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

Journal of Finance Vol. 56 No. 2 2001

Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?

Kent Daniel¹; Sheridan Titman²; K. C. John Wei^3,4

¹ Kellogg's (Canada) · ² The University of Texas at Austin · ³ Chinese University of Hong Kong · ⁴ Hong Kong University of Science and Technology

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.

DOI: 10.1111/0022-1082.00344
Volume: 56
Issue: 2
Pages: 743-766
Language: en
Sources: bibtex:phds-export.bib openalex crossref

Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?

Abstract

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