Why some Distressed Firms Have Low Expected Returns. ( Revised in September. 2007 )

In recent years, empirical researchers show that firms with higher credit risk have much smaller average stock returns. This finding is opposite to the risk-reward principle and is often attributed to mispricing and market anomalies. We investigate how credit risk and expected stock return are determined in a model with production, capital structure and aggregate uncertainty. We show that, contrary to the conventional wisdom, a firm with higher credit risk can have less risky stock than the one with lower credit risk.

"A Structural Approach without Path Dependency"(in Japanese)

This paper proposes a structural model to price credit risk of firms with short-term and long -term debts. In Ikeda, Kobayashi, and Takahashi (2005), since it assumed that the short-term debt is refunded by issuing a new short-term debt only, the future face value of the short-term debt depends on the path of asset value, which makes analysis very complicated. In order to avoid the problem, we build a new model without path dependency by assuming the future face values of short term debts to be fixed. Furthermore, by the@ improvement of the model, we show that the model can apply to the pricing of credit derivatives, and present the example of the pricing of a convertible bond.

Closed-form Solution of Bond Prices with Postponement of Redemption

This paper shows the analytical solution of a bond price with postponement of redemption by considering the special case of Ikeda and Kobayashi (2007). We can derive the solution by solving a Wiener-Hopf type integral equation, and such derivation does not have an example in others. Therefore the further development will be expected in various financial analyses.

A Structural Approach without Path Dependency

This paper proposes a structural model to price credit risk of firms with short-term and long -term debts. In Ikeda, Kobayashi, and Takahashi (2005), since it assumed that the short-term debt is refunded by issuing a new short-term debt only, the future face value of the short-term debt depends on the path of asset value, which makes analysis very complicated. In order to avoid the problem, we build a new model without path dependency by assuming the future face values of short term debts to be fixed. Furthermore, by the improvement of the model, we show that the model can apply to the pricing of credit derivatives, and present the example of the pricing of a convertible bond.

Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts

This paper proposes a structural model to price credit risk of firms with short-term and long-term debts. This enables one to distinguish between default probabilities in the short run and in the long run, and to identify how the composition of debts affects credit risk. We endogenize the banks' decision to bankrupt or save firms in insolvency, and analyze the influence of the governance structure on credit risk valuation.

Modeling Credit Risk with Long-term and Short-term Debts (Japanese)

This paper presents a new framework for valuating corporate credit risk using a balance sheet approach. Debt held by a company can be broadly classified into two categories: short-term debt that must be repaid within a relatively short period of time and long-term debt whose maturity period is relatively long. The greater the proportion of short-term debt to total debt, the greater the company's short-term credit risk. However, many existing risk valuation models have been unable to analyze credit risk based on the composition of the maturity periods because they assume all bonds and debentures are due on the same date. In this paper, we develop a model capable of simultaneously measuring both short-term and long-term credit risks, in which the short-term credit risk increases with the proportion of short-term debt to total debt, by inputting data on the two types of debt separately. In the real world, a creditor often grants an extension of the repayment period to a defaulting debtor company. Our model assumes cases in which such extensions result in a rise in the price of bonds issued by the debtor company. When combined with the hypothesis that creditors maximize the overall value of their bond holdings, this model can provide varying degrees of credit risk depending on whether or not a company's provider of short-term and long-term credit is the same.

Muscle length influence on rectus femoris damage and protective effect in knee extensor eccentric exercise

© 2020 The Authors. Scandinavian Journal of Medicine & Science In Sports published by John Wiley & Sons Ltd This study tested the hypothesis that the magnitude of rectus femoris (RF) damage and the repeated bout effect (RBE) would be greater after knee extensor eccentric exercise performed in a supine (long RF lengths) than a sitting (short RF lengths) position, and the muscle length effects would be more prominent at the proximal than distal RF. Young untrained men were placed to one of the two groups (n = 14 per group). S group performed the knee extensor eccentric exercise in the sitting position for the first bout and the supine position for the second bout, and L group performed the exercise in the supine position for two bouts, with 4 weeks between bouts. Dependent variables included evoked and maximal voluntary isometric contraction (MVC) torque, electromyography (EMG) during MVC, muscle soreness, and shear modulus, which were measured before and 1-3 days after each exercise bout. After the first bout, L group in comparison with S group showed greater (P \u3c .05) changes in hip flexor MVC torque (average of 1-3 days post-exercise: −11.1 ± 9.4% vs −5.0 ± 7.5%), proximal RF EMG (−22.4 ± 16% vs −9.0 ± 21.9%), and proximal RF shear modulus (33.2 ± 22.8% vs 16.9 ± 13.5%). No significant differences between groups were evident for any of other variables after the first bout including knee extensor MVC torque, and for the changes in all variables after the second bout. These results supported the hypothesis that RF damage would be greater for the spine than sitting position especially at the proximal region, but did not support the hypothesis about the RBE

"Valuing Variable Annuities" (in Japanese)

In this paper we propose a framework to evaluate variable annuities. We show that the invested capital to a variable annuity can be decomposed into: (i) the reserve money in the account, (ii) options, (iii) fees paid to the mutual fund companies, and (iv) margin accruing to the insurance company. The first two components comprise value to the insured, and the last two accrue to the supply side companies. This view provides a convenient method to double-check the computation of various components of value. We also show that death benefit option attached to the most popular variable annuities is a portfolio of European put options of differing maturities. Assuming that investment value follows a geometric Brownian motion, this component can be valued applying the Black-Scholes formula and using the "death rates statistics" published by the Ministry of Heath, Labour and Welfare. Options on the income benefit are also valued using the Black-Scholes formula.@Stepped-up death benefit is a form of look-back options, which we value using a trinomial lattice. We value some typical products assuming that a person purchases them at age 40 and at age 50. We then examine how various value components would change in response to the volatilities of the investment products, the length of the contract and so on.

Cross-seeding effects of amyloid β-protein and α-synuclein

Amyloid β-protein (Aβ) and α-synuclein (αS) are the primary components of amyloid plaques and Lewy bodies (LBs), respectively. Previous in vitro and in vivo studies have suggested that interactions between Aβ and αS are involved in the pathogenesis of Alzheimer\u27s disease and LB diseases. However, the seeding effects of their aggregates on their aggregation pathways are not completely clear. To investigate the cross-seeding effects of Aβ and αS, we examined how sonicated fibrils or cross-linked oligomers of Aβ40, Aβ42, and αS affected their aggregation pathways using thioflavin T(S) assay and electron microscopy. Fibrils and oligomers of Aβ40, Aβ42, and αS acted as seeds, and affected the aggregation pathways within and among species. The seeding effects of αS fibrils were higher than those of Aβ40 and Aβ42 fibrils in the Aβ40 and Aβ42 aggregation pathways, respectively. We showed that Aβ and αS acted as seeds and affected each other\u27s aggregation pathways in vitro, which may contribute to our understanding of the molecular mechanisms of interactions between Alzheimer\u27s disease and LB diseases pathologies. © 2012 The Authors