Market Underreaction And Predictability In The Cross Section Of Japanese Stock Returns

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Market Underreaction and Predictability in the Cross-Section of Japanese Stock Returns

Author : Pascal Nguyen
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Market Underreaction and Predictability in the Cross-Section of Japanese Stock Returns by : Pascal Nguyen

Download or read book Market Underreaction and Predictability in the Cross-Section of Japanese Stock Returns written by Pascal Nguyen and published by . This book was released on 2003 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I analyze the relationship between financial statements information and stock returns for firms listed on the Tokyo Stock Exchange. Firm-specific information is captured by way of score indicative of the firm's cash flow generating potential. The results show that score-based portfolio strategies can produce significant abnormal returns over a 10-year sample period. The excess return of high-score portfolios does not appear to result from a higher exposure to risk factors. The predictability of cross-section returns does not derive either from price momentum. I find that large stocks offer little profits to score-based portfolio strategies. Most of the abnormal returns are concentrated on small firms. The evidence is strongly supportive of a market underreaction to the financial information released by smaller lightly researched firms.

Explaining the Cross-section of Stock Returns in Japan

Author : Kent Daniel
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Explaining the Cross-section of Stock Returns in Japan by : Kent Daniel

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.

Predictable Stock Returns in the United States and Japan

Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (29 download)

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Book Synopsis Predictable Stock Returns in the United States and Japan by : John Y. Campbell

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 1989 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Fundamentals and Stock Returns in Japan

Author : Louis Kuo Chi Chan
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Fundamentals and Stock Returns in Japan by : Louis Kuo Chi Chan

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:

Cross-Sectional and Time-Series Momentum Returns and Market Dynamics

Author : Muhammad A. Cheema
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Cross-Sectional and Time-Series Momentum Returns and Market Dynamics by : Muhammad A. Cheema

Download or read book Cross-Sectional and Time-Series Momentum Returns and Market Dynamics written by Muhammad A. Cheema and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that idiosyncratic volatility is not a significant limit to arbitrage in Japan.

Determinants of the Cross-section of Expected Stock Returns in Japan

Author : John Meredith Griffin
Publisher :
ISBN 13 :
Total Pages : 410 pages
Book Rating : 4.:/5 (376 download)

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Book Synopsis Determinants of the Cross-section of Expected Stock Returns in Japan by : John Meredith Griffin

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.

Non-Linear Predictability of Stock Market Returns

Author : Andreas Humpe
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Non-Linear Predictability of Stock Market Returns by : Andreas Humpe

Download or read book Non-Linear Predictability of Stock Market Returns written by Andreas Humpe and published by . This book was released on 2015 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using smooth transition regression model analysis, we examine the non-linear predictability of Japanese and US stock market returns by a set of macroeconomic variables between 1981 and 2012. The theoretical basis for investigating non-linear behavior in stock returns can be based on the interaction between noise traders and arbitrageurs or behavioral finance theories of non-linear risk aversion. As heterogeneity in investors' beliefs gives reason to suspect a smooth transition between extremes, rather than abrupt, a smooth transition regression model is estimated. Our findings support differences in non-linearity of stock returns in Japan and the US that might be linked to different shareownership of the Japanese stock market compared to the US. In addition, differences in the legal system might have some influence over our findings as well. The US results also suggest greater heterogeneity in the relationship between stock returns and macro variables in the US data relative to the Japanese data. The reasons behind the differences in our results, both between countries and between regimes are probably due to the different economic conditions faced by Japan and the US over our sample, to the possible existence of bubbles in the data and to investor behavior consistent with 'behavioral finance' theories of investor behaviour.

