鷹岡 澄子

This paper investigates the usefulness of the term structure of credit spreads to predict the business cycle in Japan. Our analyses provide clear evidence that the term structure of credit spreads has more predictive power than the government bond yield. Specifically, the paper shows that the credit spread curve of medium-grade corporate bonds has more useful information than the government bond yield curve for predicting the business cycle. However, our results indicate that the increase in the BBB-rated credit spread is associated with future economic expansion, contradicting the theoretical prediction in the existing literature. Our Markov-switching analysis demonstrates that this peculiar relationship holds only during the global financial crisis regime, and the 1-year government bond yield and the term spread of A-rated credit spread information have significant predictive power for the business cycle, regardless of the economic state. (C) 2017 Elsevier Inc. All rights reserved.

We examine why independent securities companies and bank subsidiary securities companies can coexist as underwriters in the Japanese corporate bond market in a period when the main bank system is very important in the Japanese financial system. While it has already been found that lending and shareholding relationships between main banks and issuers are not important determinants of underwriting commissions or yield spreads, they are found to be important determinants of lead underwriter choices. The findings about the impact of main bank relationships on underwriter choices suggest that an issuer with a strong main bank shareholding relationship chooses the main bank subsidiary securities company as the lead underwriter, and is unlikely to choose an independent securities company. An issuer with a larger sized bond issue tends to choose an independent securities company as the lead underwriter for its marketing ability. The findings from four different models consistently support the idea that independent securities companies have an advantage in marketing ability, and the main bank subsidiary securities company has an advantage in the information generated through the main bank relationship. © 2014 © 2014 Taylor &amp Francis.

The purpose of this paper is to examine the role of reputation in the matching of lead underwriters and issuing firms in the straight corporate bond market in Japan. While the existing literature already investigates how the issuing firm chooses its lead underwriter at the time of issue, this paper uses successive issues of straight corporate bonds to examine how the matching of lead underwriters and issuing firms changes over time. Data on individual issues of straight corporate bonds publicly issued in Japan between 25 February 1994 and 31 December 2009 are used to estimate models which explain how issuing firms match with lead underwriters. We measure the reputations of underwriters and issuing firms using each underwriter's percentile rank in the underwriting market and the issuer's percentile rank in the issuing proceeds, respectively. We construct a data set of straight corporate bond issues which includes many repeated issues. One of the contributions in this paper is to take account of these repeated issues by treating the data as a panel data set, and allowing for an issuer random effect in both probit and logit models of switching. This random effect is found to be significant. The estimation results show that issuing firms match with the same lead underwriter when the difference of the issuer's reputation and the current reputation of the previous lead underwriter is small. Issuing firms with an AAA rating at the time of issue are less likely to match with the same lead underwriters. In addition to reputation effects, there is strong evidence to suggest that issuing firms continue to stay matched with the same underwriter if the lead underwriter is a subsidiary of the issuing firm's main bank. (c) 2013 IMACS. Published by Elsevier B.V. All rights reserved.

The purpose of this paper is to examine the role of reputation in the matching of underwriters and issuing firms in the straight corporate bond market in Japan. While the existing literature already investigates how the issuing firm chooses its underwriter at the time of issue, this paper uses initial and seasoned issues of straight corporate bonds to examine how the matching of underwriters and issuing firms changes over time. Data on individual issues of straight corporate bonds publicly issued in Japan between 25 February 1994 and 31 December 2009 are used to estimate models which explain how issuing firms match with underwriters. We measure the reputations of underwriters and issuing firms using each underwriter's percentile rank in the underwriting market and the issuer's percentile rank in the issuing proceeds, respectively. Changes in the rating of the issuing firm's bonds are also used to measure reputation changes. Since the measures of reputation are computed for each individual bond issue, it is possible to compute how reputation changes over time. Much of the existing literature on underwriter choice focuses on how underwriter choices change between the initial public offering (IPO) and seasoned equity offering (SEO). We construct a data set of straight corporate bond issues which includes many repeated issues. One of the contributions in this paper is to take account of these repeated issues by treating the data as a panel data set, and allowing for an issuer random effect. This random effect is found to be significant. The estimation results show that issuing firms match with the same underwriter when the difference of the issuer's reputation and the current reputation of the previous underwriter is small. Issuing firms with an AAA rating at the time of issue are less likely to match with the same underwriters. In addition to reputation effects, there is strong evidence to suggest that issuing firms continue to stay matched with the same underwriter if the underwriter is a subsidiary of the issuing firm's main bank.

The purpose of this paper is to determine whether there is any mispricing of publicly issued straight corporate bonds in Japan, and to determine what factors explain variations in the degree of mispricing. While there is an extremely large literature devoted to investigating the extent of mispricing of initial public offerings (IPOs) of equity in both the United States, and Japan, there appear to be very few studies examining the extent of mispricing of IPOs of straight corporate bonds in the United States and Japan. The key study for the United States is Datta et al. (1997) who find that IPOs of speculative grade ("junk") bonds are underpriced, but those rated investment grade are overpriced. Two later studies for the United States report underpricing rather than overpricing (see Helwege and Kleiman (1998) and Cai et al. (2007)). For Japan, Matsui (2000, 2006) finds that IPO and seasoned issues when analyzed together exhibit significant overpricing too. In this paper, using data on initial (IPO) and seasoned issues of publicly issued straight bonds over the ten year period between March 1992 and March 2002, evidence is presented that suggests the existence of significant mispricing, in particular, overpricing, of these bonds. This overpricing has several features: it does not appear decline overtime; on average, it increases as the rating of the bond issued falls, it is smaller for IPO issues; and it is influenced by the degree of competition among lead underwriters. Compared to Matsui's (2000, 2006) analysis of 599 issues of straight bonds made between March 1995 and March 2000, the analysis in this paper makes several improvements: it covers a wider time period giving a far large sample size (between 1726 and 2247 issues depending on the analysis), and even when limited to the same period as Matsui (2000, 2006) the number of bonds covered is 1490; our data source provides price data on the first day that the bond is transacted in the secondary market rather than data on one day in the first week after the bond is transacted in the secondary market; we follow standard procedures for using matched government bonds of the same maturity as the corporate bond issued; and we take account of possible differences between IPO and seasoned issues.

