Modeling the risk structure of companies using high-frequency data and its applications to corporate finance
Project/Area Number |
21330078
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Research Category |
Grant-in-Aid for Scientific Research (B)
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Allocation Type | Single-year Grants |
Section | 一般 |
Research Field |
Public finance/Monetary economics
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Research Institution | Nagasaki University |
Principal Investigator |
|
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 *help |
¥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.
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Report
(4 results)
Research Products
(16 results)