The Filing System and the Stock Price Change in the Kobe Earthquake

本文以1995年1月17日凌晨发生的科比地震为例，通过时间序列分析和截面分析，对大坂证券交易所规定的日本申报制度（及时披露准则）进行了评价。最后的样本包括来自134家公司的252封信，占到了交易所上市公司的11%，首先，我们可以很容易地发现，在科比地震后的一周内，不仅134家样本公司的股票价格出现了大幅的突然下跌，而且整个市场的股票价格也出现了大幅的突然下跌。这一下降的大部分似乎是从整个市场和潜在的传染效应来解释的。这种下跌一直持续到3月份的第三周。但是，我们也可以发现市场调整后的回报率（134家公司的回报率与TOPIX回报率的差异）的下降模式。其次，本文从及时性和准确性两个角度对损害披露进行了分析，并对损害披露的相关法律问题进行了探讨。 ...更多信息 使用绝对市场调整收益率的uracy天数。通过回归分析发现，在及时性变量和准确性变量的同时检验下，后期信息披露与股价变动之间的关系非常弱，而在单变量和双变量分析中，我们发现早期信息披露与股价变动之间的关系很强。在股票市场上，及时性比准确性更重要。134家公司的市场调整后收益率均值在61个上涨日中均为负值。然而，在75个下跌日中，市场调整后的收益率为正，但与市场收益率非常相似。通过申报披露和报纸披露两种信息的公司表现出最大的负累积市场调整收益率，而没有这两种信息的公司表现出最小的负收益率。总之，我们的研究结果支持了日本申报制度在科比地震中的有效性。少

This paper evaluates the Japanese filing system (timely disclosure guideline) ruled by the Osaka Securities Exchange in the case of the Kobe Earthquake at the early morning of January 17, 1995, by time series analysis and by cross sectional analysis. The final sample consists of 252 letters from 134 firms, which are eleven percent of the listed firms in the Exchange.Firstly we can easily find the big sudden fall of stock price not only in 134 sample firms but also in a whole market measured by TOPIX within a week after the Kobe Earthquake. The substantial part of this drop seems to be explained from market as a whole and from a potential contagion effect. And the decline continued until the third week in March. However we can also find decreasing pattern of market adjusted return (the difference between 134 firms return and TOPIX return). This fact may suggest potential information content of filing information.Secondly we examine damage disclosures from the point of timeliness and acc … More uracy days by using absolute market adjusted returns. We find the very weak relationship between later informative disclosures and stock price changes under the simultaneous test of timeliness variable and accuracy variables by regression analysis and we find the strong association between early less-informative disclosures and stock price changes both in univariate analysis and in bivariate analysis. Timeliness is more important than accuracy in the stock market. The mean of market adjusted returns of 134 firms shows negative value in the sixty-one up-days of the market. However, in the seventy-five down-days, market adjusted returns are positive but very similar to the market return. The firms with two types of information from filing disclosure and from newspapers show the largest negative cumulative market adjusted returns and the firms without both type of information exhibit the smallest negative returns.In summary our findings support the usefulness of the Japanese filing system in the Kobe Earthquake. Less