橡AIMRﾓﾉｸﾞﾗﾌ（荻島）.PDF

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1 CIRJE-J

2 (Cross-shareholdings and Equity Valuation in Japan)

3 Abstract This paper reports our extensive study on the cross-shareholdings among Japanese companies and their impact on share prices. We use three alternative indexes to measure the extent of stable ownership of individual companies. To investigate the impact of cross-shareholdings on share prices we combine an EVA-type valuation model and analysts earning forecasts of Nomura Research Institute. We find a significant positive relation between share price and one of the three indexes of stable ownership, but not the other two. We give an interpretation of this result from the perspective of managerial incentives in relation to the ownership structure of Japanese companies. 10 2

To investigate the impact of cross-shareholdings on share prices we combine an EVA-type valuation model and analysts earning forecasts of Nomura Research Institute.

4 PER 4 2 EVA 1980 P/E P/B 1 P/E P/B P/E 50 P/B P/E [1992] [1993] [1994]

5 P/E P/E P/E 6 1 P/E French/Poterba[1991] P/E

6 Mark Fedenia Cross-holding occurs when listed corporations own securities issued by other corporations 4 5

7 69.1% % FRB, Flow of Funds % % % McDonald[1989] A B B A A B 100 B A A,B A B B A A B 100 B A A,B 00+0 A 100 B A A 50 A 50 B 100 A,B Bohren, O and D. Michalsen[1994] 3% 16% 47% 6

2 75 A B B A A B 100 B A A,B 100 100 0 A B B A A B 100 B A A,B 00+0 A 100 B A 50

8 (1) (2) (3) 20 A B 1, A B 1, % 3 7

9 %

10 1 11 NTT 11 h (t2) h(t2)=h (t2) h (t1) D2=h (t2)/h (t1) h(t1)=h(t2)/d2 h(t0)=h(t1)/d1 D1=h (t1)/h (t0) 9

11 A B PA PB N A B B A A PAr B PBr 1 CA B 1 CB A PBN A CAN PBN B PAN CBN PAN PA PB 12 [1990] [1994] 10

12 PACAN CAN PBN PB NPA N PBCBN CBN PAN PA NPB N PA PAPB PB A B PA N PB N PACANCANPB NPA N PBCBNCBNPA NPB N PA PAPB PB 1 EPS P/E 11

13 P/E P/E 13 P/E P/E P/E P/E P/E P/E P/E / 14 P/E P/E P/E P/E P/E P/E P/E P/E P/E P/E [1989] Ikeda[1992] P/E 14 [1988] 15 Fedenia, M., J. E. Hodder and A. J. Triantis[1994] 16 Bohren, O and D. Michalsen[1994] 12

14 P/B P/B P/B P/B [1988]80 P./E P/B P/B 90 DDM P t = i= 1 1 E[ Dt+ i ] i ( + r ) e E(D) t+i e DDM EBO EBO 17 DDM 17 Frankel, Richard M., and Lee, Charles M. C. [1998]Frankel, Richard and Charles M. C. Lee[1995] 13

15 ROE DCF P B 2 ROE e P t = B t + i= 1 E [( ROE r ) B ] t+ i e i e (1 + r ) t + i 1 B P / B t t = 1+ i= 1 E [( ROE r ) B ] t+ i (1 + r ) e i e B t t + i 1 P/B 18 P/B P/B P/B 2 P/B P/B P/B P/B ROE P/B EBO P/BEBO P/B P/B P/B EBO ROE 18 P/B P/B P/B P/B 14

16 19 ROE PBR.EBO ROE0 ROE ROE1 ROE e ROE ROE PBR.EBO ROE0 re ROE1 re PBR. EBO1 = 1+ + (1 + ROE0) 2 1+ r e ( 1+ r ) e PBR.EBO2 e ROE ROE PBR.EBO PBR.EBO2 PBR.EBO1 ROE1 re PBR. EBO2 = PBR. EBO1 + (1 + ROE0) (1 + ROE1) 2 (1 + r ) r e e e ROE ROE PBR.EBO1 PBR.EBO2 ROE P/E Frankel and Lee[1998], Abarbanell and Bernard[1995] 15

