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

本文以1995年1月17日神户大地震为例，采用时间序列分析和横截面分析方法，对大阪证券交易所规定的日本申报制度(及时披露指引)进行了评价。最终样本包括134家公司的252封信函，占交易所上市公司的11%。首先，我们可以很容易地发现，神户地震后一周内，不仅134家样本公司的股票价格突然大幅下跌，而且东证指数衡量的整个市场的股价都出现了大幅下跌。这一下降的很大一部分似乎是从整体市场和潜在的传染效应来解释的。而且这种下降趋势一直持续到3月份的第三周。然而，我们也可以发现市场调整收益的递减模式(134家公司的收益与东证指数收益之差)。这一事实可能暗示了备案信息的潜在信息内容。其次，我们从及时性和Acc…的角度考察了损害披露通过使用绝对市场调整后的回报，获得更多稳定的天数。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，在单变量分析和双变量分析中，我们发现早期信息披露较少与股价变动之间存在很强的相关性。在股票市场上，及时性比准确性更重要。134家公司的市场调整收益平均值在市场上涨的61天内为负值。不过，在下跌的75天中，市场调整后的回报是正的，但与市场回报非常接近。具有备案披露和报刊披露两种信息的公司的市场调整累计负收益最大，而没有这两种信息的公司的负收益最小。总之，我们的研究结果支持了日本备案制度在神户地震中的有效性。较少

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