Masahiro Yamada (山田 昌弘)
E-mail: m.yamada "at" econ.osaka-u.ac.jp (replace "at" with @)
研究者情報: https://researchmap.jp/myamada2012
Research updates: https://www.researchgate.net/profile/Masahiro-Yamada
Current Position
2019-present, Associate Professor, Graduate School of Economics, Osaka University (affiliated with MMDS)
Research Interests
Finance, Market microstructure, Financial markets, Individual traders, International finance
Education
PhD in Economics, University of Maryland, College Park, 2012
Published Articles
Masahiro Yamada and Takatoshi Ito, "Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements", Journal of International Money and Finance, 2021, forthcoming
Masahiro Yamada, "Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?", Finance Research Letters, 2021, forthcoming
Takatoshi Ito and Masahiro Yamada, "Did the Reform Fix the London Fix problem?", Journal of International Money and Finance, 80, 2018
Masahiro Yamada and Takatoshi Ito, "The Forex Fixing Reform and its Impact on Cost and Risk of Forex Trading Banks", Finance Research Letters, 21, 2017
Takatoshi Ito and Masahiro Yamada, "Puzzles in the Tokyo fixing in the Forex Market: Order Imbalances and Biased Pricing by Banks", Journal of International Economics, 109, 2017
Work in Progress
山田昌弘, "個人投資家の注文不均衡は将来の株価収益率を予測するか？" (2021-)
Masahiro Yamada, "Price Discovery Skill" (2020-)
Masahiro Yamada, "The Disposition Effect, Order Flow Predictability, and Market Efficiency" (2013-), Journal of Empirical Finance, revision requested
Working Papers
Takatoshi Ito and Masahiro Yamada, "Was Forex Fixing Fixed? ", NBER working paper w21518 (September 2015)
Takatoshi Ito and Masahiro Yamada, "High-frequency, Algorithmic Spillovers Between NASDAQ and Forex", NBER working paper w21122 (April 2015)
Masahiro Yamada, "Intraday Liquidity Arbitrage Opportunities", dissertation chapter
Masahiro Yamada, "Informed Manipulation in a Linear Equilibrium", dissertation chapter
Marco Cipriani and Masahiro Yamada, "The Informational Channel of Financial Contagion: An Empirical Analysis with Market Microstructure Data", dissertation chapter
In Press
"The Size of Government and Social Security System"(2007) (in Japanese, "Seifu no Ohkisa to Shyakai Hoshyou Seido")
Ch.7, Estimating Household's Preference in a Dynamic General Equilibrium Model. (with Toshiya Hatano)
Funds
KAKEN 17H00995 "外国為替市場の効率性と安定性に対する高速取引の影響：高頻度データによる分析"（研究分担者） 2019-2022