Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?

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

doi:10.1111/0022-1082.00344

Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?

DOI Web Site Web Site 被引用文献4件

書誌事項

公開日: 2001-04

権利情報

http://onlinelibrary.wiley.com/termsAndConditions#vor

DOI

10.1111/0022-1082.00344

公開者: Wiley

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<jats:title>ABSTRACT</jats:title><jats:p>Japanese stock returns are even more closely related to their book‐to‐market ratios than are their U.S. 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. Our tests, which replicate the <jats:ext-link xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="#jofi344-bib-0004">Daniel and Titman (1997)</jats:ext-link> tests on a Japanese sample, reject the <jats:ext-link xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="#jofi344-bib-0009">Fama and French (1993)</jats:ext-link> three‐factor model, but fail to reject the characteristic model.</jats:p>