Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10478864 | Journal of Multinational Financial Management | 2005 | 18 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Pascal Nguyen,