Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange

Pin-Huang Chou, Yuan-Lin Hsu and Guofu Zhou
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Pin-Huang Chou: Department of Finance, National Central University
Yuan-Lin Hsu: Department of Finance, National Chengchi University

Annals of Economics and Finance, 2000, vol. 1, issue 1, 79-100

Abstract: Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the cross-section of monthly expected returns, but does a much better job for horizons over half- and one-year. However, either the size or the BE/ME alone is still a significant factor in explaining the cross-section expected returns, but the size significance diminishes for longer horizons when $\beta$ is included as an additional independent variable.

Keywords: Investment horizon; Beta; Size; Book-to-market equity; CAPM (search for similar items in EconPapers)
JEL-codes: C13 C53 G14 (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2000:v:1:i:1:p:79-100

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