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Author : Louis Kuo Chi Chan
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
Download or read book Fundamentals and Stock Returns in Japan written by Louis Kuo Chi Chan and published by . This book was released on 1990 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Louis Kuo Chi Chan
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book Fundamentals and Stock Returns in Japan written by Louis Kuo Chi Chan and published by . This book was released on 1990 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Samuel Xin Liang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book What Drives Stock Returns in Japan? written by Samuel Xin Liang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate systematic factors driving stock returns and stock return predictability in Japan. We find that dividend yield, cash-flow yield, and industrial production are systematic pricing factors after controlling for market, value, and size while other macroeconomic factors are not. Value and size premiums become insignificant after adding the industrial production factor to market, value and size factors because the value factor captures the changing fundamentals of Japan's macroeconomic development. For predicting stock returns, our tests using Fama-MacBeth (1973) regressions accept the models of both factor and characteristics for a stock's cash-flow yield, and a characteristics model for a stock's short-term reversal, dividend yield, and earnings yield.
Author : Nathan Sosner
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trade and the Comovement of Stock Returns written by Nathan Sosner and published by . This book was released on 2009 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: In April 2000, in one day, 30 stocks were replaced in the Nikkei 225 index in Japan. We analyze the change in comovement of returns of stocks added to and deleted from the index with the returns of stocks remaining in the index. A simple model shows that upon inclusion into (deletion from) a stock index, stocks should begin to comove more (less) with the index, due to a change in their trading pattern. The empirical findings provide sound support for these predictions: In the sample, daily index betas of the added stocks rose by an average of 0.60, while the average beta of the deleted stocks fell by 0.71. Our results confirm additional predictions of the model for changes in R2, turnover, and the autocorrelation of returns upon index inclusion and deletion, and hold at daily, weekly and bi-weekly return horizons. Fundamentals based explanations fail to account for these findings. We conclude that correlated trading of index stocks causes excess comovement of stock returns. We argue that the distinct trading mechanism on the Tokyo Stock Exchange contributes to the significance and magnitude of our results.
Author : Kent Daniel
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (318 download)
Download or read book Explaining the Cross-section of Stock Returns in Japan written by Kent Daniel and published by . This book was released on 1999 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Daniel and Titman (1997) tests on a Japanese sample, reject the Fama and French (1993) three-factor model but fails to reject the characteristic model.
Author : Fabio Pizzutilo
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Distribution of the Returns of Japanese Stocks and Portfolios written by Fabio Pizzutilo and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The behaviour of the distribution of stock returns is of fundamental importance in financial economics, in view of its direct bearing on the descriptive validity of any theoretical model. We analysed the behaviour of Japanese stock return distributions using the Pearson system of frequency curves to determine whether a) the distributions of the returns of the shares listed in the Nikkei 225 can be described by a single type of distribution; b) the length of the time period used for the analysis affects the behaviour of the distributions, and c) the distributions of the returns of portfolios of Japanese stocks follow similar patterns of behaviour. We found that all the shares listed on the Nikkei 225 may be described by the Pearson Type IV distribution. Other behaviours are occasionally observable but only when short time periods are used in the analysis, suggesting that the length of the period is not a variable that has any significant effect on the behaviour of Japanese stock returns. When the returns of portfolios of Japanese stocks are examined, the results are more robust and exceptions to the Pearson type IV rule are less common and are confined to very short time periods of analysis. We discuss the implications of our findings for financial modelling. To the best of our knowledge, we provide the first such analysis for the Japanese market.
