Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration

This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan during the period 1971:1-1989:3. The paper finds that similar variables, including the dividend-price ratio and interest rate variables, help to forecast excess returns in each country. In addition, in the 1980's U.S. variables help to forecast excess Japanese stock returns. There is evidence of common movement in expected excess returns across the two countries, which is suggestive of integration of long-term capital markets.

Modeling peculiar velocities of dark matter halos

We present a simple model that accurately describes various statistical properties of peculiar velocities of dark matter halos. We pay particular attention to the following two effects; first, the evolution of the halo peculiar velocity depends on the local matter density, instead of the global density. Second, dark matter halos are biased tracers of the underlying mass distribution, thus halos tend to be located preferentially at high density regions. For the former, we develop an empirical model calibrated with N-body simulations, while for the latter, we use a conventional halo bias models based on the extended Press-Schechter model combined with an empirical log-normal probability distribution function of the mass density distribution. We find that compared with linear theory, the present model significantly improves the accuracy of predictions of statistical properties of the halo peculiar velocity field including the velocity dispersion, the probability distribution function, and the pairwise velocity dispersion at large separations. Thus our model predictions may be useful in analyzing future observations of the peculiar velocities of galaxy clusters.Comment: This paper was published in MNRAS, 343, 1312 (2003). Owing to an error in numerical computations, some incorrect results were presented there. Erratum is to be published in MNRAS. Conclusions of the original version are unaffected by the correction. This version supersedes the original versio

Deciphering cosmological information from redshift surveys of high-z objects - the cosmological light-cone effect and redshift-space distortion -

The three-dimensional distribution of astronomical objects observed in redshift space significantly differs from the true distribution since the distance to each object cannot be determined by its redshift $z$ only; for $z \ll 1$ the peculiar velocity field contaminates the true recession velocity of the Hubble flow, while the true distance for objects at $z < 1$ sensitively depends on the (unknown and thus assumed) cosmological parameters. This hampers the effort to understand the true distribution of large-scale structure of the universe. In addition, all cosmological observations are carried out on a light-cone, the null hypersurface of an observer at $z=0$. This implies that their intrinsic properties and clustering statistics should change even within the survey volume. Therefore a proper comparison taking account of the light-cone effect is important to extract any cosmological information from redshift catalogues, especially for $z < 1$. We present recent theoretical development on the two effects -- the cosmological light-cone effect and the cosmological redshift-space distortion -- which should play key roles in observational cosmology in the 21st century.Comment: 28pages, 20 figures, minor revision to match the final version to appear in Progress of Theoretical Physics Supplement, vol. 133 (1999

Modeling Intra-Cluster Gas in Triaxial Dark Halos : An Analytical Approach

We present the first physical model for the non-spherical intra-cluster gas distribution in hydrostatic equilibrium under the gravity of triaxial dark matter halos. Adopting the concentric triaxial density profiles of the dark halos with constant axis ratios proposed by Jing & Suto (2002), we derive an analytical expression for the triaxial halo potential on the basis of the perturbation theory, and find the hydrostatic solutions for the gas density and temperature profiles both in isothermal and polytropic equations of state. The resulting iso-potential surfaces are well approximated by triaxial ellipsoids with the eccentricities dependent on the radial distance. We also find a formula for the eccentricity ratio between the intra-cluster gas and the underlying dark halo. Our results allow one to determine the shapes of the underlying dark halos from the observed intra-cluster gas through the X-ray and/or the Sunyaev-Zel'dovich effects clusters.Comment: accepted by ApJ, LaTex file, 22 pages, 8 postscript figure

Changing patterns in corporate financing and the main bank system in Japan

For most of the postwar period, the U.S. and Japan have had polar opposite corporate financial structures. The U.S. system has featured low leverage and low monitoring of corporate management by investors, while the Japanese system has featured high leverage and high monitoring. During the last 15 years, however, the two systems have begun to converge. Leverage has increased in the U.S., particularly when measured by interest expense ratios, and the increase has been concentrated in certain firms. In Japan, leverage has decreased across the board. In the U.S., debt-holders' interests may now be represented more effectively; Jensen (1989) argues that LBO partners are a new organizational form which can monitor corporations more effectively. In Japan, while the role of a main bank as a delegated monitor is similar to the LBO partners in the U.S., the growing use of public debt held by outsiders rather than main banks suggests the opposite trend. This paper uses cross-sectional data to reveal more clearly the changing capital structure of Japanese corporations