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Title :Earnings Response Coefficient and Default Risk in Japanese stock market
Authors :Kai, Hisao
Issue Date :Mar-2002
Journal Title :Working Papers
Volume :35
Start Page :1
End Page :20
Description :There is voluminous empirical research on the information content of earnings focused on the U.S. stock market, and there is not so much empirical research focused on the Japanese stock market. We present the liquidation option hypothesis and investigate the earnings response coefficient (ERC) changes according to firm's default risk in Japan. We measure firm's default risk using (1) its debt ratio, (2) its index based on eanings power and safety, and (3) positive and/or negative earnings. We find that ERC significantly increases as firm's default risk decreases in the Japanese stock market, these results are consistent with earlier studies. And we find that in the case of (3) positive and/or negative earnings ERC has significantly negative sign, inconsistent with the U.S. empirical results.
Keywords :Informativeness of earnings
Earnings response coefficient
Earnings-return relation
Default risk
Negative earnings
Type Local :プレプリント
Language :eng
URI :http://hdl.handle.net/10191/594
fullTextURL :http://dspace.lib.niigata-u.ac.jp/dspace/bitstream/10191/594/1/9_0003.pdf
Rights :新潟大学経済学部
Appears in Collections:10 Working Papers

Please use this identifier to cite or link to this item: http://hdl.handle.net/10191/594