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Developing new methods for valuation of Japanese firms

Research Project

Project/Area Number 19330072
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionRitsumeikan University

Principal Investigator

HOR Keiichi (HORI Keiichi)  Ritsumeikan University, 経済学部, 教授 (50273561)

Co-Investigator(Kenkyū-buntansha) AKAHORI Jirou  立命館大学, 理工学部, 教授 (50309100)
OGAWA Shigeyoshi  立命館大学, 理工学部, 教授 (80101137)
JIE Qin  立命館大学, 経済学部, 教授 (40329751)
HIBARA Nobuhiko  立命館大学, 経営学部, 准教授 (10434698)
YAMADA Toshio  立命館大学, 理工学部, 教授 (10037749)
Project Period (FY) 2007 – 2010
Project Status Completed (Fiscal Year 2010)
Budget Amount *help
¥16,380,000 (Direct Cost: ¥12,600,000、Indirect Cost: ¥3,780,000)
Fiscal Year 2010: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2009: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2008: ¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2007: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Keywordsファイナンス / 企業価値 / 確率微分方程式 / 確率過程 / コーポレート・ガバナンス
Research Abstract

We developed new methods for valuation of firms in the light of institutional characteristics of Japanese financial markets. From a theoretical view, it is shown that an adequate risk management or corporate governance brought about by systemic reforms can improve firm value. Some empirical studies we conducted implies that Japanese firms and banks selected financial strategies that improve their firm value during the 2000s, taking into account the lessons learned from what they experienced in the 1990s.

Report

(6 results)
  • 2010 Annual Research Report   Final Research Report ( PDF )
  • 2009 Annual Research Report   Self-evaluation Report ( PDF )
  • 2008 Annual Research Report
  • 2007 Annual Research Report
  • Research Products

    (51 results)

All 2011 2010 2009 2008 2007 Other

All Journal Article (28 results) (of which Peer Reviewed: 21 results) Presentation (18 results) Book (4 results) Remarks (1 results)

  • [Journal Article] On a Type I Error of a Random Walk Hypothesis on Interest Rates2011

    • Author(s)
      Jiro Akahori, Nien-Lin Liu
    • Journal Title

      International Journal of Innovative Computing, Information and Control

      Volume: 7/1 Pages: 115-131

    • NAID

      130004604491

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Around the Random Walk Hypothesis on Interest Rates2010

    • Author(s)
      Jiro Akahori, Nienlin Liu
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 206-210

    • Related Report
      2010 Annual Research Report
  • [Journal Article] Static hedging for knock-in/out options written on the price ratios : A simple case2010

    • Author(s)
      Jiro Akahori, Katsuya Takagi
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 201-205

    • Related Report
      2010 Annual Research Report
  • [Journal Article] On a Stochastic Extension of Integrated Models for Climate Changes2010

    • Author(s)
      Jiro Akahori, Takanobu Kosugi, Takafumi Kumazaki, Kenichi Oi
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 229-264

    • Related Report
      2010 Annual Research Report
  • [Journal Article] On the pricing of exotic warrant2010

    • Author(s)
      Jiro Akahori, Ryutaro Akasaka
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 241-245

    • Related Report
      2010 Annual Research Report
  • [Journal Article] Real-time estimation scheme for the spot cross volatility of jump diffusion Processes2010

    • Author(s)
      S.Ogawa, Hoan-Long Ngo
    • Journal Title

      Math.Comput.Simulation

      Volume: 80/9 Pages: 1962-1976

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Real-time estimation scheme for the spot cross volatility of jump diffusion processes2010

    • Author(s)
      S.Ogawa, Hoan-Long Ngo
    • Journal Title

      Math.And Computers in Simmulation 80

      Pages: 1962-1976

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Timing of Management Turnover under Agency Problems2009

    • Author(s)
      Hori K., H.Osano
    • Journal Title

      Journal of Economic Dynamics and Control 33/12

      Pages: 1962-1980

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] On the pricing of options written on the last exit time2009

    • Author(s)
      Akahori J., Y.Imamura, Y.Yano
    • Journal Title

      Methodology and Computing in Applied Probability 11/4

      Pages: 661-668

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Timing of Management Turnover under Agency Problems2009

