Expalainingthecross-sectionofstockreturnsinJapanFactorsorcharacteristics外文文献.pdfVIP

THE JOURNAL OF FINANCE • VOL. LVI, NO. 2 • APRIL 2001 Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? KENT DANIEL, SHERIDAN TITMAN, and K. C. JOHN WEI* ABSTRACT 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 charac-