A Comparison of Relations Between Security Market Prices, Returns and Accounting Measures in Japan and the United States

We examine associations between accounting measures of earnings and stock returns in Japan over varying window lengths and compare them to those for the United States. Our results are consistent with the view that Japanese investors utilize less accounting information in their pricing of equities than do their U.S. counterparts. This was particularly evident in the 'boom' period of the mid to late 1980s when the fundamental values conveyed by accounting measures appear to have been largely ignored. The association increases with the inclusion of 1991, suggesting a return to more emphasis on fundamentals with the recent decline in stock prices.     

Correlations in price changes and volatility across international stock markets

The short-run interdependence of prices and price volatilityacross three major international stock market is studied. Dailyopening and closing prices of major stock indexes for the Tokyo,London, and New York stock markets are examined. The analysisutilizes the autoregressive conditionally heteroskedastic (ARCH)family of statistical models to explore these pricing relationship.Evidence of price volatility spillovers from New York to Tokyo,London to Tokyo, and New York to London is observed, but noprice volatility spillover effects in other directions are foundfor the pre-October 1987 period.     

Interaction in investment among rival Japanese firms

This paper develops a simple framework for investigating the variation in firms' investment behavior across industrial sectors and over time. We divide the economy into three tiers: major industrial sectors, businesses, and firms, and focus on the impact of business-level interaction on firms investment behavior. After controlling for unobservable firm-specific effects, business-specific effects, and a changing economic environment, we find that the investment and profitability of competitors help explain variations in investment across firms in major Japanese industrial sectors.     

An Analysis of Bidding in the Japanese Government Bond Auctions

We examine the bidding patterns and auction profits in the Japanese Government Bond (JGB) auctions and empirically test the predictions of auction theory. We find that the average profit in JGB auctions is not reliably different from zero, and the degree of competition and the level of uncertainty are insignificant in determining auction profits. The winning shares of the U.S. dealers are positively related to auction profits, whereas the winning shares of their Japanese counterparts show a negative association. We also find that the share of winnings of Japanese dealers tends to be correlated with the share of winnings of their compatriot dealers but a similar relation is not found for U.S. dealers.     

Securities trading in the absence of dealers: trades and quotes on the Tokyo Stock Exchange

This article investigates the behaviour of intraday trades andquotes for individual stocks on the Tokyo Stock Exchange (TSE).We examine the transaction and quote record for three firmsfor the first 3 months of 1990. Our findings suggest that theimmediacy available (at least for small trades) in the marketis high, despite the reliance on public limit orders to supplyliquidity. When orders that would otherwise walk through thelimit order book are converted into limit orders, executionis delayed, but some orders execute (at least in part) at morefavorable prices.