The Japanese Stock Market: Pricing Systems and Accounting Information

This timely volume brings together professors of finance and accounting from Japanese universities to examine the Japanese stock market in terms of its pricing and accounting systems. The papers report the results of empirical research into the Japanese stock market within the framework of new theories of finance. Academics, professionals, and anyone seeking to understand or enter the Japanese market will applaud the publication of this practical, informative volume.

Having gathered data from the late 1970's through 1984, the authors analyze the market's behavior and the applicability of two major theoretical pricing models -- the Capital Asset Pricing Models and the Efficient Market Hypothesis -- to that market. Chapter 1 provides background statistical evidence on the behavior of monthly returns on Tokyo Stock Exchange common stocks. Chapter 2 discusses an empirical test of the capital asset pricing model. Chapter 3 examines evidence on the price performance of unseasoned new issues. The authors also examine the Japanese accounting disclosure system: Chapter 4 deals empirically with the information content of the annual accounting announcements and related market efficiency. The next chapter presents empirical evidence on the relationship between unsystematic returns and earnings forecast errors. Next, empirical research into the usefulness to investors of the disclosure system is examined. Finally, Chapter 7 presents several interesting questions and topics for future research on the Japanese stock market.

SHIGEKI SAKAKIBARA is Professor of Finance, Kobe University, Japan. He has been a visiting scholar at the Graduate School of Management, UCLA.

HIDETOSHI YAMAJI is Associaate Professor of Finance and Accounting at the Research Institute for Economics and Business Administration, Kobe University. He has been a visiting scholar at the University of Illinois at Urbana-Champaign.

HISAKATSU SAKURAI is Associate Professor of Accounting, Kobe University.

KENGO SHIROSHITA is Associate Professor of Finance at the Hiroshima University of Economics, Japan.

SHIMON FUKUDA is Associate Professor of Finance at the Yamaguchi University, Japan.