2011 Fiscal Year Final Research Report
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 |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Nagasaki University |
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Principal Investigator |
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| 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)
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| Project Period (FY) |
2009 – 2011
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| Keywords | 超高頻度データ / ボラティリティ / 企業金融 |
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| 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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