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The Filing System and the Stock Price Change in the Kobe Earthquake

Research Project

Project/Area Number 09630136
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Accounting
Research InstitutionNAGOYA CITY UNIVERSITY

Principal Investigator

KUNIMURA Michio  FACULTY OF ECONOMICS, PROFESSOR, 経済学部, 教授 (70089952)

Project Period (FY) 1997 – 1999
Project Status Completed (Fiscal Year 1999)
Budget Amount *help
¥1,900,000 (Direct Cost: ¥1,900,000)
Fiscal Year 1999: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1998: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1997: ¥900,000 (Direct Cost: ¥900,000)
KeywordsKobe Earthquake / Disclosure / Filing System / Event Study / Contagion Effect / ディスクロージャー / 株価分析 / 被害情報 / 株式市場 / 適時性
Research Abstract

This paper evaluates the Japanese filing system (timely disclosure guideline) ruled by the Osaka Securities Exchange in the case of the Kobe Earthquake at the early morning of January 17, 1995, by time series analysis and by cross sectional analysis. The final sample consists of 252 letters from 134 firms, which are eleven percent of the listed firms in the Exchange.
Firstly we can easily find the big sudden fall of stock price not only in 134 sample firms but also in a whole market measured by TOPIX within a week after the Kobe Earthquake. The substantial part of this drop seems to be explained from market as a whole and from a potential contagion effect. And the decline continued until the third week in March. However we can also find decreasing pattern of market adjusted return (the difference between 134 firms return and TOPIX return). This fact may suggest potential information content of filing information.
Secondly we examine damage disclosures from the point of timeliness and acc … More uracy days by using absolute market adjusted returns. We find the very weak relationship between later informative disclosures and stock price changes under the simultaneous test of timeliness variable and accuracy variables by regression analysis and we find the strong association between early less-informative disclosures and stock price changes both in univariate analysis and in bivariate analysis. Timeliness is more important than accuracy in the stock market. The mean of market adjusted returns of 134 firms shows negative value in the sixty-one up-days of the market. However, in the seventy-five down-days, market adjusted returns are positive but very similar to the market return. The firms with two types of information from filing disclosure and from newspapers show the largest negative cumulative market adjusted returns and the firms without both type of information exhibit the smallest negative returns.
In summary our findings support the usefulness of the Japanese filing system in the Kobe Earthquake. Less

Report

(4 results)
  • 1999 Annual Research Report   Final Research Report Summary
  • 1998 Annual Research Report
  • 1997 Annual Research Report
  • Research Products

    (8 results)

All Other

All Publications (8 results)

  • [Publications] 國村道雄 他: "阪神大震災における適時開示と株式市場の調整"証券経済学会年報(査読論文). 33号. 1-14 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Michio Kunimura et al: "The Inpact of the 1995 Kobe Earthqwooke on the stock prices of Damege Disclosing Firms"Proceedings on '99 AAA/TAA Corferonce. '99. 19 (1999)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Michiko Kunimura, Yoshida, Yasushi and Fukuda, Takeyuki: "The filing disclosure on the Kobe Earthquake and the response of stock prices"Annals of Society for the Economic Studies of Securities. No. 33. 1-14 (1988)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Michio Kunimura and Yoshida, Yasushi: "The Impact of the 1995 Kobe Earthquake on the stock prices of damage disclosing firms"Proceedings on 1999 AAA/TAA Conference. 19 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] 國村道雄 他: "阪神大震災における適時開示と株式市場の調整"証券経済学会年報(査読論文). 33号. 1-14 (1998)

    • Related Report
      1999 Annual Research Report
  • [Publications] Michio Kunimura: "The Impact of the 1995 Kobe Earthquake on the stock Prices of Damage Disclosing Firms"Proceedings on '99 AAA/TAA Conference. '99. 19 (1999)

    • Related Report
      1999 Annual Research Report
  • [Publications] 國村道雄他: "阪神大震災における適時開示と株式市場の調整" 証券経済学会年報. 33号. 1-14 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] 國村道雄, 吉田靖, 福田武之: "阪神大震災における適時開示と株式市場の調整" 証券経済学会年報. 第33号. 1-14 (10)

    • Related Report
      1997 Annual Research Report

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Published: 1997-04-01   Modified: 2016-04-21  

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