firms

• Project/Area Number: 16H03642
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Kwansei Gakuin University
• Principal Investigator: HORI Keiichi 関西学院大学, 経済学部, 教授 (50273561)
• Co-Investigator(Kenkyū-buntansha): 青野 幸平 立命館大学, 経済学部, 准教授 (20513146) ; 赤堀 次郎 立命館大学, 理工学部, 教授 (50309100) ; Kohatsu・Higa A 立命館大学, 理工学部, 教授 (80420412) ; 播磨谷 浩三 立命館大学, 経営学部, 教授 (90347732)
• Project Period (FY): 2016-04-01 – 2020-03-31
• Project Status: Completed (Fiscal Year 2019)
• Budget Amount: ¥17,030,000 (Direct Cost: ¥13,100,000、Indirect Cost: ¥3,930,000); Fiscal Year 2019: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2018: ¥5,330,000 (Direct Cost: ¥4,100,000、Indirect Cost: ¥1,230,000); Fiscal Year 2017: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000); Fiscal Year 2016: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
• Keywords: 企業金融 / ファイナンス / 資産価格 / 確率微分方程式 / 金融 / 確率過程 / 金融論

Outline of Final Research Achievements

An efficient method of simulating stochastic differential equations is proposed in order to depict and quantitatively evaluate the uncertainty faced by firms in economic models. We also developed a mathematical propagation model of financial institution failures. A theory of optimal contracting in the face of uncertainty and information asymmetry and capital investment with learning in the face of incomplete information about profitability are proposed. We show that the impact of corporate governance on the management of financial institutions in Japan varies by business type. We also show that bank mergers are more effective, the larger the banks are. We find that the impact of non-traditional monetary policy in Japan on stock prices varies by industry.

Academic Significance and Societal Importance of the Research Achievements

本研究課題は、収益性とリスクは相反するということを前提に、企業が両者のバランスを最適に選択する問題を、その手法、モデル、そして日本経済への応用という一貫した枠組みで考察した。本研究は言うまでもなく、この問題に対して決定的な答えを与えたというよりは、一つの側面からこの問題を分析したに過ぎない。しかしながら今回の研究で企業が直面する「異質性」が明らかになった点は本研究成果の貢献である。こうした異質性を無視して画一的な経済政策を行うと、かえって弊害が生じる可能性があることを本研究は示唆している。

