日本語
Jiro Yoshida Assistant Professor Graduate School of Economics The University of Tokyo Address: 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-0033 Japan Office: Economics Research Bldg., #1012 Email: jiro[at]e.u-tokyo.ac.jp Tel: +81-3-5841-5653 Fax: +81-3-5841-5521			Course materials Theory of Securitization and Corporate Finance (Summer 2009) Real Estate Finance and Economics (Summer 2008)
Official Website Curriculum Vitae: CV Education: · Ph.D. (Finance and Real Estate), UC Berkeley, 2007. · M.S. (Business Administration), UC Berkeley, 2005. · M.S. (Real Estate), M.I.T., 1999. · B.Eng.. (Urban Engineering), University of Tokyo, 1992. Work in Progress: · "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium,” May 2008 (updated) Abstract: A general equilibrium model, that incorporates endogenous production and local housing markets, is developed in order to explain the price relationship among human capital, housing, and stocks, and to uncover the role of housing in asset pricing. Housing serves as an asset as well as a durable consumption good. It is shown that housing market conditions critically affect asset price correlations and risk premia. The first result is that the covariation of housing prices and stock prices can be negative if land supply is elastic. Data from OECD countries roughly support the model's predictions on the relationship among land supply elasticity, asset price correlations, and households' equity holdings. The second result is that housing rent growth serves as a risk factor in the pricing kernel. The risk premium becomes higher as land supply becomes inelastic and as housing services become more complementary with other goods. Finally, the housing component in the pricing kernel is shown to mitigate the equity premium puzzle and the risk-free rate puzzle. · "Reconciling Micro and Macro Estimates of Substitution Between Housing and Non-Housing Consumption by Relaxing Homotheticity Restriction,” (with Tom Davidoff, December 2008, work in progress) Abstract: The static elasticity of substitution (SES) between housing and non-housing consumption is important not only in understanding housing demand, but also in asset pricing because housing consumption influences risk premia through the asset pricing kernel. Previous estimates of the elasticity are low when micro data are used but high when macro data are used. We use aggregate time-series data to estimate SES by allowing for non-homotheticity in preferences. We obtain lower estimates of SES ranging from 0.4 to 0.9 when we allow for non-homotheticity, while SES is much higher when we maintain homotheticity assumption. Homotheticity is rejected in a way that consumption share of housing decreases as income grows and as income is derived more from employment than investments. We also obtain low IES ranging from 0.05 to 0.14. · "Rational Predictability of Real Estate Prices,” July 2008, work in progress. Abstract: Serial correlations in asset prices are often associated with irrational investment decisions (e.g., speculative bubbles) or inefficient markets. This paper shows that even asset prices determined rationally in an efficient market become predictable if underlying cash flows contain predictable components. In particular, I show that cash flows from real estate tend to contain a predictable “overshooting” component, due to slow adjustments in asset supply. Such predictable cash flows result in overshooting prices of real estate. Even though rational capitalization rates counteract the overshooting, the property price still exhibits predictability. The analysis indicates that the rational benchmark price must be carefully modeled when one tests irrationality or inefficiency in asset prices. · “Real Estate Transaction Prices in Japan: New Findings of Time-Series and Cross-Sectional Characteristics,” with Ritsuko Yamazaki and Jung-Eun Lee, July 2008, work in progress. Abstract: We analyze real estate transactions in Japan from July 2005 using a unique data set that the Land Institute of Japan collects for the Ministry of Land, Infrastructure, and Transport. The data set contains transaction prices and various attributes of single-family housing, condominium, commercial, and industrial properties as well as raw lands. We report various statistics revealing time-series and cross-sectional characteristics of recent transactions. This paper provides a preliminary analysis of transaction prices for the purpose of constructing the first transaction-based real estate price index in Japan. · "Strategically Delayed Investments in Joint Projects,” (work in progress) Abstract: This paper focuses on the microfoundations of asset supply in the form of joint ventures. In a project jointly formed by multiple parties, strategic interactions result in a flexible arrangement of the project and delayed investments. Although keeping flexibility is optimal, given risks in the project value, one party's flexibility creates strategic uncertainty for the others, and increased uncertainty in turn encourages them to keep more flexibility as well. A positive feedback between uncertainty and flexibility leads to delayed investments. Our result