Relative Distress and Return Distribution Characteristics of Japanese Stocks PDF Download
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Author: Willem-Max van den Bergh
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
Author: Willem-Max van den Bergh
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
Author: W. M. van den Bergh
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
In this article, we demonstrate that a direct relation exists between the context of Japanese firms indicating relative distress and conditional return distribution properties. We map cross-sectional vectors with company characteristics on vectors with return feature vectors, using a fuzzy identification technique called Competitive Exception Learning Algorithm (CELA)1. In this study we use company characteristics that follow from capital structure theory and we relate the recognized conditional return properties to this theory. Using the rules identified by this mapping procedure this approachenables us to make conditional predictions regarding the probability of a stock's or a group of stocks' return series for different return distribution classes (actually return indices). Using these findings, one may construct conditional indices that may serve as benchmarks. These would be particularly useful for tracking and portfolio management.
Author: Fabio Pizzutilo
Publisher:
ISBN:
Category :
Languages : en
Pages : 11
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Book Description
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: Kent Daniel
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 42
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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: Chaoshin Chiao
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
This paper shows that the firm size (SZ) and the book-to-market ratio (BM) cannot fully explain stock returns on prior-return-based portfolios in Japan. The overreaction effect after controlling for SZ and BM effects is significant and plays an important role in explaining the zero-investment returns on the loser-to-winner strategy. Motivated by this observation, we construct a portfolio whose return serves as a new factor that mimics overreaction. This new factor improves the performances of the three-factor model [Fama and French (1993)] in several prior-return-based and characteristics-based portfolios.
Author: John A. Doukas
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
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: Jun Nagayasu
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 30
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Book Description
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: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260216
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
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.
Author: David Dreman
Publisher: Simon and Schuster
ISBN: 0743297962
Category : Business & Economics
Languages : en
Pages : 498
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Book Description
Introduces important new findings in psychology to demonstrate why most investment strategies are flawed, outlining atypical strategies designed to prevent over- and under-valuations while crash-proofing a portfolio.
Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
