| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9642 |
| 来源ID | Working Paper 9642 |
| Idiosyncratic Risk and the Creative Destruction in Japan | |
| Yasushi Hamao; Jianping Mei; Yexiao Xu | |
| 发表日期 | 2003-04-28 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | The dramatic rise and fall of the Japanese equity market provides a unique opportunity to examine market-and firm-specific risks over different market conditions. The price behavior of Japanese equities in the 1990s is found to resemble that of U.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation process as it has become more difficult over the past decade for both investors and managers to separate high quality from low quality firms. Using data on firm performance fundamentals and corporate bankruptcies, we show that the fall in firm-level volatility and turnover in Japanese stocks could be attributed to the sharp increase in earnings homogeneity among Japanese firms and the lack of corporate restructuring. |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w9642 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567266 |
| 推荐引用方式 GB/T 7714 | Yasushi Hamao,Jianping Mei,Yexiao Xu. Idiosyncratic Risk and the Creative Destruction in Japan. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9642.pdf（413KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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