Modeling the risk structure of companies using high-frequency data and its applications to corporate finance

我们利用东京证券交易所的高频交易数据，对日本企业的风险结构进行了估计，并进行了两次实证分析。本文的主要研究结果如下：（1）与以往对美国的研究相比，S.市场，股票期权授予不诱导管理风险承担在日本。(2)波动性随着披露信息的到来而增加。此外，信息披露和媒体报道互动地加强了对波动性的积极影响。

We estimated the risk structure of Japanese companies using high-frequency transaction data on the Tokyo Stock Exchange and conducted two empirical analyses by using them. The main results of the analysis are the followings :(1) in contrast to the previous research for the U. S. market, stock option grant does not induce managerial risk-taking in Japan.(2) volatility increases with disclosure information arrivals. Further, disclosure and media coverage interactively strengthen the positive impact on volatility.