Research Products

• [Journal Article] Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations (2020)
  • Author(s): Patrik Andersson, Arturo Kohatsu-Higa, Tomooki Yuasa
  • Journal Title: Stochastic Processes and their Applications Volume: - Issue: 9 Pages: 5543-5574
  • DOI: 10.1016/j.spa.2020.03.016
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Performance of agricultural cooperative banks in Japan: Difference between stock and flow output variables (2019)
  • Author(s): Kozo Harimaya and Koichi Kagitani
  • Journal Title: Agricultural Finance Review Volume: 80/1 Issue: 1 Pages: 38-50
  • DOI: 10.1108/afr-03-2019-0036
  • Peer Reviewed
• [Journal Article] Bridge representation and modal-path approximation (2019)
  • Author(s): Jiro Akahori, Xiaoming Song, Tai-Ho Wang
  • Journal Title: Stochastic Processes and their Applications Volume: 129 Issue: 1 Pages: 174-204
  • DOI: 10.1016/j.spa.2018.02.013
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] STOCHASTIC FORMULATIONS OF THE PARAMETRIX METHOD (2018)
  • Author(s): Arturo Kohatsu-Higa and Go Yuki
  • Journal Title: ESAIM: Probability and Statistics Volume: 22 Pages: 178-209
  • DOI: 10.1051/ps/2018013
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] "The effects of consolidation on bank cost savings: Evidence from Japanese regional banks." (2018)
  • Author(s): Kozo Harimaya
  • Journal Title: Japan and the World Economy Volume: 印刷中 Pages: 41-49
  • DOI: 10.1016/j.japwor.2018.03.002
  • Peer Reviewed / Open Access
• [Journal Article] "Effects of bank branch competition on rural firm entry and exit: Evidence from Hokkaido, Japan" (2018)
  • Author(s): Kozo Harimaya and Yasufumi Ozaki
  • Journal Title: Theoretical Economics Letters Volume: 8 Issue: 03 Pages: 390-404
  • DOI: 10.4236/tel.2018.83028
  • Peer Reviewed / Open Access
• [Journal Article] Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift (2017)
  • Author(s): Kohatsu-Higa Arturo、Lejay Antoine、Yasuda Kazuhiro
  • Journal Title: Journal of Computational and Applied Mathematics Volume: 326 Pages: 138-158
  • DOI: 10.1016/j.cam.2017.05.015
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Agency conflicts, Noncommitment Timing Strategies, and Real Options (2017)
  • Author(s): Keiichi Hori, Hiroshi Osano
  • Journal Title: Japanese Economic Review Volume: - Pages: 521-554
  • DOI: 10.1111/jere.12144
  • Peer Reviewed
• [Journal Article] “The efficiency of Japanese financial cooperatives: An application of parametric distance functions" (2017)
  • Author(s): Nobuyoshi Yamori, Kozo Harimaya, and Kei Tomimura
  • Journal Title: Journal of Economics and Business Volume: 94 Pages: 45-53
  • DOI: 10.1016/j.jeconbus.2017.09.001
  • Peer Reviewed / Open Access
• [Journal Article] “Corporate governance structure and efficiencies of cooperative banks" (2017)
  • Author(s): Nobuyoshi Yamori, Kozo Harimaya, and Kei Tomimura
  • Journal Title: International Journal of Finance and Economics Volume: 22 Issue: 4 Pages: 368-378
  • DOI: 10.1002/ijfe.1593
  • NAID: 120006398792
  • Peer Reviewed / Open Access
• [Journal Article] A Discrete-Time Clark-Ocone Formula and its Application to an Error Analysis (2016)
  • Author(s): Jiro Akahori, Takafumi Amaba, Kaori Okuma
  • Journal Title: Journal of Theoretical Probability Volume: published online Issue: 3 Pages: 932-960
  • DOI: 10.1007/s10959-016-0666-8
  • Peer Reviewed / Acknowledgement Compliant
• [Presentation] Debt Maturity, Default, and Investment under Rollover Risk and Solvency Concern (2018)
  • Author(s): 堀 敬一
  • Organizer: 日本経済学会2018年度春季大会
• [Presentation] Introduction to Malliavin-Mancino Fourier estimation method (2018)
  • Author(s): Jiro Akahori
  • Organizer: Sookmyung Math Finance Conference
  • Int'l Joint Research
• [Presentation] Diffusion Estimation with Fourier Method (2018)
  • Author(s): Jiro Akahori
  • Organizer: International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on FinTech Business
  • Int'l Joint Research
• [Presentation] On the Law of Square Integral of Fractional Brownian Motion (2018)
  • Author(s): Jiro Akahori
  • Organizer: Stochastic processes with applications in finance and related fields
  • Int'l Joint Research
• [Presentation] Polya Urn in Finance (2018)
  • Author(s): Jiro Akahori
  • Organizer: Quantitative Methods in Finance 2018 Conference
  • Int'l Joint Research
• [Presentation] Default Contagion with Domino Effect (2018)
  • Author(s): Jiro Akahori
  • Organizer: 4th Berlin-Princeton-Singapore Workshop on Quantitative Finance
  • Int'l Joint Research
• [Presentation] Unbiased simulation methods based on the parametrix I, II (2018)
  • Author(s): Arturo KOHATSU-HIGA
  • Organizer: Seminaire de probabilites de Nancy
  • Int'l Joint Research
• [Presentation] Stochastic Calculus of General Equilibrium (2018)
  • Author(s): Jiro Akahori
  • Organizer: Workshop on Stochastic Control and Related Issues
  • Int'l Joint Research
• [Presentation] A Structural Model for Default Contagion (2018)
  • Author(s): Jiro Akahori
  • Organizer: The Fifth Asian Quantitative Finance Conference
  • Int'l Joint Research
• [Presentation] Unbiased simulation methods of order two (2018)
  • Author(s): Kohatsu-Higa Arturo
  • Organizer: WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES"
  • Int'l Joint Research
• [Presentation] Debt Maturity, Default, and Investment under Rollover Risk and Solvency Concern (2017)
  • Author(s): 堀敬一
  • Organizer: 金融工学・数理計量ファイナンスの諸問題2017
  • Invited
• [Presentation] Stochastic Volatility Models of Quadratic Volterra Gaussian Type (2017)
  • Author(s): 赤堀次郎
  • Organizer: 金融工学・数理計量ファイナンスの諸問題2017
  • Invited
• [Presentation] Simulation methods based on the parametrix (2017)
  • Author(s): Kohatsu-Higa Arturo
  • Organizer: London Mathematical Society EPSRC Durham Symposium Stochastic Analysis
  • Int'l Joint Research
• [Presentation] Oil Shocks, Exchange Rate Shocks, and Japanese Stock Markets (2017)
  • Author(s): 青野幸平
  • Organizer: 日本金融学会