17 PBR.EBO PBR.EBO ROE ROE ROE AOC PBR.EBO2 AOCE ROE BOCD ACE BCD ROE ROE AOC ROE BOC ROE EBO 16

18 EBO PBR EBO PBR ROE EBO EBO ROE ROE 9 EBO 22 ROE ROE ROE ROE P/E ROE ROE PBR PBR ROE 22 17

19 Cor(Average)1 12 Cor(March) 3 Total PBR PBR P/B( 9 EBO ) PBR R P/B 4 1 Cor(Average)1 12 Cor(March)3 Total 18

20 P/B P/B P/B P/B 1,0 23 P/B 90 P/B 1997 R

21 R2(Average): 1 12 R 2 R2(March): 3 R 2 80 R2(Average): 1 12 R 2 R2(March): 3 R 2 P/B 20

22 R2(Average): 1 12 R 2 R2(March): 3 R 2 P/B ROE PBRa+bROE0+cROE1+dLN(ME)+e 21

23 PBR P/B ROE a+broe0+croe1+dln(me)+e +f P/B ROE PBRa+bROE0+cROE1+dLN(ME)+e +f P/B ROE ROE PBRa+bROE0+cROE1+dLN(ME)+e +f 22

24 1 PBR ROE PBR PBR ROE PBR 23

25 McConnell/Servaes[1990] [2000] Berle/Means[1932] Jensen/Meckling[1976] Morck/Shleifer/Vishny[1988] [2000] 24

26 25 PBR.EBO [2000] PBR N= PBR ROE

27 ROE ROE 1 ROE ROE 2 ROE PBR( ) ROE PBR PBR 26

28 PBR PBR

29 28

30 P/E ROE EBO P/B

31 [1992],,, vol.30, no.9, pp [1989],,, no.18, pp [1993], vol.31, no.6, pp [1990],,,. [1991], (1)(6), , P. [1997],,. [2000],, no.7, pp , [1994],, Japan Research Review, pp [2000],,, vol.38, no.2, pp [1988], PER,,. [1995],,. Bohren, O. and D. Michalsen [1994], Corporate Cross-Ownership and Market Aggregates: Oslo Stock Exchange , Journal of Banking and Finance, vol.18, no.4, pp Fedenia, M., J. E. Hodder and A. J. Triantis [1994], Cross-Holdings: Estimation Issues, Biases, and Distortions, The Review of Financial Studies, vol.7, no.1, Spring, pp Ferguson, R. and N. B. Hitzig [1993], How to Get Rich Quick Using GAAP, Financial Analysts Journal, vol.49, no.3, May/June, pp Frankel, Richard M., and Charles M. C. Lee [1998], Accounting valuation, market expectation and cross-sectional returns, Journal of Accounting and Economics, pp French, K. R. and M. Poterba, [1991], Were Japanese stock prices too high?, Journal of Financial Economics, vol.29, pp Ikeda, Masayuki [1992], Price/Earnings Ratios with Reciprocal Owership, Financial 30

32 Analysts Journal, July-August. Kobayashi, H., Y. Endo and S. Ogishima [1993], New Directions in Japanese Banking Relationships, NRI Quarterly, 02-1 Spring. McDonald, J. [1989], The Mochiai effect: Japanese corporate cross-holdings, The Journal of Portfolio Management, Fall, pp Ogishima, Seiji [1995], Empirical Test for the Mochiai Effect in Japan, International Society of Financial Analysts, vol.7, no.2, pp.8-9. Ogishima Seiji [1994], Recent Trends in Japanese Stock Cross-Holding, NRI Quarterly, Nomura Research Institute, 03-3, pp Sinha, R. [1998], Company Cross-Holdings and Investment Analysis, Financial Analysts Journal, vol.54, no.5, Sep./Oct., pp

論文０８.indd

論文０８.indd * 1 はじめに,, TOPIX TOPIX, TOPIX TOPIX Shelor Anderson and Cross C Japan Society of Monetary Economics 図 1 東日本大震災前後の株価 (TOPIX) の推移 1,000 950 900 850 800 750 700 図 2 阪神大震災前後の株価 (TOPIX) の推移 1,650 1,550 1,450

橡AIMRﾓﾉｸﾞﾗﾌ（荻島）.PDF

橡AIMRﾓﾉｸﾞﾗﾌ（荻島）.PDF