Macroeconomic factors and Japan's industry risk [An article from: Journal of Multinational Financial Management]

This digital document is a journal article from Journal of Multinational Financial Management, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
We propose a simple risk indicator based on the cross-sectional distribution of cash flows in a given industry. The indicator is applied to a sample of Japanese industry sectors over the period 1970-2005. The results indicate a slightly lower risk level in domestic-oriented industries relative to industries dependent on export markets. Consistent with evidence based on stock returns and corporate bond yields, we find that risk in domestic-oriented industries is more sensitive to GDP growth, while risk in export-oriented industries is more sensitive to an appreciation in the Japanese currency. There is also evidence that interest rate spreads have a more significant effect on the riskiness of capital-intensive industries.