    • Author(s)
      Keiichi Hbri, Hroshi Osano
    • Journal Title

      Journal of Economi c Dynamics and Control 33/12

      Pages: 1962-1980

    • Related Report
      2009 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] On the pricing of options written on the last exit time2009

    • Author(s)
      Jiro Akahori, Yuri Imamura, Yuko Yano
    • Journal Title

      Methodology and Computing in Applied Probability 11/4

      Pages: 661-668

    • Related Report
      2009 Annual Research Report 2009 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] A central limit theorem for the functional estimation of the spot volatility2009

    • Author(s)
      S. Ogawa, H-L Ngo
    • Journal Title

      Wonte Carlo Methods and Applications 15/4

      Pages: 353-380

    • Related Report
      2009 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Competition Schemes and Investment in NetWork Infrastructure under Uncertainty2009

    • Author(s)
      Keiichi Hori, Keizo Mizuno
    • Journal Title

      Journal of Regulatory Economics 35/2

      Pages: 179-200

    • Related Report
      2009 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Optimal Timing of Management Turnover under Agency Problems2009

    • Author(s)
      Keiichi Hori, Hiroshi Osano
    • Journal Title

      Journal of Economic Dynamics and Control 33/12

      Pages: 1962-1980

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A central limit theorem for the functional estimation of the spot volatility2009

    • Author(s)
      S.Ogawa, H-L Ngo
    • Journal Title

      Monte Carlo Methods and Applications 15/4

      Pages: 353-380

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Individual Investors, Resistance Lines", and Market Crashes2009

    • Author(s)
      Jie Qin
    • Journal Title

      立命館経済学 58/2

      Pages: 1-17

    • NAID

      110007518608

    • Related Report
      2009 Annual Research Report
  • [Journal Article] 日本企業の流動性資産保有に関する実証研究-上場企業の財務データを用いたパネル分析2009

    • Author(s)
      堀敬一・安藤浩一・齊藤誠
    • Journal Title

      現代ファイナンス 27

      Pages: 3-24

    • NAID

      130007528299

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Competition Schemes and Investment in Network Infrastructure under Uncertainty"2009

    • Author(s)
      Keiichi Hori, Keizo Mizuno
    • Journal Title

      Journal of Regulatory Economics 35/2

      Pages: 179-200

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 確率システムのハミルトン系について2009

    • Author(s)
      Akahori, J.
    • Journal Title

      システム/制御/情報 53, No.5

      Pages: 184-188

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Thermodynamicla approach to life insurance : discrete space-time framework ; a toy model and its analysis2009

    • Author(s)
      Jiro Akahori, Maho Nishida, Yousuke Seto
    • Journal Title

      Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 360-365

    • Related Report
      2009 Annual Research Report
  • [Journal Article] Competition Schemes and Investment in Network Infrastructure under Uncertainty2009

    • Author(s)
      K. Hori, K. Mizuno
    • Journal Title

      Journal of Regulatory Economics 35号2巻

      Pages: 179-200

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Experiment on risk attitude : The case of Chinese students2008

    • Author(s)
      Qin J., S.Sasaki, S.Xie, F.Ohtake, Y.Tsutsui
    • Journal Title

      China Economic Review 19

      Pages: 245-259

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Experiments on risk attitude : The case of Chinese students2008

    • Author(s)
      S. Sasaki, S. Xie, F. Ohtake, J. Qin, Y. Tsutsui
    • Journal Title

      China Econonmic Review 19

      Pages: 245-259

    • Related Report
      2009 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Experiments on risk attitude : The case of Chinese students2008

    • Author(s)
      S. Sasaki, S. Xie, F. Ohtake, J. Qin, Y. Tsutsui
    • Journal Title

      China Economic Review 19

      Pages: 245-259

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Real-time scheme for the volatility estimation in the presence of microstrueture noise2008

    • Author(s)
      S. Ogawa
    • Journal Title

      Monte Carlo Methods and Applications 14-4

      Pages: 331-342

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Stochastic equations on concompact groups in discrete negative time2008

