表題番号：2009B-265
日付：2010/03/18
研究課題エイジェンシー問題と投資意思決定のリアルオプション分析
| 研究者所属（当時） | 資格 | 氏名 | |
|---|---|---|---|
| （代表者） | 社会科学総合学術院 | 教授 | 葛山 康典 |
- 研究成果概要
- Announcement effects around SEO(Seasoned Equity Offerings) are concerns of researchers
in empirical finance. In the US market many papers report a strong price decline after SEOs announcement.
Contrary to the US Market, a slight price run up after SEOs announcement has been reported
in the Tokyo Market. But these results have a limitation on the number of sample.
In this paper we study the announcement effect of SEO firms listed on the 1st section of Tokyo
Stock Exchange based on more than one thousand SEO events. In contrast to the conventional researches,
we found negative announcement effects similar to the US Market after 2000. Motivated by
these results we conjecture the Japanese institutional reforms in 2001 caused these negative announcement
effects. We think the institutional regulation used to distort the price distribution. We analyze
the effect by option pricing model.