Co-authors: Sheridan Titman, University of Texas at Austin and K.C. John Wei, Hong Kong University of Science and Technology
Status: Published, Journal of Finance, 55(2), April 2001, p. 743-766.
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.
View/Print this Paper - Final Jornal of Finance version (Acrobat/pdf format -- 1,010K)
Return to main menu.