Does the Japanese Stock Market Price Bank-Risk? Evidence from Financial Firm Failures
研究1995-1998年间日本银行和证券公司倒闭事件对幸存银行股价的影响，发现股价整体下跌且财务较弱的银行受影响更大，表明股东能利用现有信息区分银行风险。
The ability of the Japanese stock market to appropriately price the riskiness of Japanese financial firms has been frequently questioned, particularly in light of Japan’s widespread financial distress in recent years and poor disclosure requirements. This paper examines the response in equity returns of Japanese banks to the failure of four commercial banks and two securities firms between 1995 and 1998. Using event study methodology, the analysis finds that share prices of surviving banks on the whole responded unfavorably to the failures and that financially weaker survivors were more adversely affected. This suggests that, despite the distress and alleged opaqueness, bank shareholders were able to use available indicators of financial condition both to incorporate new information quickly into stock prices and to differentiate among banks.