makes a sharp contrast with preemptive investment to deter competitors' entry. It is also distinct from the free-rider problem since we focus on the second moment of payoffs. The model is applicable to various joint projects within a firm, across firms, and across countries. Selected Publications: · "The Economic Value of Green Buildings,” The Japan Economic Research Institute Monthly, June 2009, forthcoming. (Japanese) · "Are Large Swings in Asset Prices an Evidence of a Bubble or Inefficiency?” The Japan Economic Research Institute Monthly, May 2009, forthcoming. (Japanese) · "Issues on Financial Crisis and the Future of Derivatives and Securitization,” Urban Housing Sciences, vol. 65, Spring 2009, pp.20-25. (Japanese) · "The Value of Real Estate Price Indexes,” The Japan Economic Research Institute Monthly, April 2009, pp.32-37. (Japanese) · "Real Estate Price Index: An International Comparison,” The Japan Economic Research Institute Monthly, March 2009, pp.24-30. (Japanese) · "Information Infrastructure for Real Estate Investments,” forthcoming, The Japan Economic Research Institute Monthly, February 2009. (Japanese) · "Financial crisis and the future of derivatives and securitization,” The Japan Economic Research Institute Monthly, January 2009, pp.16-22. (Japanese) · "Macro economy, asset prices, and housing prices,” The Japan Economic Research Institute Monthly, December 2008, pp.20-25. (Japanese) · "Is Yield Spread A Relevant Measure for Real Estate Investment?” forthcoming, The Japan Economic Research Institute Monthly, November 2008, pp.24-29. (Japanese) · "A Real Options Approach to Infrastructure Investments," forthcoming, Real Options and Strategy, vol. 3, December 2008. (Japanese) · "Is Socially Responsible Investment Profitable?" in “Corporate Real Estate Strategy: Looking Beyond Financial Crisis and Supremacy of the Shareholder,” Chapter 13, Reitaku University Press, forthcoming. (Japanese) · "Predictability of Real Estate Price and Cap Rate,” Quarterly Journal of Housing and Land Economics, vol.70, Autumn 2008, pp. 19-28. (Japanese) · “On Demand: Cross-country Evidence from Commercial Real Estate Asset Markets,” (with S. Ott, T.J. Riddiough and H. Yi), International Real Estate Review, Vol 11 (1), Summer 2008, pp. 1-37. · "The Role of Real Estate in Finance,” ARES, vol. 32, March-April 2008, pp. 3-13. (Japanese) · “Project Finance,” Chapter 5.4 in Handbook of Construction, Asakura Publishing Co., Ltd., Tokyo, Japan, July 2007. (Japanese) · “Essays on Equilibrium Asset Pricing and Investments,” UC Berkeley Doctoral Dissertation. Available at Program on Housing and Urban Policy Dissertation and Thesis Series, D07-001, Spring 2007. · "Project Evaluation Under Uncertainty,” (with H. Takahashi and K. Yamamoto), Journal of Construction Management, Japan Society of Civil Engineers (JSCE), 2006. (Japanese) · “A Study on a Phased Plan of Infrastructure Improvement under Uncertainty,” (with H. Takahashi and K. Yamamoto), Journal of Construction Management, JSCE, Vol.12, Nov. 2005, pp.19-26. (Japanese) · “Evaluation of a Phased Plan of Infrastructure Improvement: A Real Options Approach,” (with H. Takahashi and K. Yamamoto), Research Report of National Institute for Land and Infrastructure Management, No.22, Sep. 2005. (Japanese) · “An Application of Real Options to the Phased Construction Plan of Infrastructure Investment,” (with H. Takahashi and K. Yamamoto), Transport Policy Studies' Review Vol. 8, No. 3, 2005 Autumn, pp.23-30. (Japanese) · “Determinants of Demand and Supply of Commercial Real Estate Assets,” The Quarterly Journal of Housing and Land Economics 48, 2003 Spring, pp. 23-35. (Japanese) <More Info1> · “Real Options: A New Design Policy for the Infrastructure Provision,” Journal of Japan Society of Civil Engineers, Vol.86, Dec 2001, pp. 30-31. (Japanese) <More Info> · “Effects of Uncertainty on the Investment Decision,” in Proceedings from Joint International Conference of AsRES, AREUEA and JAREFE, Aug 2001. · “The sources of competitive advantage of the US industry,” Journal of Bridge and Foundation Engineering, August 2003, Vol. 37, No.8, pp.139-140. (Japanese)<More Info> · “Benefits of Preserving Historic Buildings,” Journal of Bunkazai, March 1997, pp.27-28. (Japanese) Books: · Japanese translation of “Real Options: Managing Strategic Investment in an Uncertain World,” by M. Amram & N. Kulatilaka (Harvard Business School Press), Toyo Keizai Shinpo-Sha. Nov. 2001 <More Info1><More Info2> · Japanese translation of “Investment Under Uncertainty” by A. Dixit & R. Pindyck (Princeton University Press), Economist-Sha. <More Info1> Awards and Grants: 2008 Grant-in-Aid for Young Scientists (Start-up, #20830018), “Role of real estate and human capital in equilibrium asset pricing,” Japan Society for the Promotion of Science. 2008 Grant-in-Aid for Scientific Research (C, #20530210, joint with C. Shimizu, K. Karato, and H. Sato), “Dynamic changes in urban spatial structure with heterogeneous firms and households,” Japan Society for the Promotion of Science. 2008 Cash contribution for research, Land Institute of Japan. 2008 Selected Paper Award, 13th Asian Real Estate Society Annual Conference. 