Post-Earthquake Japan Equity Update

Abstract

This paper looks through the lens of the Barra Japan Equity model (JPE3) to analyze how the Japan equity market reacted to the recent earthquake on March 11. We also review the Japan equity market just after Kobe Earthquake in 1995, and see if there are similarities or differences in the behavior of Japanese stocks after these two events from a style and industry perspective. Given the sharp appreciation of the yen after the recent earthquake, we considered the differences in yen sensitivity of different Japanese stocks.