CIRJE-J-36 2000 12
(Cross-shareholdings and Equity Valuation in Japan) 2000 12 11 1
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
2002 3 1 3 PER 4 2 EVA 1980 P/E P/B 1 P/E P/B 1990 1980 P/E 50 P/B 10 90 P/E [1992] 1 2001 3 2 [1993] [1994] 1986-1992 3
P/E P/E P/E 6 1 P/E French/Poterba[1991] P/E 1989 53.7 32.6 2001 3 4
2 3 34 3 Mark Fedenia Cross-holding occurs when listed corporations own securities issued by other corporations 4 5
69.1%1978 3 31.6%2000 3 5 71.7 FRB, Flow of Funds 98 9.9% 1978 3 30.9%2000 3 23.7%2000 3 6 7 McDonald[1989] 1 75 24.2 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 50 150 100 +50 50 A 50 A 50 B 100 A,B 150 2 5 1996 3 27.5 6 1999 10.0 12.4 1999 14.1 18.6 7 Bohren, O and D. Michalsen[1994] 3% 16% 47% 6
(1) (2) (3) 20 A B 1,000 20 A B 1,000 20 20 2 20 2030% 3 7
211 2 50% 3 10. 8 9 10 8 50 50 9 10 10 8
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
98 3 99 3 90 3 1 12 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
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
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 15 16 13 [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
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
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
19 ROE PBR.EBO ROE0 ROE ROE1 ROE e ROE ROE PBR.EBO1 1.36 ROE0 re ROE1 re PBR. EBO1 = 1+ + (1 + ROE0) 2 1+ r e ( 1+ r ) e PBR.EBO2 e ROE ROE PBR.EBO2 5.44 PBR.EBO2 PBR.EBO1 ROE1 re PBR. EBO2 = PBR. EBO1 + (1 + ROE0) (1 + ROE1) 2 (1 + r ) r e e e 20 21 ROE ROE PBR.EBO1 PBR.EBO2 ROE 19 20 P/E 20 5 21 Frankel and Lee[1998], Abarbanell and Bernard[1995] 15
PBR.EBO PBR.EBO ROE ROE ROE AOC PBR.EBO2 AOCE ROE BOCD ACE BCD ROE ROE AOC ROE BOC ROE EBO 16
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
Cor(Average)1 12 Cor(March) 3 Total PBR PBR P/B( 9 EBO ) PBR R 2 23 80 90 P/B 4 1 Cor(Average)1 12 Cor(March)3 Total 18
P/B P/B P/B P/B 1,0 23 P/B 90 P/B 1997 R 2 23 21 20 19
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
R2(Average): 1 12 R 2 R2(March): 3 R 2 P/B ROE PBRa+bROE0+cROE1+dLN(ME)+e 21
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
1 PBR ROE PBR PBR ROE PBR 23
McConnell/Servaes[1990] [2000] Berle/Means[1932] Jensen/Meckling[1976] Morck/Shleifer/Vishny[1988] [2000] 24
25 PBR.EBO [2000] PBR N= PBR ROE
ROE ROE 1 ROE ROE 2 ROE PBR( ) ROE PBR PBR 26
PBR PBR 1996 1996 1996 27
28
1999 3 44.1 1 28.2 16.3 90 1998 P/E ROE EBO P/B 1996 1996 2000 3 18.6 29
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