Naoya Takezawa

How Did Japanese Investments Influence International Art Prices

We test the luxury consumption hypothesis of Ait-Sahalia, Parker, and Yogo (2004), using a unique international art price, import/export flow, and stock market data set. We find that the demand for art by Japanese collectors is positively correlated with art prices and Japanese stock prices. This correlation is magnified during the “bubble period” of the Japanese economy (the mid-1980s to the early 1990s) and gains even further strength for works of art typically favored by Japanese collectors. Our results suggest that Japanese investors (or Japanese asset markets) indeed affect international art prices—especially during the bubble period and its aftermath.

Investor Characteristics and Portfolio Value

AbstractThis paper investigates portfolio value behavior when the investors possessing the portfolio exhibit heterogeneous characteristics by altering the fraction of wealth invested by each investor and each investors risk aversion. Portfolio value is investigated when these investors face trading restrictions and prices are observable. The behavior of the portfolio risk characteristics is examined for specific scenarios and price processes.

DID OPTION MARKETS ANTICIPATE THE DECLINE IN JAPANESE STOCK PRICES IN 1990

We empirically investigate the extent to which index options markets anticipated the sharp decline in stock prices in early 1990 in Japan. A skewness index (Bates, 1991) measuring the extent to which out-of-the-money puts are priced relative to calls is estimated.