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Earnings Response Coefficient and Default Risk in Japanese stock market
http://hdl.handle.net/10191/594
http://hdl.handle.net/10191/5948d722109-7045-484c-9c24-d0b4a87a9e50
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
9_0003.pdf (2.9 MB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2007-04-18 | |||||
| タイトル | ||||||
| タイトル | Earnings Response Coefficient and Default Risk in Japanese stock market | |||||
| タイトル | ||||||
| タイトル | Earnings Response Coefficient and Default Risk in Japanese stock market | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Informativeness of earnings | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Earnings response coefficient | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Earnings-return relation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Default risk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Negative earnings | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Losses | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Kai, Hisao
× Kai, Hisao |
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| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 175734 | |||||
| 姓名 | 加井, 久雄 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | There is voluminous empirical research on the information content of earnings focused on the U.S. stock market, and there is not so much empirical research focused on the Japanese stock market. We present the liquidation option hypothesis and investigate the earnings response coefficient (ERC) changes according to firm's default risk in Japan. We measure firm's default risk using (1) its debt ratio, (2) its index based on eanings power and safety, and (3) positive and/or negative earnings. We find that ERC significantly increases as firm's default risk decreases in the Japanese stock market, these results are consistent with earlier studies. And we find that in the case of (3) positive and/or negative earnings ERC has significantly negative sign, inconsistent with the U.S. empirical results. | |||||
| 書誌情報 |
Working Papers en : Working Papers 巻 35, p. 1-20, 発行日 2002-03 |
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| 権利 | ||||||
| 権利情報 | 新潟大学経済学部 | |||||
| 著者版フラグ | ||||||
| 値 | publisher | |||||
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Cite as
Kai, Hisao, 2002, Earnings Response Coefficient and Default Risk in Japanese stock market: 1–20 p.
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