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Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach

Author

Listed:
  • van den Bergh, W.-M.
  • Steenbeek, O.W.
  • van den Berg, J.H.

Abstract

In this article, we demonstrate that a direct relation exists between the context of Japanese firms indicating relative distress and conditional return distribution properties. We map cross-sectional vectors with company characteristics on vectors with return feature vectors, using a fuzzy identification technique called Competitive Exception Learning Algorithm (CELA)1. In this study we use company characteristics that follow from capital structure theory and we relate the recognized conditional return properties to this theory. Using the rules identified by this mapping procedure this approach enables us to make conditional predictions regarding the probability of a stock's or a group of stocks' return series for different return distribution classes (actually return indices). Using these findings, one may construct conditional indices that may serve as benchmarks. These would be particularly useful for tracking and portfolio management.

Suggested Citation

  • van den Bergh, W.-M. & Steenbeek, O.W. & van den Berg, J.H., 2002. "Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach," ERIM Report Series Research in Management ERS-2002-29-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    • Handle: RePEc:ems:eureri:186
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    More about this item

    Keywords

    asset pricing; capital structure; conditional return distribution; fuzzy systems; heuristic learning;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G3 - Financial Economics - - Corporate Finance and Governance
    • M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics

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