    • Author(s)
      Akahori, J., C.Uenishi and K.Yano
    • Journal Title

      Probability Theory and Related Fields 140/3-4

      Pages: 569-593

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] From Access to Bypass:A Real Options Approach2007

    • Author(s)
      Hori, K and K.Mizuno
    • Journal Title

      Proceedings of the 6th Ritsumeikan International Symposium:Stochastic Processes and Application to Mathematical Finance

      Pages: 127-150

    • Related Report
      2007 Annual Research Report
  • [Journal Article] Real-time estimation scheme for the spot cross volatility of jump diffusion processes

    • Author(s)
      Ogawa S., Hoan-Long Ngo
    • Journal Title

      Math.Comput.Simulation 80(2010),no.9

      Pages: 1962-1976

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Presentation] On a discrete approximation of the sojourn time of diffusion processes2011

    • Author(s)
      S.Ogawa, H-L Ngo
    • Organizer
      Statistical inference and numerical analysis for stochastic processes and financial econometrics
    • Place of Presentation
      フィレンツェ大学(イタリア)
    • Year and Date
      2011-03-18
    • Related Report
      2010 Annual Research Report
  • [Presentation] Managerial Incentives and the Role of Advisors in the Continuous-Time Agency Model2011

    • Author(s)
      Keiichi Hori
    • Organizer
      Third Florence-Ritsumeikan Workshop on Probability and Finance
    • Place of Presentation
      フィレンツェ大学(イタリア)
    • Year and Date
      2011-03-17
    • Related Report
      2010 Annual Research Report
  • [Presentation] Some problems in noncausal stochastic calculus2011

    • Author(s)
      Shigeyoshi Ogawa
    • Organizer
      Third Florence-Ritsumeikan Workshop on Probability and Finance
    • Place of Presentation
      フィレンッェ大学(イタリア)
    • Year and Date
      2011-03-17
    • Related Report
      2010 Annual Research Report
  • [Presentation] On the validity of principal component analysis applied to the term structure of interest rates2011

    • Author(s)
      Jiro Akahori
    • Organizer
      Parma Seminar on Economics and Finance
    • Place of Presentation
      パルマ(イタリア)
    • Year and Date
      2011-03-14
    • Related Report
      2010 Annual Research Report
  • [Presentation] A Discrete Version of Clarck-Ocone Formula2011

    • Author(s)
      Jiro Akahori
    • Organizer
      Seminar on Financial Stochastic Models
    • Place of Presentation
      エコール・ポリテクニーク(フランス)
    • Year and Date
      2011-03-07
    • Related Report
      2010 Annual Research Report
  • [Presentation] Some problems in noncausal stochastic calculus2011

    • Author(s)
      Ogawa S.
    • Organizer
      Firenze-Ritsumeikan joint Workshop on Probability Theory, held at Firenze University
    • Place of Presentation
      フィレンツェ,イタリア
    • Related Report
      2010 Final Research Report
  • [Presentation] Heat Kernel Approach to Interest Rate Modelling2010

    • Author(s)
      Jiro Akahori
    • Organizer
      Quantitative Methods in Finance-2010 Conference
    • Place of Presentation
      シドニー(オーストラリア)
    • Year and Date
      2010-12-16
    • Related Report
      2010 Annual Research Report
  • [Presentation] On a discrete version of the Clark-Ocone formula, Seminar on Mathematical Finance2010

    • Author(s)
      Akahori J.
    • Organizer
      University of Technology Sydney
    • Place of Presentation
      シドニー、オーストラリア
    • Year and Date
      2010-12-13
    • Related Report
      2010 Final Research Report
  • [Presentation] On a discrete version of the Clark-Ocone formula2010

    • Author(s)
      Jiro Akahori
    • Organizer
      Seminar on Mathematical Finance
    • Place of Presentation
      University of Technology Sydney(オーストラリア)
    • Year and Date
      2010-12-13
    • Related Report
      2010 Annual Research Report
  • [Presentation] Noncausal Problems and Calculus in Mathematical Physics2010

