Y
Yoshio Nozawa
Researcher at University of Toronto
Publications - 22
Citations - 440
Yoshio Nozawa is an academic researcher from University of Toronto. The author has contributed to research in topics: Corporate bond & Bond. The author has an hindex of 8, co-authored 22 publications receiving 316 citations. Previous affiliations of Yoshio Nozawa include Hong Kong University of Science and Technology & Federal Reserve System.
Papers
More filters
Journal ArticleDOI
Are capital market anomalies common to equity and corporate bond markets? An empirical investigation
TL;DR: Corporate bond returns exhibit predictability in a manner consistent with efficient pricing as discussed by the authors, indicating that equities lead bonds and that firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns.
Journal ArticleDOI
Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
Tarun Chordia,Amit Goyal,Yoshio Nozawa,Avanidhar Subrahmanyam,Avanidhar Subrahmanyam,Qing Tong +5 more
TL;DR: The authors investigated whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns and found that the evidence indicates that corporate bond return conforms with the risk-reward paradigm.
Journal ArticleDOI
Option-Based Credit Spreads
TL;DR: In this article, a nonparametric empirical benchmark for credit risk analysis is proposed, where fictitious firms that purchase real traded assets by issuing equity and zero-coupon bonds are constructed.
Journal ArticleDOI
What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach
TL;DR: This article decompose the variation of credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses using a log-linearized pricing identity and a vector autoregression applied to microlevel data.
Journal ArticleDOI
Corporate Bond Market Reactions to Quantitative Easing During the COVID-19 Pandemic
Yoshio Nozawa,Yancheng Qiu +1 more
TL;DR: To quantify the default risk channel of quantitative easing, the variance decomposition approach to credit spreads is applied and it is found that a significant fraction of credit spread changes indeed correspond to reduced default risk caused by the corporate bond purchase program.