TY  - JOUR
AU  - Daniel,Kent
AU  - Titman,Sheridan
AU  - Wei,K.C. John
TI  - Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7246
PY  - 1999
Y2  - July 1999
UR  - http://www.nber.org/papers/w7246
L1  - http://www.nber.org/papers/w7246.pdf
N1  - Author contact info:
Kent D. Daniel
Columbia Business School
3022 Broadway, Uris Hall 709
New York, NY 10027
Tel: 212-854-4579
E-Mail: kd2371@columbia.edu

Sheridan Titman
Finance Department
McCombs School of Business
University of Texas at Austin
Austin, TX 78712-1179
Tel: 512/232-2787
Fax: 512/471-5073
E-Mail: titman@mail.utexas.edu
AB  - 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.
ER  -