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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 ...
Journal Article
Assessing the condition of Japanese banks: how informative are accounting earnings?
This article examines the accounting and stock market performance of banks from 1991 to 1997. Overall, the results indicate that the accounting, disclosure, and regulatory practices of Japanese banks have drive a wedge between their accounting and stock market returns in recent years and, furthermore, that regulatory forbearance might have become a more important source of value to shareholders than the value of assets in place.