NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

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

NBER Working Paper No. 7246
Issued in July 1999
NBER Program(s):   AP

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.

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Document Object Identifier (DOI): 10.3386/w7246

Published: 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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