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Publications

by members of

Australian National University → College of Business and Economics → Research School of Finance, Actuarial Studies and Statistics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2017

  1. Yupeng Lin & Anand Srinivasan & Takeshi Yamada, 2017, "The Effect Of Government Bank Lending: Evidence From The Financial Crisis In Japan," Working Papers, Centre for Advanced Financial Research and Learning (CAFRAL), number 022304, Nov.

2015

  1. Cayton, Peter Julian, 2015, "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper, University Library of Munich, Germany, number 63755, Apr.

2012

  1. Cayton, Peter Julian A. & Mapa, Dennis S., 2012, "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper, University Library of Munich, Germany, number 36206, Jan.
  2. Cayton, Peter Julian & Bersales, Lisa Grace, 2012, "Median-based seasonal adjustment in the presence of seasonal volatility," MPRA Paper, University Library of Munich, Germany, number 37146, Mar.

2009

  1. Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009, "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper, University Library of Munich, Germany, number 25772, Dec.

2002

  1. Goyal, Vidhan K. & Yamada, Takeshi & ヤマダ, タケシ, 2002, "Asset Price Shocks, Financial Constraints, and Investment: Evidence from Japan," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2002-11, Sep.

Journal articles

2026

  1. Christopher James & Nhan Le & Duc Nguyen & Takeshi Yamada, 2026, "The Sensitivity of Bank Performance to Local Housing Prices: Evidence From Diversified and Local Banks," Journal of Business Finance & Accounting, Wiley Blackwell, volume 53, issue 2, pages 841-866, April, DOI: 10.1111/jbfa.70039.

2025

  1. Zhaohua Li & Takeshi Yamada, 2025, "The efficiency of corporate R&D investments: Information‐sharing and government subsidies," International Review of Finance, International Review of Finance Ltd., volume 25, issue 1, March, DOI: 10.1111/irfi.70011.

2024

  1. Asai, Kentaro & Hoang, Thao & Yamada, Takeshi, 2024, "Common Lender, Ex-Banker Director, and Corporate Investment," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 59, issue 8, pages 3959-3993, December.

2022

  1. Dong, Liang & Dai, Yiqing & Haque, Tariq & Kot, Hung Wan & Yamada, Takeshi, 2022, "Coskewness and reversal of momentum returns: The US and international evidence," Journal of Empirical Finance, Elsevier, volume 69, issue C, pages 241-264, DOI: 10.1016/j.jempfin.2022.10.004.

2015

  1. Peter Julian Cayton & Dennis Mapa, 2015, "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 51, issue 1, pages 23-44, June.
  2. Li, Zhaohua & Yamada, Takeshi, 2015, "Political and economic incentives of government in partial privatization," Journal of Corporate Finance, Elsevier, volume 32, issue C, pages 169-189, DOI: 10.1016/j.jcorpfin.2014.04.008.
  3. Duong, Truong X. & Huszár, Zsuzsa R. & Yamada, Takeshi, 2015, "The costs and benefits of short sale disclosure," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 124-139, DOI: 10.1016/j.jbankfin.2014.12.014.

2014

  1. Carlos Primo C. David & Peter Julian A. Cayton & Theresa E. Lorenzo & Eduardo C. Santos, 2014, "Statistical analysis of Philippine water district characteristics and how these affect water tariffs," Water International, Taylor & Francis Journals, volume 39, issue 1, pages 1-9, January, DOI: 10.1080/02508060.2013.847687.

2013

  1. Sankaraguruswamy, Srinivasan & Shen, Jianfeng & Yamada, Takeshi, 2013, "The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4134-4143, DOI: 10.1016/j.jbankfin.2013.07.026.

2011

  1. Hao Jiang & Takeshi Yamada, 2011, "The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium," Financial Analysts Journal, Taylor & Francis Journals, volume 67, issue 6, pages 61-76, November, DOI: 10.2469/faj.v67.n6.2.

2010

  1. Peter Julian A Cayton & Dennis S Mapa & Mary Therese A Lising, 2010, "Estimating Value At Risk Var Using Tivex Pot Models," Journal of Advanced Studies in Finance, ASERS Publishing, volume 1, issue 2, pages 152-170.

2008

  1. Bae, Kee-Hong & Yamada, Takeshi & Ito, Keiichi, 2008, "Interaction of investor trades and market volatility: Evidence from the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, volume 16, issue 4, pages 370-388, September.

2006

  1. Kee‐Hong Bae & Takeshi Yamada & Keiichi Ito, 2006, "How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan," International Review of Finance, International Review of Finance Ltd., volume 6, issue 3‐4, pages 129-155, September, DOI: 10.1111/j.1468-2443.2007.00062.x.

2004

  1. Vidhan K. Goyal & Takeshi Yamada, 2004, "Asset Price Shocks, Financial Constraints, and Investment: Evidence from Japan," The Journal of Business, University of Chicago Press, volume 77, issue 1, pages 175-200, January, DOI: 10.1086/379866.

2002

  1. Shu, Pei-Gi & Yeh, Yin-Hua & Yamada, Takeshi, 2002, "The behavior of Taiwan mutual fund investors--performance and fund flows," Pacific-Basin Finance Journal, Elsevier, volume 10, issue 5, pages 583-600, November.

2000

  1. Jun‐Koo Kang & Anil Shivdasani & Takeshi Yamada, 2000, "The Effect of Bank Relations on Investment Decisions: An Investigation of Japanese Takeover Bids," Journal of Finance, American Finance Association, volume 55, issue 5, pages 2197-2218, October, DOI: 10.1111/0022-1082.00284.

1997

  1. Cai, Jun & Chan, K C & Yamada, Takeshi, 1997, "The Performance of Japanese Mutual Funds," The Review of Financial Studies, Society for Financial Studies, volume 10, issue 2, pages 237-273.

1988

  1. Pettway, Richard H & Tapley, T Craig & Yamada, Takeshi, 1988, "The Impacts of Financial Deregulation upon Trading Efficiency and the Levels of Risk and Return of Japanese Banks," The Financial Review, Eastern Finance Association, volume 23, issue 3, pages 243-268, August.

Chapters

2019

  1. Peter Julian Cayton & Kin-Yip Ho, 2019, "The Impact of News Sentiment on Financial Risk: An Extreme Value Approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Sabri Boubaker & Duc Khuong Nguyen, "HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers".

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