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

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

No 7246, NBER Working Papers from National Bureau of Economic Research, Inc

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 fails to reject the characteristic model.

JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 1999-07
New Economics Papers: this item is included in nep-fin
Note: AP
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Published as Daniel, Kent, Sheridan Titman and K. C. John Wei. "Explaining The Cross-Section Of Stock Returns In Japan: Factors Or Characteristics?," Journal of Finance, 2001, v56(2,Apr), 743-766.

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Journal Article: Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics? (2001)
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