Fundamentals And Stock Returns In Japan. PDF fileFundamentals and Stock Returns in Japan 1741 relationship has been found between equity returns and earnings yield cash flow yield and book to market ratio and a negative relationship has been found between equity returns and size Especially voluminous are the studies that document the size and the earnings yield effects and studies that try to.
Downloadable (with restrictions)! Value premiums which we define as value portfolio returns in excess of market portfolio returns are on average much lower in the second half of the July 1963–June 2019 period But the high volatility of monthly premiums prevents us from rejecting the hypothesis that expected premiums are the same in both halves of the sample.
Fundamentals and Stock Returns in Japan
Conclusion • This study is based on crosssectional differences in returns on Japanese stocks to the underlying behavior of four fundamental variables earnings yield size book to market ratio and cash flow yield • This study reveals a significant relationship between fundamental variables and expected returns in the Japanese market.
Fundamentals and stock returns in Japan (1990 edition
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Fundamentals and Stock Returns in Japan
This paper relates crosssectional differences in returns on Japanese stocks to the underlying behavior of four fundamental variables earnings yield size book to market ratio and cash flow yield Alternative statistical specifications and various estimation methods are applied to a comprehensive highquality data set that extends from 1971 to 1988.
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However in spite of the Japanese market’s rapid growth and its increasing significance in the international financial arena only recently have researchers turned their attention to the Tokyo marketIn contrast to the voluminous research in the US relating the crosssectional behavior of stock returns to such variables as firm size earnings yield the editor Rene Stulz and an.