研究者詳細 - 武田　史子

論文 - 武田　史子

分割表示 54 件中 1 - 20 件目／全件表示 >>

Does Twitter happiness predict bullish markets? A study of the US stock markets

Swamy V., Dharani M., Takeda F.

IIMB Management Review 36 （ 4 ） 309 - 321 2024年12月

研究論文（学術雑誌）, 共著, 筆頭著者, 最終著者, 責任著者, 査読有り, ISSN 09703896

The evolving literature on using Twitter to capture investor sentiment suggests that stock market performance is linearly associated with Twitter's public mood. We investigate whether investor sentiment determined by the Twitter sentiment index (TSI) has a nonlinear predictive power for stock market behaviour. Using a dataset of seven US stock markets, we apply the cointegration techniques to show the relationship between Twitter sentiment and stock market behaviour. The results suggest a dynamic nonlinear cointegrating relationship. During the short run, Twitter happiness has a substantial effect on stock market indices, while in the long run, it has a moderating effect. Twitter happiness has a dominant effect on the US stock market indices than unhappy Twitter. These results highlight Twitter's growing role in predicting the stock market behaviour and show that the TSI acts as a better predictor of investor sentiment.

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Empirical study on voting results and proxy advisor recommendations in Japan

Miyachi H., Takeda F.

Journal of International Financial Markets, Institutions and Money （Journal of International Financial Markets, Institutions and Money） 92 101973 - 101973 2024年04月

研究論文（学術雑誌）, 共著, 筆頭著者, 最終著者, 責任著者, 査読有り, ISSN 10424431

This study examines the relationship between proxy advisory firms’ recommendations and investors’ voting behavior in Japan, where corporate governance has been under transition. Based on 1,025 shareholder meeting proposals and recommendations by proxy advisory firms in Japan between March 2010 and March 2022, multivariate regression analyses reveal that the dissenting recommendations of the two main proxy advisory firms are negatively correlated with the approval rate of proposals, as well as the percentage of affirmative votes cast by institutional investors. Furthermore, the institutional investors’ behavior is more consistent with the recommendations of proxy advisory firms than that of other investors.

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Stock Price Reactions to Research and Development News on Pharmaceutical Companies in Japan

Imai T., Takeda F.

IEEE International Conference on Industrial Engineering and Engineering Management （IEEE） 1119 - 1123 2024年

研究論文（学術雑誌）, 共著, 筆頭著者, 最終著者, 責任著者, 査読有り, ISSN 21573611

This study examines the effects of research and development (R&D) on the market value of Japanese pharmaceutical companies. Based on 1,345 news articles, our event study analysis of 74 Japanese pharmaceutical companies from 1 January 2010 to 31 December 2021 revealed three key findings. First, the stock prices of the aforementioned companies generally respond positively to the business news, and more specifically, R&D-related news. Second, the impact on the share price is more pronounced as the R&D progress to more advanced stages. Lastly, the stock price responses to R&D news tend to diminish as the size of pharmaceutical companies increases.

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Effects of shareholder proposals on the market value of Japanese firms

Sato R., Takeda F.

International Review of Economics and Finance （International Review of Economics and Finance） 86 320 - 333 2023年07月

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 10590560

This study investigates the effect of shareholder proposals on the market value of Japanese firms in the second wave of activism from 2017 to 2021. While announcements of receiving a shareholder proposal positively affect stock prices of investee companies, rejection of a shareholder's proposal has a negative impact. Unlike the first wave of activism, proposals related to the election and dismissal of directors are no different from those of other proposals, which may become more important as shareholder proposals diversify. Similar to the first wave, market responses become larger when the large shareholders made the proposals.

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Effects of the COVID-19 pandemic on the market value of Japanese gaming companies

Feng C., Takeda F.

