Block Holding, Efficiency, and Spanning in the Japanese Stock Market PDF Download
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Author: Masao Nakamura
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Author: Masao Nakamura
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Author: Mr. Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 1451901461
Category : Business & Economics
Languages : en
Pages : 24
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Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH). The result is valid for all sample periods, suggesting that the recent equity market reform has not produced major efficiency gains.
Author: Junichi Arihara
Publisher:
ISBN:
Category :
Languages : en
Pages : 214
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Author: Shigeki Sakakibara
Publisher: Praeger
ISBN: 0275929302
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
This timely volume brings together professors of finance and accounting from Japanese universities to examine the Japanese stock market in terms of its pricing and accounting systems. The papers report the results of empirical research into the Japanese stock market within the framework of new theories of finance. Academics, professionals, and anyone seeking to understand or enter the Japanese market will applaud the publication of this practical, informative volume. Having gathered data from the late 1970's through 1984, the authors analyze the market's behavior and the applicability of two major theoretical pricing models -- the Capital Asset Pricing Models and the Efficient Market Hypothesis -- to that market. Chapter 1 provides background statistical evidence on the behavior of monthly returns on Tokyo Stock Exchange common stocks. Chapter 2 discusses an empirical test of the capital asset pricing model. Chapter 3 examines evidence on the price performance of unseasoned new issues. The authors also examine the Japanese accounting disclosure system: Chapter 4 deals empirically with the information content of the annual accounting announcements and related market efficiency. The next chapter presents empirical evidence on the relationship between unsystematic returns and earnings forecast errors. Next, empirical research into the usefulness to investors of the disclosure system is examined. Finally, Chapter 7 presents several interesting questions and topics for future research on the Japanese stock market.
Author: Yakov Amihud
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 658
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 540
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Author: John Y. Campbell
Publisher: OUP Oxford
ISBN: 019160691X
Category : Business & Economics
Languages : en
Pages : 272
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Book Description
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author: Harold Kent Baker
Publisher: Oxford University Press, USA
ISBN: 0190207434
Category : Business & Economics
Languages : en
Pages : 663
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Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth provides a fresh look at this intriguing but often complex subject. Its coverage spans the gamut from theoretical to practical coverage.
Author: Mohammad Irfan
Publisher: Springer Nature
ISBN: 3031473248
Category :
Languages : en
Pages : 304
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Book Description
