Previous studies of the quality of market-forecasted volatility have used the volatility that is impliedby exchange-traded option prices. The use of implied volatility in estimating the market view of futurevolatility has suffered from variable measurement errors, such as the non-synchronization...

Previous studies of the quality of market forecasted future volatility in currency options use implied volatilities from exchange-traded currency options markets, and find that though implied volatility has substantial informational content, it is a biased predictor of future volatility....

Pricing in the Euroyen market is based on LIBOR, the London Interbank Offer Rate, set at 11am London time or TIBOR, the Tokyo Interbank Offer Rate, set at 11am Tokyo time. Since the TIBOR panel is dominated by Tokyo city banks while the LIBOR panel is dominated by non-Japanese banks, the...

Pricing in the euroyen market is based on LIBOR, the London Interbank Offered Rate, set at 11:00AM London time or TIBOR, the Tokyo Interbank Offered Rate, set at 11:00AM Tokyo time. The changing TIBOR-LIBOR spread reflects the credit risk associated with Japanese banks or the “Japan...

This study examines the role of financial analysts in equity valuation in Japan by comparing the relevance of financial analysts' earnings forecasts, over financial statement information, to investors' decisions. We find that the value-relevance of a set of accounting variables is very modest,...

Previous studies of the quality of market‐forecasted volatility have used the volatility that is implied by exchange‐traded option prices. The use of implied volatility in estimating the market view of future volatility has suffered from variable measurement errors, such as the...

The Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reasons for its...