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Cross-sectional regression analysis of return and beta in Japan

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  • Hodoshima, Jiro
  • Garza-Gomez, Xavier
  • Kunimura, Michio

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  • Hodoshima, Jiro & Garza-Gomez, Xavier & Kunimura, Michio, 2000. "Cross-sectional regression analysis of return and beta in Japan," Journal of Economics and Business, Elsevier, vol. 52(6), pages 515-533.
    • Handle: RePEc:eee:jebusi:v:52:y:2000:i:6:p:515-533
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    References listed on IDEAS

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    1. Wiggins, James B, 1992. "Betas in Up and Down Markets," The Financial Review, Eastern Finance Association, vol. 27(1), pages 107-123, February.
    2. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
    3. Fletcher, Jonathan, 1997. "An examination of the cross-sectional relationship of beta and return: UK evidence," Journal of Economics and Business, Elsevier, vol. 49(3), pages 211-221.
    4. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    5. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 101-116, March.
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    Cited by:

    1. Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004. "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
    2. Ho, Ron Yiu-wah & Strange, Roger & Piesse, Jenifer, 2006. "On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 199-214, July.
    3. Ashraf, Dawood & Mohammad, Nazeeruddin, 2014. "Matching perception with the reality—Performance of Islamic equity investments," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 175-189.
    4. Ashraf, Dawood & Rizwan, Muhammad Suhail & Ahmad, Ghufran, 2022. "Islamic equity investments and the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    5. Algia Hammami & Ameni Ghenimi & Abdelfattah Bouri, 2015. "Relation Between Risk And Return In Tunisian’S Stock Market After The Revolution (During Political Instability)," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 6(1), December.
    6. Morelli, David, 2007. "Beta, size, book-to-market equity and returns: A study based on UK data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 257-272, July.
    7. Elsas, Ralf & El-Shaer, Mahmoud & Theissen, Erik, 2003. "Beta and returns revisited: Evidence from the German stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 1-18, February.
    8. Mohammad, Nazeeruddin & Ashraf, Dawood, 2015. "The market timing ability and return performance of Islamic equities: An empirical study," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 169-183.
    9. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
    10. Tang, Gordon Y. N. & Shum, Wai Cheong, 2003. "The relationships between unsystematic risk, skewness and stock returns during up and down markets," International Business Review, Elsevier, vol. 12(5), pages 523-541, October.
    11. Gordon Tang & Wai Cheong Shum, 2006. "Risk-return relationships in the Hong Kong stock market: revisit," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1047-1058.
    12. Nickel, Manuel Núñez & Rodriguez, Manuel Cano, 2002. "A review of research on the negative accounting relationship between risk and return: Bowman's paradox," Omega, Elsevier, vol. 30(1), pages 1-18, February.
    13. Bee-Hoong Tay & Pei-Tha Gan, 2016. "The Determinants of Investment Rewards: Evidence for Selected Developed and Developing Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1180-1188.
    14. Hammami Algia & Bouri Abdelfatteh, 2018. "The Conditional Relationship between Oil Price Risk and Return Stock Market: a Comparative Study of Advanced and Emerging Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(4), pages 1321-1347, December.
    15. Algia Hammami & Ameni Ghenimi & Abdelfattah Bouri, 2015. "Relation Between Risk And Return In Tunisian’S Stock Market After The Revolution (During Political Instability)," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 6(1), December.
    16. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019. "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers 2019-02, University of Tasmania, Tasmanian School of Business and Economics.
    17. Nida SHAH* & Javaid DARS* & Ambreen ZEB**, 2015. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 25(1), pages 25-43.
    18. David Morelli, 2012. "Security returns, beta, size, and book-to-market equity: evidence from the Shanghai A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 47-60, January.
    19. Eduardo Sandoval & Rodrigo Saens, 2004. "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(122), pages 65-89.
    20. Bo Li & Qian Sun & Changyun Wang, 2014. "Liquidity, Liquidity Risk and Stock Returns: Evidence from Japan," European Financial Management, European Financial Management Association, vol. 20(1), pages 126-151, January.
    21. Canegrati, Emanuele, 2008. "Testing the CAPM: Evidences from Italian Equity Markets," MPRA Paper 10407, University Library of Munich, Germany.
    22. Ho, Ron Yiu Wah & Strange, Roger & Piesse, Jenifer, 2008. "Corporate financial leverage and asset pricing in the Hong Kong market," International Business Review, Elsevier, vol. 17(1), pages 1-7, February.
    23. Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.

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