    • Author(s)
      Shigeyoshi Ogawa
    • Organizer
      Series of 3 Lectures at Spring School of Stochastic Theory
    • Place of Presentation
      Taiwan University
    • Related Report
      2010 Annual Research Report
  • [Presentation] Action of affine Lie algebras on Wiener functionals2009

    • Author(s)
      Jiro Akahori
    • Organizer
      Workshop : "Computational Finance"
    • Place of Presentation
      京都
    • Year and Date
      2009-08-11
    • Related Report
      2009 Self-evaluation Report
  • [Presentation] A Heat Kerneal Approach to Interest Rate Models2009

    • Author(s)
      Jiro Akahori
    • Organizer
      Congress : Stochastic Analysis for and from Finance
    • Place of Presentation
      京都
    • Year and Date
      2009-08-05
    • Related Report
      2009 Self-evaluation Report
  • [Presentation] A Heat Kernel Approach to Interest Rate Models2009

    • Author(s)
      赤堀次郎
    • Organizer
      Stochastic Analysis for and from Finance
    • Place of Presentation
      京都リサーチパーク
    • Year and Date
      2009-08-05
    • Related Report
      2009 Annual Research Report
  • [Presentation] Optimal Timing of Management Turnover under Asymmetric Information2009

    • Author(s)
      Hori K.
    • Organizer
      First Florence-Ritsumeikan Workshop on Finance and Risk Theory
    • Place of Presentation
      フィレンツェ、イタリア
    • Year and Date
      2009-03-12
    • Related Report
      2010 Final Research Report
  • [Presentation] Executive turnover and compensation in growing or declining firms2009

    • Author(s)
      Keiichi Hori
    • Organizer
      First Florence-Ritsumeikan Workshop on Finance and Risk Theory
    • Place of Presentation
      フイレンツエ (イタリア)
    • Year and Date
      2009-03-12
    • Related Report
      2009 Self-evaluation Report
  • [Presentation] Regret Aversion and Informational Cascade in Security Markets2008

    • Author(s)
      Qin J.
    • Organizer
      The 3rd International Conference on Regional Cooperation and Innovation in Asia
    • Place of Presentation
      Pusan Univercity,プサン,大韓民国
    • Year and Date
      2008-11-08
    • Related Report
      2010 Final Research Report
  • [Presentation] Regret Aversion and Information Cascade in a Sequential Trading Model2008

    • Author(s)
      J. Qin
    • Organizer
      Daiwa International Workshop 2008
    • Place of Presentation
      東京
    • Year and Date
      2008-08-05
    • Related Report
      2009 Self-evaluation Report
  • [Presentation] Service Quality Measurement ad Perfomance Assessment in Financial Service Sector-Toward More Efficiency and Customer Satisfaction2008

    • Author(s)
      Nobuhiko Hibara
    • Organizer
      Spring Singapore-APO
    • Place of Presentation
      シンガポール
    • Related Report
      2009 Self-evaluation Report
  • [Book] マクロ経済学2009

    • Author(s)
      二神孝一・堀敬一
    • Total Pages
      441
    • Publisher
      有斐閣
    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report
  • [Book] マクロ経済学2009

    • Author(s)
      二神孝一, 堀敬一
    • Total Pages
      455
    • Publisher
      有斐閣
    • Related Report
      2008 Annual Research Report
  • [Book] Infrastructure versus Service-Based Competition : The case of Mobile Telecommunications2008

    • Author(s)
      K. Hori, K. Mizuno
    • Publisher
      Quantifica Publishing
    • Related Report
      2008 Annual Research Report
  • [Book] Probability Theory and Related Fields ChapterIV§15:STOCHASTIC INTEGRAL EQUATIONS OF FRDHOLM TYPE2007

    • Author(s)
      Shigeyoshi Ogawa
    • Total Pages
      392
    • Publisher
      World Scientific Pub Co Inc
    • Related Report
      2007 Annual Research Report
  • [Remarks]

    • URL

      http://www.finance.ritsumei.ac.jp/

    • Related Report
      2008 Annual Research Report

URL: 

Published: 2007-04-01   Modified: 2016-04-21  

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