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

Author

Listed:
  • Kent Daniel
  • Sheridan Titman
  • K.C. John Wei

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.

Suggested Citation

  • Kent Daniel & Sheridan Titman & K.C. John Wei, 2001. "Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, April.
    • Handle: RePEc:bla:jfinan:v:56:y:2001:i:2:p:743-766
    DOI: 10.1111/0022-1082.00344
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    References listed on IDEAS

    as
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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