کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10478864 | 931414 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Market underreaction and predictability in the cross-section of Japanese stock returns
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this paper, we analyze the relationship between financial information and stock returns for a sample of firms listed on the Tokyo Stock Exchange. Firm-specific information is captured by way of a score indicative of the firm's cash flow generating potential. The results show that score-based portfolio strategies can produce significant abnormal returns. The excess return on high-score portfolios does not appear to result from a higher exposure to risk factors. The predictability of stock returns does not derive either from price momentum. We find that large firms offer little profits to score-based portfolio strategies. Most of the abnormal returns are generated by small stocks. The evidence is supportive of a market underreaction to the financial information released by smaller, hence less researched, firms.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 15, Issue 3, July 2005, Pages 193-210
Journal: Journal of Multinational Financial Management - Volume 15, Issue 3, July 2005, Pages 193-210
نویسندگان
Pascal Nguyen,