Fundamentals and stock returns in Japan

Article Abstract:

This paper relates cross-sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market ratio, and cash flow yield. Alternative statistical specifications and various estimation methods are applied to a comprehensive, high-quality data set that extends from 1971 to 1988. The sample includes both manufacturing and nonmanufacturing firms, companies from both sections of the Tokyo Stock Exchange, and also delisted securities. Our findings reveal a significant relationship between these variables and expected returns in the Japanese market. Of the four variables considered, the book to market ratio and cash flow yield have the most significant positive impact on expected returns. (Reprinted by permission of the publisher.)

Japan, Stocks, Corporations, Securities, Securities listing, Tokyo Stock Exchange, Corporations, Japanese

---

Institutional equity trading costs: NYSE versus Nasdaq

Article Abstract:

We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in cost generally conform to each market's area of specialization. Controlling for firm size, trade size, and the money management firm's identity, costs are lower on Nasdaq for trades in comparatively smaller firms, while costs for trading the larger stocks are lower on NYSE. The cost differences estimated from a regression model are, however, sensitive to the choice of time period. (Reprinted by permission of the publisher.)

Securities and Commodity Exchanges, Securities Exchanges, Stock exchanges, Exchanges, New York Stock Exchange Inc., Cost (Economics), Costs (Economics), Nasdaq Stock Market Inc.

---

Similar abstracts:

• Abstracts: Characterizing predictable components in excess returns on equity and foreign exchange markets. The bright side of internal capital markets
• Abstracts: Fundamental economic variables, expected returns, and bond fund performance. Incentive fees and mutual funds

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.