Explaining the cross-section of stock returns in Japan: Factors or characteristics?

Kent Daniel, Sheridan Titman, K. C.John Wei

Research output: Journal article publicationJournal articleAcademic researchpeer-review

144 Citations (Scopus)

Abstract

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 fail to reject the characteristic model.

Original languageEnglish
Pages (from-to)743-766
Number of pages24
JournalThe Journal of Finance
Volume56
Issue number2
DOIs
Publication statusPublished - 1 Jan 2001
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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