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Working Paper
Does the Japanese stock market price bank risk? evidence from financial firm failures
The efficiency of Japanese stock market to appropriately price the riskiness of Japanese firms has been frequently questioned, particularly with respect to Japanese banks which have experienced severe financial distress in recent years. This paper examines the response in the stock market returns of Japanese commercial banks to the failure of four commercial banks and two securities firms between 1995 and 1998. The analysis finds that the stock market responded to new information of the failures and did so rationally. Financially weaker banks were affected more adversely by the failure of ...
Working Paper
Evidence on q and investment for Japanese firms
Journal Article
Stock prices and bank lending behavior in Japan
Journal Article
Stock prices and bank lending behavior in Japan
This study attempts to shed light on whether stock price movements have contributed to recent fluctuations in bank lending in Japan by examining the historical relationship between stock prices and bank lending in that country. It is found that prior to the mid-1980s the relationship between stock prices and bank lending was weak, but subsequently strengthened considerable. This coincided with a change in the regulatory environment that encouraged banking institutions to pay more attention to their capital positions. Since the late 1980s, fluctuations in stock prices appear to have made ...
Discussion Paper
Ex-day behavior of Japanese stock prices: new insights from new methodology
We study the ex-dividend day behavior of Japanese stock prices for the period 198387. We find that, contrary to previous findings, prices of ex-day stocks drop by nearly the full amount of the dividend. However, ex-day stocks shows an abnormal return. Also, for the many ex-dividend day stocks that also go ex-rights on the same ex-day, we find that the return is on average higher than that for stocks without rights issues. We thus conclude that the ex-day behavior of Japanese stocks are qualitatively similar to that of U.S. stocks.
Journal Article
In brief economic capsules: equity carve-outs in Tokyo
The author examines the pricing of U.S. subsidiaries and U.S. joint ventures "carved out" and taken public on the Tokyo stock market in recent years. In comparing the price-earnings multiples obtained by the carve-outs with the contemporaneous multiples of their parent companies, he offers some perspective on the broader pricing discrepancy between the Japanese and U.S. markets in the late 1980s.