2007 First Place, 2007 Doctoral Dissertation Award, American Real Estate and Urban Economics Association. (News Article) 2003-2007 Fellowship, UC Berkeley, Fisher Center for Real Estate and Urban Economics. 2005 Invited to The 5th Annual Trans-Atlantic Doctoral Conference, London Business School. (One of 25 finance students) 2004 Best performer in Ph.D. qualifying examinations in finance, UC Berkeley 2002-2004 Fulbright all-expense grant <More Info> 2001 Invited by American Embassy to discuss “US-Japan Economic Relations in an Uncertain Environment.” (One of 25 researchers) 1999-2000 Master’s thesis was included in course material of Real Estate Finance at MIT. 1998-1999 JDB Study Abroad Merit Scholarship 1989-1992 First Category Scholarship, Japan Student Services Organization (Ikuei-Kai). 1989-1992 Full exemption from tuitions, University of Tokyo 1986-1992 Nomura-Gakugei-Zaidan Merit Scholarship (for studies in high school and university) Professional Experience: Research: 2007-present Assistant Professor, Graduate School of Economics, University of Tokyo 2008-2009 Research Fellow, Land Institute of Japan 2007 Assistant Research Specialist, Haas School of Business, UC Berkeley 2004-2007 Research assistant, UC Berkeley, Professor Thomas Davidoff. 2003-2007 Research Fellow, Fisher Center for Real Estate and Urban Economics, UC Berkeley. 2001-2002 Observer, Maintenance Engineering Committee, Japan Society of Civil Engineers. 2001-2002 Editor, News Letter of Japanese Association of Real Estate Financial Engineering (JAREFE). 2000-2001 Member, Organizing Committee, Joint International Conference of Asian Real Estate Society, American Real Estate & Urban Economics Association, and JAREFE. <More Info1> 2000-2002 Founding Director, Japanese Association of Real Estate Financial Engineering (JAREFE). 1999-2002 Deputy Director, Policy Planning Department, Development Bank of Japan. 1995-1998 Planner, Planning & Research Department for Regional Development, Development Bank of Japan. Teaching: 2007-present Assistant Professor, Graduate School of Economics, University of Tokyo, (Theory of Securitization and Corporate Finance, Real Estate Finance and Economics) 2001-present Lecturer, Japan Institute for Financial Affairs (Advanced Asset Pricing Theory, Corporate Finance, Principles of Finance, Real Options, Real Estate Economics) <More Info> 2003-2007 Teaching Assistant, Berkeley-Columbia Executive MBA & Berkeley Full-time MBA (Real Estate Finance & Economics), Professors Thomas Davidoff & Robert Edelstein. 2001-2002 Part-time Lecturer, University of Tokyo (Undergraduate-level Real Estate Finance) 2001-2003 Lecturer, Ken Real Estate Business School (Real Estate Finance) 2002 Lecture on Financial Technologies, Aoyama-Gakuin University <More Info> 2001 Lecture on Principles of Finance, Doctoral Seminar at Meikai University 1999 Lecture on Basic Real Estate Finance, University of Tokyo <All other lectures are here.> Government and Professional Experience: 2009 Research Fellow, Trust Companies Association of Japan. 2009 Member, Executive Committee, Center for Advanced Research in Finance, The University of Tokyo.2009 Member, Expert Committee on Real Estate Vision, National Land Council (Advisory Committee to Minister of Land, Infrastructure, Transport and Tourism), Japan. 2008-2009 Member, Research Council on Green Buildings, Ministry of Land, Infrastructure, Transport and Tourism, Japan. 2008-2009 Member, Research Council on Transaction Price Information, Ministry of Land, Infrastructure, Transport and Tourism, Japan. 2008-2009 Member, Doctoral Dissertation Award Committee, American Real Estate and Urban Economics Association (AREUEA). 2008 Member, Research Council on Real Estate Investments, Ministry of Land, Infrastructure, Transport and Tourism. (Japan) 2001-2006 Member, Disaster Prevention Group, National Program on Technology for the Society. (Japan) 2001-2003 Advisory Board Member, The Japan Institute of Systems Research. 2002 Advisory Group Member, Industrial Finance Subcommittee, National Council on Industrial Structure (Advisory Committee to Minister of Economy, Trade and Industry). 2002 Chairperson of two-day conference, “Creating, Measuring & Managing Value: Capitalizing on Uncertainty with Real Options,” Marcus Evans. 2001 Member, Research Council on Real Options, Ministry of Economy, Trade and Industry. <More Info2> Development Bank of Japan (Tokyo): 1999-2002 Deputy Director, Policy Planning Department. 1999 Assistant Director, Credit Risk Management Group. 1995-1998 Planner & Assistant Director, Planning & Research Department for Regional Development. 1992-1995 Analyst, Loan Department for Urban Development. Internships (Tokyo): 2006 Senior Associate, Quantitative Strategies, Asia, Lehman Brothers. 1991-1992 Analyst, Urban Planning Department, Mitsubishi Estate Corporation. 1989-1992 Analyst, Regional Planning Department, Mitsubishi Research Institute. Volunteer Activities: · 1997-1998 President, DBJ Ski Team. (Member since 1992) · 1995-1997 Key Administrative Officer, DBJ Labor Union. · 1992-1998 Administrative Officer, Doshikai Volunteer Group (supports international students). Last modified: April 8, 2009.