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1、ELIJAHBREWERIIIHESNAGENAYWILLIAMCURTHUNTERGEORGEG.KAUFMANDoestheJapaneseStockMarketPriceBank-Risk?EvidencefromFinancialFirmFailuresTheabilityoftheJapanesestockmarkettoappropriatelypricetheriskinessofJapanesefinancialfirmshasbeenfrequentlyquestioned,particularlyinlightofJapan
2、’swidespreadfinancialdistressinrecentyearsandpoordisclosurerequirements.ThispaperexaminestheresponseinequityreturnsofJapanesebankstothefailureoffourcommercialbanksandtwosecuritiesfirmsbetween1995and1998.Usingeventstudymethodology,theanalysisfindsthatsharepricesofsurvivingbank
3、sonthewholerespondedunfavorablytothefailuresandthatfinanciallyweakersurvivorsweremoreadverselyaffected.Thissuggeststhat,despitethedistressandallegedopaqueness,bankshareholderswereabletouseavailableindicatorsoffinancialconditionbothtoincorporatenewinformationquicklyintostockp
4、ricesandtodifferentiateamongbanks.Numerousrecentstudieshaveprovidedconvincingevi-dencethatU.S.stockpricesquicklyandreasonablyaccuratelyincorporatenewinformationthatmaybeexpectedtoaffectthefinancialhealthofindividualfirms.Thisevidenceextendstocommercialbanksandthriftinstituti
5、ons,forwhichfinancialdataareperceivedtobemoreopaqueandfrequentlyavailableonalessaccurateandtimelybasis.Moreover,inassessingnewinformation,U.S.investorsappeartobeabletodifferentiatetheimplicationsforindividualinstitutionsbasedontheirrelativefinancialhealth.1Theresearchassista
6、nceofAnuArro,ScottBriggs,HowardFisher,KennethHousinger,KiYoungPark,A.V.Sekhar,GeorgeSimler,andAlexUrbinaisgreatlyappreciated.TheauthorsarealsoindebtedtoJohnBinder,AnilKashyap,EricRosengen,participantsattheNBERJapanGroupMeeting,MarkFlannery(editor),andthetwoanonymousreferee
7、sfortheirhelpfulreviewandcommentsonearlierdrafts.WealsowouldliketothankRiekoMcCarthyofMoody’sInvestorsServicefortheinformationshesokindlyprovided.Wediscusssomeresultsthatarenotreportedinthearticle;thesecanbeobtainedfromtheauthorsuponrequest.Theviewsexpressedherearethoseoft
8、heauthorsanddonotnecessarilyrepresenttheviewsoftheFederalReserveSystem.ElijahBrewerIIIisa
