| Project/Area Number |
08630090
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Osaka University |
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Principal Investigator |
MCKENZIE Colin OSAKA SCHOOL OF INTERNATIONAL PUBLIC POLIY.ASSOCIATE PROFESSOR, 国際公共政策研究科, 助教授 (10220980)
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| Project Period (FY) |
1996 – 1998
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| Project Status |
Completed (Fiscal Year 1998)
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| Budget Amount *help |
¥1,600,000 (Direct Cost: ¥1,600,000)
Fiscal Year 1998: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1997: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1996: ¥600,000 (Direct Cost: ¥600,000)
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| Keywords | Commercial Paper / Announcement Effects / Value of the firm / IEvent Study / Two step estimation / generated variable / コマーシャル・ペーパー市場 / 企業、資金調達 / 金融自由化 |
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| Research Abstract |
This three-year research program has analysed : (1) the determinants of commercial paper (OP) issues ; (2) the impact of announcements of OP issues ; and (3) econometric problems associated with events studies.
1. Determinants of OP Issues. An analysis of the behavior of Japanese firms in 1989 found that the decision to raise funds using commercial paper depended on firm size ; the probability of bankruptcy ; the presence of a main bank relationship ; and cash flows. A comparison of the results obtained by analysing CP issues taking account of issuing eligibility criterion and ignoring those criterion suggests that the eligibility criterion were binding for some firms.
2. impact of the Announcement of OP issues. A search of the Nihon Keizai Shinbun over the period 1987 to 1997 revealed 23 firms that made announcements that they would be making new issues of CPs. Using the data on these 23 firms, an event study was conducted to determine the impact of announcements of new OP programs on the value of the firm making the announcement. It was found that these announcements are not associated with any statistically significant abnormal returns ; and that the observed returns generated are not related to : whether the fin-n has a main bank ; the rating of the firm's bonds ; or the timing of the announcement.
3. Econometric Problems of Event Studies. In event studies including the one described above, it is typical to use a two step estimation method but this leads inefficient estimates of the parameters of interest. An efficient and computationally simple method for estimating these parameters is proposed for the case when all the explanatory variables are observable. When the explanatory variables include generated regressors, the econometric problems they bring about are explained.
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