The purpose of this paper is to examine the determinants of firms switching the lead underwriter they use to underwrite their first and second public issues of straight corporate bonds in Japan between 1994 and 2002. In particular, the paper focuses on the role of the lead underwriter's reputation in determining the degree of switching of underwriters between the first and second issues. As measures of an underwriter's reputation, the lead underwriter's rating at the time of the initial issue, the changes in the underwriter's ratings and market shares between the initial and second issue, and the degree of mispricing of the first issue are used. It is found that the probability of a switch of lead underwriters between the first and second issues is significantly increased if the securities company subsidiary of a bank was the initial lead underwriter, or the rating of the lead underwriter of the initial issue falls. There is some evidence to suggest that lead underwriters who can increase the degree of overpricing of the initial issue are more likely to be chosen to act as the lead underwriter of the second issue. (C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.

This paper examines the stock market response of firms in the automobile, food, and pharmaceutical industries to various events during the August 1993-July 1994 period that led to the enactment of the product liability law in Japan. This paper also explores the economic determinants of the magnitude of the impact of legislative events on the value of the firm. The legislative events considered include the initial proposal of the bill, committee approval, approval in each house, and so on. It is found that the most significant market response occurred around the time when the revision requests from the relevant ministries were adopted and that events generally led to losses in the value of the firm. It is also found that firm size is a significant determinant of market response.

The 1993 Japanese financial system reform allowed banks to enter the underwriting market for corporate bonds through bank-owned security subsidiaries. This paper examines empirically whether underwriting commissions and yield spreads on corporate straight bonds issued domestically fell as a result of this bank entry. The empirical results show that bank entry significantly lowers both underwriting commissions and yield spreads. Commissions charged by banks are significantly lower than those charged by investment houses. Lending and share-holding relationships between the issuer and underwriter are not important in determining commissions or yield spreads. (c) 2005 Elsevier B.V. All rights reserved.

The purpose of this paper is to examine the impact of a 1993 relaxation of the restrictions governing the underwriting operations of Japanese banks on bond issues in the Euro-yen and Japanese corporate bond markets. Evidence is presented to suggest that the relaxation of the restrictions governing the underwriting operations of Japanese banks was associated with a significant fall in spreads in both the Euro-yen and Japanese corporate bond markets. (c) 2005 IMACS. Published by Elsevier B.V. All rights reserved.

The purpose of this paper is to examine the determinants of firms switching the lead underwriter they use to underwrite their first and second public issues of corporate bonds in Japan between 1994 and 2002. A probit model which has as its dependent variable a 0-1 dummy variable taking the value one if the issuer switches lead underwriters, and zero otherwise, is used to analyze this problem. It is found that the probability of switch of underwriters between the first and second issues is significantly increased if the securities company subsidiary of a bank was the initial underwriter or the reputation of the underwriter of the initial underwriter worsens between the initial and the second issue. Evidence is also presented that suggests underwriters who can increase the degree of overpricing of the initial issue are more likely to be chosen to act as the underwriter of the second issue. Despite the theoretical suggestions that underwriting involves investment in durable firm-specific assets which might lead to initial issuers having an inside edge in being chosen to underwriter the second evidence, there is some weak evidence to suggest that switching of underwriters occurs when second issues are made relatively quickly after the first issue.

This paper examines the effects of product liability costs on R&D with asymmetric information. When the product is defective, both the consumer and producer share the resulting losses. This paper explores the impacts of liability costs on the firm's R&D decisions in three information structures: full information; hidden information; and hidden information and hidden action. It is found that the effects differ across information structures. This paper also compares the equilibrium amounts of R&D and social welfare levels across three cases. Equilibrium R&D is smaller than the socially optimal level for each information structure. (C) 2003 Elsevier B.V. All rights reserved.

This paper analyzes the impact of product liability verdicts on the value of firms in Japan and finds that the amount of exposure the verdict receives in the newspaper leads to a significant fall in the firm's stock price. (C) 2004 Elsevier B.V. All rights reserved.

The purpose of this paper is to examine the impact of three events on spreads on yen denominated bonds issued in the Euromarket by Japanese firms. The three events are: the entry of banks as underwriters in the Japanese corporate bond market; the actual entry of Japanese banks into the underwriting of corporate bonds in the Euromarket; and the relaxation of the three bureaus agreement. There is strong evidence that there is a significant reduction in spreads on Euro-yen bonds around the time of the relaxation of the three bureaus agreement. There is some evidence that the entry of banks as underwriters in the Japanese corporate bond market also coincides with a reduction in spreads in the Euro-yen market. In contrast, the actual entry of Japanese banks into the underwriting of corporate bonds in the Euro-yen market does not appear to have significantly affected spreads.

The 1993 Japanese financial system reform allowed banks to provide underwriting services in the domestic market for corporate bonds through bank-owned security subsidiaries. This paper explores how competition resulting from bank entry affected underwriting commissions for corporate bonds. It also examines empirically whether underwriting commissions for corporate bonds fell as a direct result of this bank entry. The empirical results show that bank entry lowers underwriting commissions and, moreover, commissions fall as the banks' share in the underwriting market increases. Underwriting commissions charged by banks are found to be significantly lower than those charged by securities companies.