In the Japanese initial public offering (IPO) market, initial first-day and one-year aftermarket returns are unusual, with a mean (median) of 0.417 (0.314) and −0.322 (−0.316), respectively. Our study relates this result to a globally popular book building pricing system that is blended with...

We examine the pricing implications of management earnings forecasts by taking advantage of the unique corporate disclosure practice in Japan, where listed firms regularly announce earnings forecasts upon requests by stock exchanges and the press. Calendar-time strategies using the forecasted...

Using a sample of 779 Japanese IPOs over the 2002-2012 period, we find a strong retail orientation in new share allocation. As for institutional allocation, the most complete universal banking form of underwriting neither advantages nor disadvantages investors in affiliated mutual funds, both...

We examine whether financial conglomeration enhances efficiency of capital allocation or conflicts of interest, focusing on pricing and allocation of IPO stocks in Japan. Regarding underwriting of IPO stocks, our results are consistent with the bank certification hypothesis. As for IPO...

This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative...

We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In...

We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In...