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

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

Journal of Finance, 2001, vol. 56, issue 2, 743-766

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.

Date: 2001
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https://doi.org/10.1111/0022-1082.00344

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Working Paper: Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? (1999)
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