Modeling the risk structure of companies using high-frequency data and its applications to corporate finance

• Project/Area Number: 21330078
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Nagasaki University
• Principal Investigator: MORIYASU Hiroshi 長崎大学, 経済学部, 教授 (10304924)
• Co-Investigator(Kenkyū-buntansha): UCHIDA Konari 九州大学, 経済学研究院, 准教授 (80305820) ; AMAN Hiroyuki 甲南大学, 経済学部, 准教授 (70346906)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥18,070,000 (Direct Cost: ¥13,900,000、Indirect Cost: ¥4,170,000); Fiscal Year 2011: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2010: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000); Fiscal Year 2009: ¥9,880,000 (Direct Cost: ¥7,600,000、Indirect Cost: ¥2,280,000)
• Keywords: 超高頻度データ / ボラティリティ / 企業金融 / 企業固有リスク

Research Abstract

We estimated the risk structure of Japanese companies using high-frequency transaction data on the Tokyo Stock Exchange and conducted two empirical analyses by using them. The main results of the analysis are the followings :(1) in contrast to the previous research for the U. S. market, stock option grant does not induce managerial risk-taking in Japan.(2) volatility increases with disclosure information arrivals. Further, disclosure and media coverage interactively strengthen the positive impact on volatility.

Research Products

• [Journal Article] Volatility and Public Information Flows : Evidence from Disclosure and Media Coverage in the Japanese Stock Market (2012)
  • Author(s): Hiroyuki Aman and Hiroshi Moriyasu
  • Journal Title: Proceedings of the 51st Southwestern Finance Association
  • Peer Reviewed
• [Journal Article] Volatility and Public Information Flows : Evidence from Disclosure and Media Coverage in the Japanese (2012)
  • Author(s): H.Aman, H.Moriyasu
  • Journal Title: Proceedings of the 51st Southwestern Finance Association
  • Peer Reviewed
• [Journal Article] Corporate governance and stock price performance during the financial crisis : Evidence from Japan, A. Tomohara and M. Sherlock(eds.) (2011)
  • Author(s): Daisuke Nogata, Konari Uchida, and Hiroshi Moriyasu
  • Journal Title: Financial Crisis in the Global Bubble Economy,
  • Peer Reviewed
• [Journal Article] Corporate governance and stock price performance during the financial crisis : Evidence from Japan (2011)
  • Author(s): Daisuke Nogata, Konari Uchida, Hiroshi Moriyasu
  • Journal Title: Financial Crisis in the Global Bubble Economy(A.Tomohara and M.Sherlock (eds.))
  • Peer Reviewed
• [Journal Article] Impact of Tick and Contract Size on Intraday Price Discovery Process (2010)
  • Author(s): Hiroshi Moriyasu
  • Journal Title: Proceedings of Annual Hawaii International Business Research Conference
  • Peer Reviewed
• [Journal Article] 日経225先物市場の価格発見機能 (2010)
  • Author(s): 森保洋
  • Journal Title: 経営と経済 Volume: 第90巻第3号
  • NAID: 110009487117
• [Journal Article] The Intraday Price Discovery Process between the Singapore Exchange and Osaka Stock Exchange (2009)
  • Author(s): Hiroshi Moriyasu
  • Journal Title: Proceedings of the 21st Asian-pacific Conference on International Accounting Issues
• [Presentation] Volatility and Public Information Flows : Evidence from Disclosure and Media Coverage in the Japanese Stock Market (2012)
  • Author(s): Hiroyuki Aman and Hiroshi Moriyasu
  • Organizer: Annual Meetings of the Southwestern Finance Association, Sheraton New Orleans
  • Place of Presentation: New Orleans, Louisiana, USA
  • Year and Date: 2012-03-01
• [Presentation] Volatility and Public Information Flows : Evidence from Disclosure and Media Coverage in the Japanese (2012)
  • Author(s): Hiroyuki Aman
  • Organizer: Southwestern Finance Association
  • Place of Presentation: Sheraton New Orleans, New Orleans, Louisiana, USA
  • Year and Date: 2012-03-01
• [Presentation] Volatility and public information flows : evidence from disclosure and media coverage in the Japanese stock market (2011)
  • Author(s): 阿萬弘行, 森保洋
  • Organizer: 日本応用経済学会
  • Place of Presentation: 慶應義塾大学
  • Year and Date: 2011-11-27
• [Presentation] Stock Option Grants and Managerial Risk Taking : Evidence from Japanese Intraday Stock Return Data (2011)
  • Author(s): 内田交謹, 森保洋
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 早稲田大学
  • Year and Date: 2011-05-15
• [Presentation] Stock Option Grants and Managerial Risk Taking : Evidence from Japanese Intraday Stock Return Data (2011)
  • Author(s): 内田交謹
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 上智大学
  • Year and Date: 2011-05-15
• [Presentation] Impact of Tick and Contract Size on Intraday Price Discovery Process (2010)
  • Author(s): Hiroshi Moriyasu
  • Organizer: Annual Hawaii International Business Research Conference
  • Place of Presentation: Sheraton Hawaiian Village, Hawaii, U. S. A
  • Year and Date: 2010-09-28
• [Presentation] Impact of Tick and Contract Size on Intraday Price Discovery Process (2010)
  • Author(s): Hiroshi Moriyasu
  • Organizer: Annual Hawaii International Business Research Conference
  • Place of Presentation: Hilton Hawaiian Village(米国・ハワイ州)
  • Year and Date: 2010-09-28
• [Presentation] The Intraday Price Discovery Process between the Singapore Exchange and Osaka Stock Exchange (2009)
  • Author(s): Hiroshi Moriyasu
  • Organizer: The Intraday Price Discovery Process between the Singapore Exchange and Osaka Stock Exchange
  • Place of Presentation: Las Vegas, U. S. A
  • Year and Date: 2009-11-23
• [Book] 日本株式市場の投資行動分析-行動ファイナンスからのアプローチ (2009)
  • Author(s): 城下賢吾,森保洋
  • Publisher: 中央経済社