scholarly journals An Overview of Stock Portfolio Returns and Return Premia in Japan: The Case of Size and Book-to-Market Portfolios

2020 ◽  
Vol 8 (4) ◽  
pp. 39
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Size Effects ◽  
Sample Period ◽  
Full Sample ◽  
Portfolio Returns ◽  
Academic Researchers ◽  
International Investors ◽  
Value Effect ◽  
Stock Portfolio

This article explores Japanese stock portfolio returns and return premia by focusing on size- and book-to-market (BM)-sorted portfolios over the period of 1990 to 2020. As a result of our investigations, we derive the following useful findings. (1) In general, the value and/or size effects are continuously seen in the Japanese stock market. However, (2) these effects much depend on the economic and business background: for the performance of size- and BM-sorted portfolios in Japan, the value effect is stronger in some sub-periods; while the size effect is clearer in other sub-periods. Furthermore, (3) this study employs the data in US dollars, and computes various statistics and measures for both our full sample period and many different sub-periods, whose economic circumstances are rather different. Therefore, not only for academic researchers but also for international investors, our findings shall be highly beneficial for enriching the understanding of Japanese stock portfolio returns and return premia.

scholarly journals Size and Operating Profitability Portfolio Returns and Return Premia in Japan—A Tour d’horizon

2021 ◽  
Vol 13 (2) ◽  
pp. 1
Author(s):  
Chikashi Tsuji
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Equity Market ◽  
Equity Returns ◽  
Sample Period ◽  
Full Sample ◽  
Portfolio Returns ◽  
International Equity ◽  
Equity Portfolios

This study examines the Japanese equity returns and return premia by focusing on firm size- and corporate operating profitability-sorted portfolios over the period from 1990 to 2020. As a result of our explorations, this study derives the following much beneficial findings. (1) The effects of corporate operating profitability and firm size are generally continuously seen in the Japanese equity market. More specifically, (2) the size effect is much stronger in our latter half sub-period; while the operating profitability effect is similarly seen in both our former half and latter half sub-periods. Furthermore, (3) we stress that this study employs the data in US dollars, and calculates several key statistics and measures for not only our full sample period but also many different sub-periods, in which economic and business circumstances are much different. Therefore, for both Japanese and international equity investors, our findings shall be highly useful for enriching and furthering the understanding of returns and return premia of Japanese equity portfolios.

scholarly journals Did the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan?

2014 ◽  
Vol 2 (1) ◽  
pp. 98
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Markov Switching ◽  
Sample Period ◽  
Full Sample ◽  
Markov Switching Models ◽  
Switching Models ◽  
Market Regime

This paper explored whether the Japanese stock market regime changed after the inauguration of the new Abe cabinet in Japan. Our application of Markov switching models to the Japanese stock price index returns and examinations of the price spreads in terms of the Japanese stock price indices derive the following evidence. First, (1) after the Abe cabinet started, regime of the Japanese stock markets changed. Second, (2) the regimes as to the JASDAQ Index and Tokyo Stock Exchange (TSE) Mothers Index more strongly and earlier changed than that of TOPIX. Third, (3) in our full sample period from January 4, 2011 to March 20, 2014, average positive price spreads over TOPIX were observed as to the JASDAQ, TSE Mothers, TOPIX Small, and TSE Second Section Index.

Come together: trust, sociability and individual investors' stock-portfolio returns

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Oscar Stålnacke
Keyword(s):  
Stock Market ◽  
Individual Investors ◽  
Risky Assets ◽  
Content Type ◽  
Financial Decisions ◽  
Portfolio Decisions ◽  
Portfolio Holdings ◽  
Portfolio Returns ◽  
Stock Portfolios ◽  
Stock Portfolio

PurposePrevious studies have found that trusting and sociable individuals are more likely to participate in the stock market and hold risky assets. The purpose of this paper is to explore if trust and sociability also are related to individual investors' stock-portfolio returns.Design/methodology/approachThe authors study the questions in the paper by linking survey measures of trust and sociability to investors' actual stock portfolios.FindingsThe authors find that trusting investors acquire higher raw and risk-adjusted stock-portfolio returns, but that the returns do not differ depending on how sociable investors are. These results suggest that trust is important for investors' stock-portfolio decisions, and that trusting investors tend to perform better in the stock market than less-trusting investors.Originality/valueThis is, to the best of the authors’ knowledge, the first paper that relates survey measures of trust and sociability to investors' actual stock-portfolio holdings. This is important to increase the understanding for how trust and sociability are related to the financial decisions individuals makes.

