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1、ELIJAHBREWERIIIHESNAGENAYWILLIAMCURTHUNTERGEORGEG.KAUFMANDoestheJapaneseStockMarketPriceBank-Risk?EvidencefromFinancialFirmFailuresTheabilityoftheJapanesestockmarkettoappropriatelypricetheriskinessofJapanese?nancial?rmshasbeenfrequentlyquestioned,particu
2、larlyinlightofJapan’swidespread?nancialdistressinrecentyearsandpoordisclosurerequirements.ThispaperexaminestheresponseinequityreturnsofJapanesebankstothefailureoffourcommercialbanksandtwosecurities?rmsbetween1995and1998.Usingeventstudymethodology,theanal
3、ysis?ndsthatsharepricesofsurvivingbanksonthewholerespondedunfavorablytothefailuresandthat?nanciallyweakersurvivorsweremoreadverselyaffected.Thissuggeststhat,despitethedistressandallegedopaqueness,bankshareholderswereabletouseavailableindicatorsof?nancial
4、conditionbothtoincorporatenewinformationquicklyintostockpricesandtodifferentiateamongbanks.Numerousrecentstudieshaveprovidedconvincingevi-dencethatU.S.stockpricesquicklyandreasonablyaccuratelyincorporatenewinformationthatmaybeexpectedtoaffectthe?nancialh
5、ealthofindividual?rms.Thisevidenceextendstocommercialbanksandthriftinstitutions,forwhich?nancialdataareperceivedtobemoreopaqueandfrequentlyavailableonalessaccurateandtimelybasis.Moreover,inassessingnewinformation,U.S.investorsappeartobeabletodifferentiat
6、etheimplicationsforindividualinstitutionsbasedontheirrelative?nancialhealth.1TheresearchassistanceofAnuArro,ScottBriggs,HowardFisher,KennethHousinger,KiYoungPark,A.V.Sekhar,GeorgeSimler,andAlexUrbinaisgreatlyappreciated.TheauthorsarealsoindebtedtoJohnBin
7、der,AnilKashyap,EricRosengen,participantsattheNBERJapanGroupMeeting,MarkFlannery(editor),andthetwoanonymousrefereesfortheirhelpfulreviewandcommentsonearlierdrafts.WealsowouldliketothankRiekoMcCarthyofMoody’sInvestorsServicefortheinformationshesokindlypro
8、vided.Wediscusssomeresultsthatarenotreportedinthearticle;thesecanbeobtainedfromtheauthorsuponrequest.TheviewsexpressedherearethoseoftheauthorsanddonotnecessarilyrepresenttheviewsoftheFederalReserveSystem.ElijahBrewerIIIisa