Applied Economics （Applied Economics） forthcoming （ 40 ） 4849 - 4860 2023年05月

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 00036846

In this study, we examine the short-term stock price reactions of Japanese gaming companies to events related to the coronavirus disease 2019 (COVID-19) pandemic. Using the event study method, we first estimate stock price reactions to the outbreak of the pandemic and the declaration of a state of emergency. We then perform multivariate regressions to investigate the factors affecting market responses. Our results demonstrate that the stock prices of Japanese gaming companies reacted negatively to the outbreak of the COVID-19 pandemic, and the initial negative effects were greater for mobile gaming companies and for companies with small sizes or low Tobin’s Q. By contrast, the market has reacted positively to the declaration of the state of emergency, which perhaps drove more people to play games at home.

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Employing string similarity metrics of partners to estimate audit team continuity: determinant and its effects on audit outcomes and pricing

Frendy; Takeda, F

JOURNAL OF ACCOUNTING LITERATURE （Emerald） 45 （ 2 ） 314 - 339 2023年

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 0737-4607

<jats:sec><jats:title content-type="abstract-subheading">Purpose</jats:title><jats:p>Partners are responsible for allocating audit tasks and facilitating knowledge sharing among team members. This study considers changes in the composition of partners to proxy for the continuity of the audit team. This study examines the effect of audit team continuity on audit outcomes (audit quality and report lags), pricing and its determinant (lead partner experience), which have not been thoroughly examined in previous studies.</jats:p></jats:sec><jats:sec><jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title><jats:p>This study employs string similarity metrics to measure audit team continuity. The study employs multivariate panel data regression empirical models to estimate a sample of 26,007 firm-years of listed Japanese companies from 2008 to 2019.</jats:p></jats:sec><jats:sec><jats:title content-type="abstract-subheading">Findings</jats:title><jats:p>The study reveals that audit team continuity is negatively associated with audit fees, regardless of the auditor’s size. This finding contributes to the existing literature by showing that audit team continuity represents one of the determinant factors of audit fee. For clients of large audit firms, companies with higher (lower) audit team continuity issue audit reports in less (more) time. The experience of lead partners is a strong predictor of audit team continuity, irrespective of audit firm size. Audit quality is not associated with audit team continuity for either large or small audit firms.</jats:p></jats:sec><jats:sec><jats:title content-type="abstract-subheading">Originality/value</jats:title><jats:p>This study proposes and examines audit team continuity measures that employ string similarity metrics to quantify changes in the composition of partners in consecutive audit engagements. Audit team continuity expands upon the tenure of individual audit partners, which is commonly used in prior literature as a measure of client–partner relationships.</jats:p></jats:sec>

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The Impact of the Covid-19 Pandemic on Japanese Stock Markets, Revisited

K Mori, F Takeda

慶應経営論集（慶應義塾経営管理学会） 39 （ 1 ） 2023年

研究論文（大学，研究機関等紀要）, 共著, 責任著者

Market Reactions to eSports Sponsorship Announcements in Japan: Before and After the COVID-19 Outbreak

Maki N., Takeda F.

2023 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2023 （2023 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2023） 118 - 122 2023年

研究論文（学術雑誌）, 共著, 筆頭著者, 最終著者, 責任著者, 査読有り

This study investigated the effects of eSports sponsorship announcements on the market value of Japanese sponsoring companies and changes in such effects since the COVID-19 outbreak. We calculated the buy-and-hold abnormal returns around the release date of the sponsorship agreements and performed a multivariate regression analysis to examine what factors affect market reactions to eSports sponsorships. Results indicated that market reactions to eSports sponsorship announcements were not significantly different from zero, based on 72 eSports sponsorship contracts announced in Japanese newspapers from 2015 to 2021. However, investors reacted more positively to eSports sponsorship announcements during the COVID-19 pandemic, leading more people to play eSports at home and pay attention to in-game advertising. The positive effects are intensified when sponsors are engaged in eSports-related businesses. Whereas previous studies employed surveys and experiments, this study examined the economic effects of sponsorship contracts on eSports using objective quantitative indicators.

