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1、ELIJAHBREWERIIIHESNAGENAYWILLIAMCURTHUNTERGEORGEG.KAUFMANDoestheJapaneseStockMarketPriceBank-Risk?EvidencefromFinancialFirmFailuresTheabilityoftheJapanesestockmarkettoappropriatelypricetheriskinessofJapanesefinancialfirmshasbeenfrequentlyquestioned,particularlyinlightofJapan’swid
2、espreadfinancialdistressinrecentyearsandpoordisclosurerequirements.ThispaperexaminestheresponseinequityreturnsofJapanesebankstothefailureoffourcommercialbanksandtwosecuritiesfirmsbetween1995and1998.Usingeventstudymethodology,theanalysisfindsthatsharepricesofsurvivingbanksonthewhol
3、erespondedunfavorablytothefailuresandthatfinanciallyweakersurvivorsweremoreadverselyaffected.Thissuggeststhat,despitethedistressandallegedopaqueness,bankshareholderswereabletouseavailableindicatorsoffinancialconditionbothtoincorporatenewinformationquicklyintostockpricesandtodiffe
4、rentiateamongbanks.Numerousrecentstudieshaveprovidedconvincingevi-dencethatU.S.stockpricesquicklyandreasonablyaccuratelyincorporatenewinformationthatmaybeexpectedtoaffectthefinancialhealthofindividualfirms.Thisevidenceextendstocommercialbanksandthriftinstitutions,forwhichfinancial
5、dataareperceivedtobemoreopaqueandfrequentlyavailableonalessaccurateandtimelybasis.Moreover,inassessingnewinformation,U.S.investorsappeartobeabletodifferentiatetheimplicationsforindividualinstitutionsbasedontheirrelativefinancialhealth.1TheresearchassistanceofAnuArro,ScottBriggs,
6、HowardFisher,KennethHousinger,KiYoungPark,A.V.Sekhar,GeorgeSimler,andAlexUrbinaisgreatlyappreciated.TheauthorsarealsoindebtedtoJohnBinder,AnilKashyap,EricRosengen,participantsattheNBERJapanGroupMeeting,MarkFlannery(editor),andthetwoanonymousrefereesfortheirhelpfulreviewandcomme
7、ntsonearlierdrafts.WealsowouldliketothankRiekoMcCarthyofMoody’sInvestorsServicefortheinformationshesokindlyprovided.Wediscusssomeresultsthatarenotreportedinthearticle;thesecanbeobtainedfromtheauthorsuponrequest.Theviewsexpressedherearethoseoftheauthorsanddonotnecessarilyreprese
8、nttheviewsoftheFederalReserveSystem.ElijahBrewerIIIisa