Author : Frank K. Reilly
Publisher : 中信出版社
ISBN 13 : 9787800735042
Total Pages : 1284 pages
Book Rating : 4.7/5 (35 download)
Download or read book 投资分析与组合管理 written by Frank K. Reilly and published by 中信出版社. This book was released on 2002 with total page 1284 pages. Available in PDF, EPUB and Kindle. Book excerpt: 本书向您介绍了投资分析与组合管理。
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)
Download or read book Predictable Bond and Stock Returns in the United States and Japan written by John Y. Campbell and published by . This book was released on 1988 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shigeyuki Hamori
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (457 download)
Download or read book Seasonality and Stock Returns written by Shigeyuki Hamori and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 122 pages
Book Rating : 4.:/5 (318 download)
Download or read book Predictable Stock Returns in the United States and Japan written by John Y. Campbell and published by . This book was released on 1991 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Meredith Griffin
Publisher :
ISBN 13 :
Total Pages : 410 pages
Book Rating : 4.:/5 (376 download)
Download or read book Determinants of the Cross-section of Expected Stock Returns in Japan written by John Meredith Griffin and published by . This book was released on 1997 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation consists of two essays which evaluate whether the cross-section of expected stock returns in Japan is more consistent with the recent risk or non-risk based theories. The first essay investigates whether the Fama and French (1993) size and book-to-market factors are risk proxies. If these factors are true proxies for risk they can be used to price assets across countries in a world where capital markets are at least partially integrated. I find that U.S. and Japanese size and book-to-market effects are not related. Japanese assets with high loadings on the Fama and French factors do not earn higher returns. To evaluate whether the results could be due to lack of integration between the U.S. and Japanese capital markets, the pricing implications are examined in Canada with a similar conclusion. These results are not consistent with the view that size and book-to-market are priced risk factors.
Author : Naohiko Baba
Publisher :
ISBN 13 :
Total Pages : 406 pages
Book Rating : 4.:/5 (34 download)
Download or read book Essays on the Relationship Between Stock Returns and Economic Fluctuations written by Naohiko Baba and published by . This book was released on 1999 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Zielinski
Publisher : Kodansha America
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.:/5 (318 download)
Download or read book Unequal Equities written by Robert Zielinski and published by Kodansha America. This book was released on 1991 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines the Japanese stock market, its insular policies, and its role in the world economy and international economic relations.
Author : Martin Roth
Publisher : Tuttle Publishing
ISBN 13 :
Total Pages : 190 pages
Book Rating : 4.3/5 ( download)
Download or read book Making Money in Japanese Stocks written by Martin Roth and published by Tuttle Publishing. This book was released on 1989 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Masahiko Shibamoto
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (837 download)
Download or read book Individual Stock Returns and Monetary Policy written by Masahiko Shibamoto and published by . This book was released on 2010 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John A. Doukas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Exchange-Rate Exposure, Stock Returns and the Pricing of Currency Risk in Japan written by John A. Doukas and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous work on the exposure of firms to exchange-rate risk has primarily focused on U.S. firms and, surprisingly, found stock returns were not significantly affected by exchange-rate fluctuations. In this paper we conduct a comprehensive analysis that examines the relation between Japanese stock returns and unanticipated exchange-rate changes. In addition, we investigate whether exchange-rate risk is priced in the equity market of Japan using a conditional testing procedure that allows risk premia to change through time in response to changes in macroeconomic conditions. We find a reliable relation between stock returns and unanticipated yen fluctuations. The exposure effect on multinationals and high-exporting firms, however, is found to be greater compared to low-exporting and domestic firms. Lagged-exchange rate changes on firm value are found to be statistically insignificant and without any predictive power for future stock returns based on the asset pricing tests. The co-movement between stock returns and the value of the yen is found to be positively associated with the degree of firm's foreign involvement. Our multi-period conditional asset pricing tests show that the foreign exchange-rate risk premium is a significant component of Japanese stock returns. Specifically, the results suggest that currency- risk exposure commands significant risk premium for multinationals and high-exporting Japanese firms. Finally, Japanese stock returns are found to be related to the relative distress, size and market factors, as shown by Fama and French (1995) for U.S. stocks above and beyond the covariation by the foreign currency factor.
Author : Guangzhen Shen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (643 download)
Download or read book Relationship Between Stock Returns and the Macro Economy: Evidence from Japan written by Guangzhen Shen and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