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Hedge Fund Activism in Japan: A Comparison between the First and Second Waves

K Kikuchi, H Miyachi, F Takeda

慶應経営論集= Keio business forum/慶應義塾経営管理学会編 39 (1), 1-22 2023年

研究論文（学術雑誌）, 共著, 筆頭著者, 最終著者, 責任著者, 査読有り

Market reactions to proxy advisory companies’ recommendations in Japan

Kazuhide Masumoto, Fumiko Takeda

Finance Research Letters （Elsevier BV） 50 103331 2022年12月

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 15446123

This study investigates how proxy advisory companies’ recommendations affect the stock prices of target companies in Japan, whose governance system has been under transition from relationship-based to more market-based. Based on 125 voting recommendations reported in newspapers between 2003 and 2022, we find that stock prices respond to recommendations inconsistent with the board's policy more largely than to those consistent. The market reactions become larger when firms are smaller and/or have a higher shareholding ratio of foreign investors, when recommendations are against takeover defense measures, and when the firms’ name attracts investor attention.

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Do sentiment indices always improve the prediction accuracy of exchange rates? +

Takumi Ito, Fumiko Takeda

Journal of Forecasting （Wiley） 41 （ 4 ） 840 - 852 2022年07月

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 02776693

This study aims to improve the prediction accuracy of the exchange rate model by changing how indices that capture market sentiment are constructed. We construct the sentiment indices (SIs) for the Japanese and American markets using the Google search volume index (SVI) for financial terms listed in the Japanese dictionary. For these SVIs, we select keywords based on the correlation between weekly changes in the yen–dollar rate and the SVI. We use 30, 20, and 10 keywords that are replaced at three different frequencies: 3 months, 6 weeks, and weekly. The training period is from January 2013 to June 2015, and the forecast period is from July 2015 to December 2017. We perform a rolling regression, which keeps the length of the reference period constant at 2 and a half years, based on the interest rate parity and autoregressive models for the predictions. We compare the prediction accuracy using the mean squared prediction error, Clark and West's tests of equal predictive accuracy, and the direction of change test. When the SIs are updated every 3 months and 6 weeks, neither the interest rate parity model nor the autoregressive model shows improved prediction accuracy, even if the SI is added. However, when the SIs are updated weekly, prediction accuracy improves in both the interest rate parity and the autoregressive models as the number of words used to construct theSI increases. We conclude that frequently updated SIs can improve the short-term prediction accuracy, while SIs updated less frequently may not.

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Do Sport Sponsorship Announcements Help Or Hurt Rival Sponsors’ Market Values?

Fumiko Takeda

Journal of Advertising Research （WARC Limited） 62 （ 2 ） 167 - 175 2022年

研究論文（学術雑誌）, 単著, 筆頭著者, 責任著者, 査読有り, ISSN 00218499

This study compares the effect of sports sponsorship announcements on the stock returns of sponsors and their rivals between Japan and the United States. Event study analyses reveal that, whereas stock market reactions for Japanese sponsors were significantly positive during 1999-2010, those for their rivals were significantly negative. In the United States, however, both sponsors and rivals experienced increased market value. Sports sponsorships thus might be useful for sponsors to establish a competitive advantage over rivals in Japan, but not in the United States.

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Application of Google Trends‐based sentiment index in exchange rate prediction

Takumi Ito, Motoki Masuda, Ayaka Naito, Fumiko Takeda

Journal of Forecasting （Wiley） 40 （ 7 ） 1154 - 1178 2021年11月

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 02776693

This study explores the possibilities of applying Google Trends to exchange rate forecasting. Specifically, we construct a sentiment index by using Google Trends to capture market sentiment in Japan and the United States. We forecast the USD/JPY rates using three structural models and two autoregressive models and examine whether our sentiment index can improve the predictive power of these models. We also check the robustness of the main results using the Taylor rule-based model and rolling regression methodology. The data we use run from January 2004 to August 2018, treating January 2004 to February 2011 as the training sample and March 2011 to August 2018 as the forecast sample. We find that the addition of the sentiment index into these models decreases the mean squared prediction error. We also test the sentiment indices of different word numbers and find that the 25- and 30-word indices perform best; in particular, the 30-word index improves all the models tested in this study.

