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

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

doi:10.1111/0022-1082.00344

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

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

Research output: Journal article publication › Journal article › Academic research › peer-review

173 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 language	English
Pages (from-to)	743-766
Number of pages	24
Journal	The Journal of Finance
Volume	56
Issue number	2
DOIs	https://doi.org/10.1111/0022-1082.00344
Publication status	Published - 1 Jan 2001
Externally published	Yes

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.1111/0022-1082.00344

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

Abstract

ASJC Scopus subject areas

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