Semi-parametric Estimation and the Predictability of Stock Market Returns

Author : Enrique Sentana
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (221 download)

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Book Synopsis Semi-parametric Estimation and the Predictability of Stock Market Returns by : Enrique Sentana

Download or read book Semi-parametric Estimation and the Predictability of Stock Market Returns written by Enrique Sentana and published by . This book was released on 1989 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Predictable Bond and Stock Returns in the United States and Japan

Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Predictable Bond and Stock Returns in the United States and Japan by : John Y. Campbell

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:

Semi-parametric estimation and the predictability of stock market returns

Author : Enrique Santana
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Semi-parametric estimation and the predictability of stock market returns by : Enrique Santana

Download or read book Semi-parametric estimation and the predictability of stock market returns written by Enrique Santana and published by . This book was released on 1989 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Market Crashes, Stock Return Asymmetries and Cross-sectional Predictability

Author : Joseph S. Chen
Publisher :
ISBN 13 :
Total Pages : 233 pages
Book Rating : 4.:/5 (546 download)

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Book Synopsis Market Crashes, Stock Return Asymmetries and Cross-sectional Predictability by : Joseph S. Chen

Download or read book Market Crashes, Stock Return Asymmetries and Cross-sectional Predictability written by Joseph S. Chen and published by . This book was released on 2002 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Internationalization of Equity Markets

Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)

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Book Synopsis The Internationalization of Equity Markets by : Jeffrey A. Frankel

Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Inefficient Markets

Author : Andrei Shleifer
Publisher : OUP Oxford
ISBN 13 : 0191606898
Total Pages : 295 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Inefficient Markets by : Andrei Shleifer

Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.

Behavioral Finance

Author : Lucy F. Ackert
Publisher : South Western Educational Publishing
ISBN 13 : 9780538752862
Total Pages : 0 pages
Book Rating : 4.7/5 (528 download)

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Book Synopsis Behavioral Finance by : Lucy F. Ackert

Download or read book Behavioral Finance written by Lucy F. Ackert and published by South Western Educational Publishing. This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Security Market Imperfections in Worldwide Equity Markets

Author : Donald B. Keim
Publisher : Cambridge University Press
ISBN 13 : 9780521571388
Total Pages : 576 pages
Book Rating : 4.5/5 (713 download)

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Book Synopsis Security Market Imperfections in Worldwide Equity Markets by : Donald B. Keim

Download or read book Security Market Imperfections in Worldwide Equity Markets written by Donald B. Keim and published by Cambridge University Press. This book was released on 2000-03-13 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of security market imperfections, namely the predictability of equity stock returns, is one of the fundamental research areas in financial modelling. These anomalies, which are not consistent with existing theories, concern the relation between stock returns and variables, such as firm size and earnings-to-price ratios, and seasonal effects, such as January and turn-of-the-month. This book provides the most complete and current account of work in the area. Leading academics and investment researchers have combined to produce a comprehensive coverage of the subject, including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction models that have been used by institutional investors. The studies cover many worldwide markets including the US, Japan, Asia, and Europe. The book will be invaluable for courses in financial engineering, investment and portfolio management, and as a reference for investment professionals seeking an up-to-date source on return predictability.

Technical Analysis

Author : Gerald Appel
Publisher : Ft Press
ISBN 13 : 9780131479029
Total Pages : 241 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Technical Analysis by : Gerald Appel

Download or read book Technical Analysis written by Gerald Appel and published by Ft Press. This book was released on 2005 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike most technical analysis books, Gerald Appel's Practical Power Tools! offers step-by-step instructions virtually any investor can use to achieve breakthrough success in the market. Appel illuminates a wide range of strategies and timing models, demystifying even advanced technical analysis the first time. Among the models he covers: NASDAQ/NYSE Relative Strength, 3-5 Year Treasury Notes, Triple Momentum, Seasonality, Breadth-Thrust Impulse, and models based on the revolutionary MACD techniques he personally invented. Appel covers momentum and trend of price movement, time and calendar cycles, predictive chart patterns, relative strength, analysis of internal vs. external markets, market breadth, moving averages, trading channels, overbought/oversold indicators, Trin, VIX, major term buy signals, major term sell signals, moving average trading channels, stock market synergy, and much more. He presents techniques for short-, intermediate-, and long-term investors, and even for mutual fund investors.