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The Impact of Postponing the Olympics on Stock Markets

Yuki Suenaga, Fumiko Takeda

International Advances in Economic Research （Springer Science and Business Media LLC） 27 （ 3 ） 219 - 232 2021年08月

研究論文（学術雑誌）, 共著, 筆頭著者, 最終著者, 責任著者, 査読有り, ISSN 10830898

his study investigates how stock markets reacted to the postponement of the Tokyo Olympic Games, which were scheduled to be held in 2020. After the outbreak of the COVID-19 pandemic, the decision to postpone the Games was made on March 24, 2020. However, even before this decision was made, various news outlets had already reported the possibility of cancellation. Although Olympic Games had previously been cancelled five times, they had never been postponed. This event study based on the Fama French factor models provides no evidence that sponsor stock prices reacted differently from their matched firms to news related to the cancellation of the Tokyo Olympic Games. However, they reacted more positively to news of postponement, although the increase in stock returns did not compensate for the drop following the earlier news suggesting the possible cancellation of the Tokyo Olympic Games. Additionally, a cross-sectional regression shows that positive market responses to news of postponement were intensified for Worldwide Olympic Partners and sponsors with a high ratio of individual and foreign shareholders. Because investors did not believe that postponement of the Olympics would have paid off all of the sponsors’ costs, future sponsors will need to place more emphasis on potential deferral risk when making investment decisions.

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The impact of information technology investment announcements on the market value of the Japanese regional banks

Fumiko Takeda, Koichi Takeda, Toshihiko Takemura, Ryota Ueda

Finance Research Letters （Elsevier BV） 41 101811 - 101811 2021年07月

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 15446123

The business conditions surrounding Japanese regional banks have deteriorated for decades amid continuing ultra-low interest rates. We examine stock price reactions of regional banks to information technology (IT) investment announcements and analyze the factors that affect market responses. We provide three main findings. First, regional banks’ stock prices as a whole do not respond significantly to IT investment announcements. Second, stock price responses to IT investment announcements are more positively correlated with the regional banks’ size and with the individual shareholders’ ratio. Third, regional banks’ stock prices respond more negatively when there's news regarding equity investments to FinTech companies.

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Hedge Fund Activism in Japan under the Stewardship and Corporate Governance Codes

Hiroaki Miyachi, Fumiko Takeda

International Advances in Economic Research （Springer Science and Business Media LLC） 27 （ 2 ） 119 - 130 2021年05月

研究論文（学術雑誌）, 共著, 責任著者, 査読有り, ISSN 10830898

This study focuses on activist funds during the second wave of activism after the implementation of the Stewardship and Corporate Governance Codes in Japan. Based on reports of large-scale shareholdings (acquisitions of 5% shares or more) submitted by activist funds between 2014 and 2019, this study finds that the stock returns of target firms react positively to the intervention of activist funds. The positive correlation intensifies for funds classified as hostile or domestic. Unlike in the first wave of activism, activist funds do not necessarily target low-margin or undervalued firms in the second wave of activism. Comparing financial indicators of the targets of the pre- and post-acquisition periods of large blocks of shares by activist funds, return on assets tends to decline more than that of their matching peer control firms, while the dividend payout ratio tends to rise more. This study contributes to the related research in three ways. First, this study adds empirical evidence on hedge fund activism outside the U.S., which is still somewhat scant. Second, this study is the first in the English or Japanese language literature to focus on the second wave of activism in Japan. Third, this study presents empirical results that are distinct from those in prior studies focusing on the first wave, perhaps because institutional changes forced activist funds to focus more on engagement rather than selecting cheap firms.