Masahiro Watanabe

Associate Professor, Alberta School of Business - Department of Finance


Associate Professor, Alberta School of Business - Department of Finance
(780) 492-7343
3-30J Business Building
11203 Saskatchewan Drive NW
Edmonton AB
T6G 2R6



Research Interests

My research interests include asset pricing and market microstructure, both theoretical and empirical. You can see download statistics about my research papers at my SSRN author home page.


Teaching Interests

  • International Finance


FIN 442 - International Financial Markets

An overview of the international financial environment and the financial function in the multinational corporation. Its purpose is to provide decision-making skills in international money and capital markets. Prerequisite: FIN 301.

FIN 644 - International Finance

The objective of this course is to acquaint students with macro and micro aspects of international finance. At the macro level coverage will include theories of direct investment, the international monetary mechanism, foreign exchange markets, and repercussions from balance of payments difficulties. Micro level materials will include problems of doing business internationally and a survey of public and private foreign and international finance institutions. The final part of the course will review Canada's role in international business. Prerequisite: FIN 501 or 503.

Browse more courses taught by Masahiro Watanabe

Scholarly Activities

Research - Publications

"Strategic Disclosure and Stock Returns: Theory and Evidence from U.S. Cross-listing," (with Shingo Goto and Yan Xu), Review of Financial Studies, 2009, 22 (4), 1585-1620. Technical Appendix
2007 FMA Best Paper Award in Financial Institutions

"Time-Varying Liquidity Risk and the Cross Section of Stock Returns" (with Akiko Watanabe), Review of Financial Studies, 2008, 21 (6), 2449-2486.
First place, 2006 Turnaround Management Association Paper Competition


A Model of Stochastic Liquidity

Author(s): Masahiro Watanabe
Publication Date: 2014
Publication: Review of Financial Studies
External Link:

The Investment Value of Management Earnings Forecasts

Author(s): Masahiro Watanabe, Takato Hiraki, Akiko Watanabe
Publication Date: 2012
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Procyclical Stocks Earn Higher Returns

Author(s): Masahiro Watanabe, William N. Goetzmann, Akiko Watanabe
Publication Date: 2010
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Dynamic Corporate Capital Stocks: Cross-sectional and Inter-temporal Stock Return Patterns

Author(s): Masahiro Watanabe, Jacob Sagi, Matthew Spiegel
Publication Date: 2009
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Product Market Competition and Equity Returns

Author(s): Masahiro Watanabe, Evgeny Lyandres
Publication Date: 2009
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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Author(s): Masahiro Watanabe, Stephen J. Brown, William N. Goetzmann, Takato Hiraki, Noriyoshi Shiraishi
Publication Date: 2005
Publication: NBER #9470, Yale ICF Working Paper No. 02-09
External Link:

Price Impact Costs and the Limit of Arbitrage

Author(s): Masahiro Watanabe, Zhiwu Chen, Werner Stanzl
Publication Date: 2005
Publication: Yale ICF Working Paper No. 00-66
External Link:

Price Volatility and Investor Behavior in an Overlapping-Generations Model with Information Asymmetry

Author(s): Masahiro Watanabe
Publication: Journal of Finance
Volume: 63(1)
Page Numbers: 229-272
External Link: