Market Underreaction and Predictability in the Cross-Section of Japanese Stock Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Market Underreaction and Predictability in the Cross-Section of Japanese Stock Returns PDF full book. Access full book title Market Underreaction and Predictability in the Cross-Section of Japanese Stock Returns by Pascal Nguyen. Download full books in PDF and EPUB format.
Author: Pascal Nguyen
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
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.
Author: Pascal Nguyen
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
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.
Author: Kent Daniel
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 42
Get Book Here
Book Description
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: John Y. Campbell
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 43
Get Book Here
Book Description
Author: Louis Kuo Chi Chan
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 50
Get Book Here
Book Description
Author: Muhammad A. Cheema
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
Get Book Here
Book Description
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.
Author: John Meredith Griffin
Publisher:
ISBN:
Category :
Languages : en
Pages : 410
Get Book Here
Book Description
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: Andreas Humpe
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
Get Book Here
Book Description
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.
Author: Enrique Sentana
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 38
Get Book Here
Book Description
Author: John Y. Campbell
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 64
Get Book Here
Book Description
Author: Enrique Santana
Publisher:
ISBN:
Category :
Languages : es
Pages : 38
Get Book Here
Book Description
