Katsunari Yamaguchi, Ph.D., CFA

Profile

Katsunari Yamaguchi has been President of Ibbotson Associates Japan, Inc., a subsidiary of Morningstar, Inc., since 2000. He joined The Long-Term Credit Bank of Japan in 1979. Previously he worked as equity portfolio manager for LTCB’s asset management subsidiaries. He graduated from Hitotsubashi University with BA in social studies in 1979 and from Yale School of Management with MPPM in 1986. He earned PhD in Economics at Senshu University Graduate School in 2008.

Currently he serves as a board member for Nippon Finance Association, Association of Behavioral Economics and Finance, and CFA Japan Society. He holds CFA and CMA. He authored a book, Risk Premium on the Japanese Economy, and translated two books, Capital Ideas and Capital Ideas Evolving authored by Peter L. Bernstein. He was awarded Security Analysts Journal Prize twice in 1991 and 2005.

Presentation Abstract

Back to the Futures:
Economic Analysis of Rice Futures Market in 18th century Japan

The rice market operating at Dojima, Osaka in Edo-period was the first organized futures market in human history. Without computers and finance theories, we wonder if futures prices were reasonably formed in the 18th century. This study analyses risk and return of rice market in Edo-period, based on the theory of commodity futures pricing originated by J.M. Keynes. We also review the investment philosophy of Sokyu Homma, the legendary speculator in those days, from the viewpoint of behavioral finance.