行動経済学
Online ISSN : 2185-3568
ISSN-L : 2185-3568
第8回大会プロシーディングス
Stock Crash and R2 around a Catastrophic Event: Evidence from the Great East Japan Earthquake
Tatsushi YamamotoTakashi YamasakiKatsuhiko Muramiya
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ジャーナル フリー

2014 年 7 巻 p. 28-31

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We investigate the effects of opacity of information a firm discloses on stock price synchronicity and crash risk. We develop an analytical model in the presence of firm-specific information and market-wide information. Stock price synchronicity is predicted to increase with the opacity of firm-specific information. Our model also reveals that stock crashes are more frequent and more severe for the opaque firms. These predictions are confirmed empirically. Further, our model predicts that after a catastrophic event stock prices become synchronous with the market because of investors' limited attention, and hence the frequency and severity of a stock crash increase. We use the Great East Japan Earthquake as a representative catastrophe to examine these implications, and provide support for the model. Finally, we find that a stock price of a firm disclosing opaque information tends to be synchronous with the market, and hence experiences a more serious crash from the earthquake, which is consistent with the model.

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© 2014 Association of Behavioral Economics and Finance
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