Hiroshi Moriyasu

Bio: Hiroshi Moriyasu is an academic researcher from Nagasaki University. The author has contributed to research in topics: Stock market & Shareholder. The author has an hindex of 5, co-authored 12 publications receiving 64 citations.

Shareholder Composition and Managerial Compensation

Abstract: Stock options are used only sparingly in Japan. Japanese firms are more likely to adopt new stock option plans when they are more (less) owned by arms-length investors (stable and controlling shareholders). Those firms have significantly more independent boards and pay higher dividends surrounding the adoption year than their industry peers. These results suggest that firms adopting stock options endeavor to meet demands for good governance practice from arms-length shareholders and to follow good governance practices in other dimensions. The coexistence of arms-length, stable, and controlling shareholders generates a situation in which stock options are not widely used in Japan.

The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets

Abstract: In investigating the effects of algorithmic trading on stock market liquidity and commonality in liquidity in different market conditions in an electronic limit order market, we find algorithmic trading increases stock liquidity by narrowing quoted and effective bid-ask spreads. Furthermore, algorithmic trading decreases commonality in liquidity; this finding is robust across a variety of liquidity measures. We also find algorithmic trading narrows the quoted and effective spreads to a much lesser extent following extreme market conditions, particularly after large stock market declines. However, the effect of algorithmic trading on commonality in liquidity does not differ following large market declines.

Volatility and Public Information Flows: Evidence from Disclosure and Media Coverage in the Japanese Stock Market

Abstract: This study explores the impact of public information flows on the total volatility of stock returns and idiosyncratic volatility (IDV) using corporate disclosures and press media coverage for a broad cross-section of companies in Japan. We argue that firm-released disclosures and news reports released by the press have disparate effects on volatility. Specifically, disclosure information arrivals tend to increase total volatility, consistent with the uncertainty-generating effect, whereas media coverage reduces volatility, consistent with the notion that media reports resolve information uncertainty for firms. For IDV, both types of news tend to mitigate price synchronicity, suggesting that public information flows mainly contribute to the capitalization of firm-specific information on prices overall.

The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets

Abstract: Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low frequency. These findings appear to arise due to the reduction in monitoring costs. Further analysis reveals that, following large market declines, the effect of algorithmic trading on spreads and market depth weakens while the effect on commonality in stock liquidity intensifies.

Market Liquidity: Asset Pricing with Liquidity Risk

Abstract: This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter

Abstract: Firm disclosures often reach only a portion of investors, which results in information asymmetry among investors, and therefore lower market liquidity. This issue is particularly salient for firms that are not highly visible, as they tend not to receive broad news dissemination via traditional intermediaries, such as the press. This paper examines whether firms can reduce information asymmetry by more broadly disseminating their news. To isolate the impact of dissemination, we focus our analysis on firms' use of Twitter and exploit the 140-character message restriction. Specifically, using a sample of technology firms, we examine the impact of using Twitter to send market participants links to press releases that are provided via traditional disclosure methods. We find this additional dissemination of firm-initiated news via Twitter is associated with lower abnormal bid-ask spreads and greater abnormal depths, consistent with a reduction in information asymmetry. Moreover, this result holds mainly for firms that are not highly visible, consistent with them being in greater need of this additional dissemination channel. We also examine the impact of dissemination on a volume-based measure of liquidity, and find that dissemination is positively associated with liquidity.

The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes

Abstract: The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, an analysis of return predictability indicates that newspapers propagate news from the previous day. These findings demonstrate that the media contribute to the efficiency of the stock market by improving the dissemination of information among investors and its incorporation into stock prices.

Public Information Arrival

Abstract: We develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. We find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next we relate our measure of public information to aggregate measures of intraday market activity. Our results suggest a positive, moderate relationship between public information and trading volume, but an insignificant relationship with price volatility. THE LINK BETWEEN INFORMATION and changes in asset prices is central to financial economics. A fundamental tenet of market efficiency is that investors react to new information as it arrives, resulting in price changes that reflect investors' expectations of risk and return. Recent studies in market microstructure explore how price-volume relations are formed in financial markets, with an emphasis on intraday trading. A distinction is often made in the literature between public and private information (French and Roll (1986)). Whereas public information is available to the whole market and hence does not require trading to impact prices, private information is available to a narrow segment of the market and affects prices only through trading. Recent contributions (e.g., Admati and Pfleiderer (1988)) argue that private information plays a dominant role in explaining the time patterns of trading volume and return volatility in securities markets. Public information is relegated to a lesser role, that of an unspecified, exogenous factor. Our purpose is to investigate the rate of public information flow to see whether identifiable patterns exist that shed light on market volume and volatility relationships. We begin by describing the timing and pattern of public information arrival to financial markets. Our database consists of news stories sent via the North American wire by Reuter's News Service in a recent test year, May 1990 through April 1991. We define the rate of public information flow as the number of stories carried over the news wire per unit of time and document the rate of public information flow over various time segments, such as when