Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan

References

• Acharya , VV and Pedersen , LH . 2005 . Asset pricing with liquidity risk . J. Financial Econ. , 77 : 375 – 410 .
   Web of Science ®Google Scholar
• Altman , EI . 1968 . Financial ratios, discriminant analysis and the prediction of corporate bankruptcy . J. Finance , 23 : 589 – 609 .
   Web of Science ®Google Scholar
• Amihud , Y . 2002 . Illiquidity and stock returns: Cross-section and time series effects . J. Financial Mkts , 5 : 31 – 56 .
   Web of Science ®Google Scholar
• Amihud , Y and Mendelson , H . 1986 . Asset pricing and the bid–ask spread . J. Financial Econ. , 17 : 223 – 249 .
   Web of Science ®Google Scholar
• Baker , M and Stein , JC . 2004 . Market liquidity as a sentiment indicator . J. Financial Mkts , 7 : 271 – 299 .
   Web of Science ®Google Scholar
• Banz , RW . 1981 . The relationship between return and market value of common stocks . J. Financial Econ. , 9 : 3 – 18 .
   Web of Science ®Google Scholar
• Brennan , MJ , Chordia , T and Subrahmanyam , A . 1998 . Alternative factor specifications, security characteristics, and the cross-section of expected stock returns . J. Financial Econ. , 49 : 345 – 373 .
   Web of Science ®Google Scholar
• Brennan , MJ and Subrahmanyam , A . 1996 . Market microstructure and asset pricing: On the compensation for illiquidity in stock returns . J. Financial Econ. , 41 : 341 – 364 .
   Web of Science ®Google Scholar
• Carhart , MM . 1997 . On persistence in mutual fund performance . J. Finance , 52 : 57 – 82 .
   Web of Science ®Google Scholar
• Chan , LKC , Hamao , Y and Lakonishok , J . 1991 . Fundamentals and stock returns in Japan . J. Finance , 46 : 1739 – 1764 .
   Web of Science ®Google Scholar
• Chou , P-H , Wei , KC and Chung , H-M . 2007 . Sources of contrarian profits in Japanese markets . J. Empir. Finance , 14 : 261 – 286 .
   Google Scholar
• Daniel , K , Titman , S and Wei , KC . 2001 . Explaining the cross-section of stock returns in Japan: Factors or characteristics? . J. Finance , 56 : 743 – 766 .
   Web of Science ®Google Scholar
• Dimson , E . 1979 . Risk measurement when shares are subject to infrequent trading . J. Financial Econ. , 7 : 197 – 226 .
   Web of Science ®Google Scholar
• Fama , EF and French , KR . 1992 . The cross section of expected stock returns . J. Finance , 47 : 427 – 466 .
   Web of Science ®Google Scholar
• Fama , EF and French , KR . 1993 . Common risk factors in the returns on stocks and bonds . J. Financial Econ. , 33 : 3 – 56 .
   Web of Science ®Google Scholar
• Fama , EF and MacBeth , J . 1973 . Risk and return: Some empirical tests . J. Polit. Econ. , 81 : 607 – 636 .
   Web of Science ®Google Scholar
• Ferguson , MF and Shockley , RL . 2003 . Equilibrium “anomalies” . J. Finance , 58 : 2549 – 2580 .
   Web of Science ®Google Scholar
• Jegadeesh , N and Titman , S . 1993 . Returns to buying winners and selling losers: Implications for stock market efficiency . J. Finance , 43 : 65 – 91 .
   Web of Science ®Google Scholar
• Kato, K., Bubbles in Japan's stock markets: A macroeconomic analysis. Working Paper, Columbia University, 1995.
   Google Scholar
• Kim , D . 1995 . The errors-in-variables problem in the cross-section of expected stock returns . J. Finance , 50 : 1605 – 1634 .
   Web of Science ®Google Scholar
• Kim , D . 1997 . A reexamination of size, book-to-market, and earnings-price in the cross-section of expected stock returns . J. Financial Quant. Anal. , 32 : 463 – 489 .
   Web of Science ®Google Scholar
• Knez , PJ and Ready , MJ . 1997 . On the robustness of size and book-to-market in cross-sectional regressions . J. Finance , 52 : 1355 – 1382 .
   Web of Science ®Google Scholar
• Lakonishok , J , Shleifer , A and Vishny , R . 1994 . Contrarian investment, extrapolation, and risk . J. Finance , 49 : 1541 – 1578 .
   Web of Science ®Google Scholar
• Lewellen, J., Nagel, S. and Shanken, J.A., A skeptical appraisal of asset pricing tests. Working Paper, Dartmouth College, Stanford University, and Emory University, 2006.
   Google Scholar
• Liu , W . 2006 . A liquidity-augmented capital asset pricing model . J. Financial Econ. , 82 : 631 – 671 .
   Web of Science ®Google Scholar
• Lo , AW and MacKinlay , AC . 1990a . When are contrarian profits due to stock market overreaction? . Rev. Financial Stud. , 3 : 175 – 205 .
   Web of Science ®Google Scholar
• Lo , AW and MacKinlay , AC . 1990b . Data-snooping biases in tests of financial asset pricing models . Rev. Financial Stud. , 3 : 431 – 468 .
   Web of Science ®Google Scholar
• Merton , RC . 1973 . An intertemporal capital asset pricing model . Econometrica , 41 : 867 – 887 .
   Web of Science ®Google Scholar
• Miller , MH and Scholes , MS . 1982 . Dividends and taxes: Some empirical evidence . J. Polit. Econ. , 90 : 1118 – 1141 .
   Web of Science ®Google Scholar
• Miyao , R . 2002 . The effects of monetary policy in Japan . J. Money, Credit Bank. , 34 : 376 – 392 .
   Web of Science ®Google Scholar
• Roll , R . 1977 . A critique of the asset pricing theory's tests: On past and potential testability of theory . J. Financial Econ. , 4 : 129 – 176 .
   Web of Science ®Google Scholar
• Ross , SA . 1976 . The arbitrage theory of capital asset pricing . J. Econ. Theory , 13 : 314 – 360 .
   Web of Science ®Google Scholar
• Schwert , GW . 2002 . “ Anomalies and market efficiency ” . In Handbook of the Economics of Finance , Edited by: Constantinides , GM , Harris , M and Stulz , R . 939 – 974 . Amsterdam : North-Holland .
   Google Scholar
• Shanken , J . 1992 . On the estimation of beta-pricing models . Rev. Financial Stud. , 5 : 1 – 33 .
   Web of Science ®Google Scholar
• Vassalou , M . 2003 . News related to future GDP growth as a risk factor in equity returns . J. Financial Econ. , 68 : 47 – 73 .
   Web of Science ®Google Scholar
• Zhang , L . 2005 . The value premium . J. Finance , 60 : 67 – 103 .
   Web of Science ®Google Scholar