Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
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arXiv
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| Natura: | Preprint |
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2026
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| _version_ | 1866913148235153408 |
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| author | Morimoto, Keiichi Noda, Akihiko Yuki, Takenobu |
| author_facet | Morimoto, Keiichi Noda, Akihiko Yuki, Takenobu |
| contents | This paper examines how wartime economic controls shaped stock-price formation in Japan from 1930 to 1943. We develop a four-portfolio asset-pricing model in which zaibatsu affiliation affects expected payoffs and the translation of valuations into economic scale through lower financing wedges. We then construct daily capitalization-weighted indices and four benchmark portfolios based on a two-by-two sort by zaibatsu affiliation and military orientation. Using a CAPM-AR(p)-SV event-study framework that allows for serial correlation and stochastic volatility, we show that the model rationalizes capitalization concentration, segmented abnormal returns, delayed cumulative adjustment, regime-risk insulation of zaibatsu portfolios, and zaibatsu-concentrated responses to embedded-rent or group-continuation shocks. The evidence is consistent not with a collapse of semi-strong efficiency, but with institutionally contingent efficiency: stock prices continued to respond to news while capitalizing uneven access to credit, materials, and procurement. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_21009 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943 Morimoto, Keiichi Noda, Akihiko Yuki, Takenobu General Economics Economics Pricing of Securities Statistical Finance This paper examines how wartime economic controls shaped stock-price formation in Japan from 1930 to 1943. We develop a four-portfolio asset-pricing model in which zaibatsu affiliation affects expected payoffs and the translation of valuations into economic scale through lower financing wedges. We then construct daily capitalization-weighted indices and four benchmark portfolios based on a two-by-two sort by zaibatsu affiliation and military orientation. Using a CAPM-AR(p)-SV event-study framework that allows for serial correlation and stochastic volatility, we show that the model rationalizes capitalization concentration, segmented abnormal returns, delayed cumulative adjustment, regime-risk insulation of zaibatsu portfolios, and zaibatsu-concentrated responses to embedded-rent or group-continuation shocks. The evidence is consistent not with a collapse of semi-strong efficiency, but with institutionally contingent efficiency: stock prices continued to respond to news while capitalizing uneven access to credit, materials, and procurement. |
| title | Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943 |
| topic | General Economics Economics Pricing of Securities Statistical Finance |
| url | https://arxiv.org/abs/2605.21009 |