Explaining The Cross - Section of Stock Returns in Japan : Factors or Characteristics ?  

Oleh:

Daniel, Kent ; Titman, Sheridan ; Wei, K.C. John

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 2 (2001), page 743-766.
Topik: stock returns; rates of return; securities markets; mathematical models; risk exposure; investment policy; studies; regression analysis
Fulltext: p 743.pdf (122.28KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Financial economists have extensively studied the cross - sectional determinants of US stock returns, and contrary to theoretical predictions, find very little cross - sectional relation between average stock returns and systematic risk measured either by market betas or consumption betas. Japanese stock returns are even more closely related to their book - to - market ratios than are their US counterparts, and thus provide a good setting for testing whether the return premia associated with these characteristics arise because the characteristics are proxies for covariance with priced factors. The tests, which replicate the Daniel and Titman (1997) tests on a Japanese sample, reject the Fama and French (1993) three - factor model, but fail to reject the characteristic model.

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