Details of a Researcher - Hibiki, Norio

Papers - Hibiki, Norio

Division display 1 - 20 of about 102 ／ All the affair displays >>

Herding effect of both global and local crises in BRICS countries

Tatomir M. and Hibiki N.

Journal of Economic Asymmetries 31 2025.06

Research paper (scientific journal), Joint Work, Last author, Accepted, ISSN 17034949

This research addresses the asymmetric acknowledgment given to local versus global crises, particularly within the BRICS nations. Local crises often surpass global events in their impact but remain underexplored. Using a comprehensive approach combining Financial and Economic, Public Sentiment, and Governance data, the research applies a novel Axiom and Inference model to identify overlooked crises. Results indicate that local crises in BRICS countries have measurable impacts exceeding global benchmarks, with distinctive patterns of herding behaviour: China primarily responds to global crises, India reacts equally to both, and Brazil, Russia, and South Africa exhibit stronger herding during local crises. The findings challenge traditional crisis frameworks, emphasizing the need to recognize and address local and non-financial crises to mitigate their potential escalation into global phenomena.

Access to Document (DOI)

The impact of macroeconomic announcements on risk, preference, and risk premium

T. Kiriu and N. Hibiki

International Review of Economics and Finance (International Review of Economics and Finance) 93 842 - 857 2024.05

Research paper (scientific journal), Joint Work, Last author, Accepted, ISSN 10590560

This study examines the impact of macroeconomic announcements on the risk premium and its sources under time-varying preference. We propose a novel method to decompose risk premium changes into the risk and preference components, which are estimated from option prices immediately before and after the announcement using the Recovery Theorem. The results of the empirical analysis for the United States stock market indicate that (1) the negative (positive) macroeconomic announcement surprise increases (decreases) the risk premium; (2) the risk component mainly drives the increase (decrease) in the risk premium; and (3) the preference component has limited influence on the risk premium.

Access to Document (DOI)

Asset allocation with forward-looking distribution

T. Kiriu and N. Hibiki

International Journal of Portfolio Analysis and Management 2 ( 4 ) 316 - 341 2024.04

Research paper (scientific journal), Joint Work, Last author, Accepted

Useful Rules for Lump Sum and Installment Investments

Norio Hibiki

ファイナンシャル・プランニング研究 (日本FP学会) ( 23 ) 2 - 20 2024.03

Research paper (scientific journal), Single Work, Lead author, Accepted

Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach

Hibiki Y., Kiriu T., Hibiki N.

Asia-Pacific Financial Markets (Asia-Pacific Financial Markets) 31 ( 2 ) 251 - 283 2023.08

Research paper (scientific journal), Joint Work, Last author, Accepted, ISSN 13872834

In this study, we construct an optimal currency portfolio using the implied return distribution in the mean-variance approach and examine the performance through a backtest. We estimate the implied expected spot return, implied volatility, and implied correlation from currency option price data, and propose a method of constructing a fully forward-looking optimal currency portfolio without historical data. We implement the backtest from January 2006 to October 2020 on a currency portfolio comprising seven currencies (the Japanese yen, the Swiss franc, the euro, the British pound, the Australian dollar, the New Zealand dollar, and the Canadian dollar) against the US dollar and US-dollar interest rate, and examine the usefulness of the proposed method. We find that the proposed method yields a higher performance than the conventional method in previous studies that use historical data. Furthermore, it is evidenced that the main factor in the performance gap between the proposed and the conventional methods is the high predictive power of the spot return.

Access to Document (DOI)

創業企業向け信用リスクモデルにおける人的要因の有効性－創業時の年齢, 斯業経験年数, 創業の「旬」の効果

尾木研三，峰下正博，枇々木規雄

ジャフィー・ジャーナル 21 63 - 87 2023.04

Research paper (scientific journal), Joint Work, Accepted

Access to Document (DOI)

Financial Literacy and Investment Behavior: Analysis using Financial Literacy Survey Data

Norio Hibiki

ファイナンシャル・プランニング研究 (日本FP学会) ( 22 ) 2 - 19 2023.03

Research paper (scientific journal), Single Work, Lead author, Accepted

Modeling the default risk of card loan considering individual behavior characteristics based on deposit and withdrawal data of bank account

