This paper investigates the changes in firm value triggered by corporate tax rate changes for which firms have balances on deferred tax allowances and deferred tax assets. The effects on both investment to fixed/current assets are well taken care of with embedded production functions and firm...

We investigate market liquidity, distribution of private information-based trades, and the cost of capital of publicly traded family firms in Japan. First, we find that family firms in Japan have a lower cost of debt, lower market liquidity, and higher information asymmetry. However, we did not...

The paper investigates information content of net income, other comprehensive income items, and pseudo comprehensive income for Japanese firms. The relative information content test demonstrates net income is one of the most dominant income measures, and the incremental information content test...

This paper investigates how accurately the information contained in accounting accruals and their components are impounded into stock prices and provide evidence on the accounting accruals and the revisions of analyst earnings forecasts in terms of pricing or mispricing the stock. The results...

We estimate the equity premium for Japanese firms using the conditional version of Fama and French three-factor model where only the factor loadings are allowed to change unlike Liew and Vassalou (2000) wherein the factor premiums are allowed to change. Then, with considerations to the cyclical...

In this paper we try to find common factors that can explain the stock returns of Tokyo stock exchange firms with multivariate asset-pricing framework. Specifically, we explore the nature of risk contained in the size and the HML factor variables and their information content. For this purpose...

In Japan, as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2 percent of the cross-sectional variation in the average return on stock portfolios, the...

This paper investigates how the information content contained in components of earnings is impounded into stock prices and provides new evidence on market efficiency for firms listed on the Tokyo Stock Exchange First and Second Sections. First, we conduct a conventional pooled Mishkin test to...

We investigate market liquidity, distribution of private information-based trades, and the cost of capital of publicly traded family firms in Japan. As to the estimation of information asymmetry and illiquidity, we use the private information flow (Adjusted PIN) and the symmetric order inflow...

In Japan, as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2 percent of the cross-sectional variation in the average return on stock portfolios, the...