H. Kamitake and N. Hibiki

Journal of the Operations Research Society of Japan 66 ( 1 ) 56 - 78 2023.01

Research paper (scientific journal), Joint Work, Last author, Accepted

In general, banks keep management costs for card loans down because the amounts are smaller than those of corporate loans. Therefore, they are not sufficiently managed after the money is lent. This study analyzes the deposit and withdrawal data of bank accounts used by card loan borrowers and proposes a default risk management technique. A previous study analyzed bank account data for screening applicants for card loans, and constructed a model to evaluate default risk. However, to the best of our knowledge, there are no studies that analyze bank account data to determine measures for managing the default risk while lending money with a card loan or construct a management model.
In addition to the explanatory variables used in the screening model, we employ some variables observable after lending money that are related to individual behavior characteristics, such as number of borrowings and contract repayment rate, and analyze their relationships with default. We construct a logit model using these variables and examine the model using approximately 60 million observations. The result shows that the accuracy ratios exceed 50\%, and the model is effective in practice. We also confirm the robustness of the results through cross-validation and an out-of-sample test.

Access to Document (DOI)

A Study on Optimal Limit Order Strategy using Multi-Period Stochastic Programming considering Nonexecution Risk

S. Sakurai and N. Hibiki

Intelligent Engineering and Management for Industry 4.0 (Springer) 77 - 90 2022.06

Part of collection (book), Joint Work, Last author, Accepted

実現半分散を用いた資産配分問題

山本健弘，枇々木規雄

ジャフィー・ジャーナル 20 1 - 21 2022.04

Research paper (scientific journal), Joint Work, Accepted

Access to Document (DOI)

資産配分モデルの実務への適用と投資信託の設計

伊藤雅剛, 徐嘉文, 枇々木規雄

オペレーションズ・リサーチ (日本オペレーションズ・リサーチ学会) 66 683 - 689 2021.10

Research paper (scientific journal), Joint Work, Accepted

オプション価格情報を利用した資産価格変動要因の分解―米国株式市場における実証分析―

霧生拓也, 枇々木規雄

現代ファイナンス 43 27 - 48 2021.04

Research paper (scientific journal), Joint Work, Last author, Accepted

Access to Document (DOI)

最適資産配分問題における収益率分布推定方法の比較

霧生拓也，枇々木裕太，枇々木規雄

ジャフィー・ジャーナル 19 1 - 26 2021.04

Research paper (scientific journal), Joint Work, Accepted

Access to Document (DOI)

Asset Allocation with Asset-class-based and Factor-based Risk Parity Approaches

H. Kato and N. Hibiki

Journal of the Operations Research Society of Japan 63 ( 4 ) 93 - 113 2020.10

Research paper (scientific journal), Joint Work, Accepted, ISSN 04534514

The asset allocation strategy is important to manage assets effectively. In recent years, the risk parity strategy has become attractive to academics and practitioners. The risk parity strategy determines the allocation for asset classes in order to equalize their contributions to overall portfolio risk. Roncalli and Weisang (2016) propose the use of \risk factors" instead of asset classes. This approach achieves the portfolio diversification based on the decomposition of portfolio risk into risk factor contribution. The factor-based risk parity approach can diversify across the true sources of risk whereas the asset-class-based approach may lead to solutions with hidden risk concentration. However, it has some shortcomings. In our paper, we propose a methodology of constructing the well-balanced portfolio by the mixture of asset-classbased and factor-based risk parity approaches. We also propose the method of determining the weight of two approaches using the diversification index. We can construct the portfolio dynamically controlled with the weight which is adjusted in response to market environment. We examine the characteristics of the model through the numerical tests with seven global financial indices and three factors. We find it gives the well-balanced portfolio between asset and factor diversifications. We also implement the backtest from 2005 to 2018, and the performances are measured on a USD basis. We find our method decreases standard deviation of return and downside risk, and it has a higher Sharpe ratio than other portfolio strategies. These results show our new method has practical advantages.