scholarly journals Value and Size Effects in the Stock Market of the Philippines

2018 ◽  
Vol 9 (2) ◽  
pp. 191
Author(s):  
Gerardo “Gerry” Alfonso Perez
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Capital Market ◽  
The Philippines ◽  
Asian Countries ◽  
Volatility Clustering ◽  
A Value ◽  
Growth Stocks ◽  
Value Effect ◽  
Entire Dataset

Several market abnormalities, such as the small size effect or the value effect, have been found in the stock markets across the world. In this article it is analyzed the case of the stock market of the Philippines. The Philippines, while having a relatively large economy and a capital market with long history, has attracted less research than other Asian countries, such as China or Japan. This is perhaps due to the much larger size of the economies and capital markets of those countries. Nevertheless the stock market of the Philippines is important enough to warrant attention. It will be shown that in recent years there is no indication of a value effect or a small size effect in the stock market of the Philippines, which is surprising given the amount of articles finding such results in other countries. The results were consistent when using the entire dataset as well as when comparing each year individually. It was also found, using weekly returns, that value and growth stocks as well as small and large companies present volatility clustering, which is a result more consistent with the existing literature in other markets. There are less evidence of volatility clustering when using monthly returns rather than when using weekly returns.

COVID-19 pandemic sentiment and stock market behavior: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Byomakesh Debata ◽  
Kshitish Ghate ◽  
Jayashree Renganathan
Keyword(s):  
Stock Market ◽  
Emerging Market ◽  
Sample Period ◽  
Market Behavior ◽  
Market Returns ◽  
Full Sample ◽  
Content Type ◽  
Time Frequency ◽  
Search Volume ◽  
Google Search

PurposeThis study aims to examine the relationship between pandemic sentiment (PS) and stock market returns in an emerging order-driven stock market like India.Design/methodology/approachThis study uses nonlinear causality and wavelet coherence techniques to analyze the sentiment-returns nexus. The analysis is conducted on the full sample period from January to December 2020 and further extended to two subperiods from January to June and July to December to investigate whether the associations between sentiment and market returns persist even several months after the outbreak.FindingsThis study constructs two novel measures of PS: one using Google Search Volume Intensity and the other using Textual Analysis of newspaper headlines. The empirical findings suggest a high degree of interrelationship between PS and stock returns in all time-frequency domains across the full sample period. This interrelationship is found to be further heightened during the initial months of the crisis but reduces significantly during the later months. This could be because a considerable amount of uncertainty regarding the crisis is already accounted for and priced into the markets in the initial months.Originality/valueThe ongoing coronavirus pandemic has resulted in sharp volatility and frequent crashes in the global equity indices. This study is an endeavor to shed light on the ongoing debate on the COVID-19 pandemic, investors’ sentiment and stock market behavior.

On Structural Changes in the Holiday Effect

2019 ◽  
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Structural Changes ◽  
The Other ◽  
Sample Period ◽  
Holiday Effect ◽  
Average Return ◽  
Market Portfolio ◽  
Stock Portfolio

From 1926 to 2016, the average stock return on the day before holiday market closings is up to 15 times the average return on all the other days of the year. We study whether this holiday effect is contingent on the subperiod over which it is estimated and locate the critical break dates that delineate each subperiod. We find the holiday effect is critically dependent on the sample period over which it is estimated and that there is no statistically consistent set of results in each subperiod. Nevertheless, the holiday effect is statistically significant in the CRSP value-weight stock market portfolio and in the low-size stock portfolio in every subperiod from 1926 to 2016.

The Predictability and Profitability of Simple Moving Averages and Trading Range Breakout Rules in the Pakistan Stock Market

2020 ◽  
Vol 23 (01) ◽  
pp. 2050001
Author(s):  
Salma Khand ◽  
Vivake Anand ◽  
Mohammad Nadeem Qureshi
Keyword(s):  
Stock Market ◽  
Transaction Costs ◽  
Empirical Evidence ◽  
Predictive Power ◽  
Moving Averages ◽  
Sample Period ◽  
Excess Returns ◽  
Full Sample ◽  
Fixed Length

This paper inspects whether variable- and fixed-length moving averages (VMA and FMA), and trading range breakout (TRB) rules have prognostic capability and can earn profits superior to buy-and-hold plan, when applied on KSE-100 index of Pakistan stock market during the full sample period January 1, 1997 to December 31, 2013. Full sample results provided empirical evidence for VMA rule that it has significant predictive power and is able to generate profits superior to simple buy-and-hold plan even after inclusion of transaction costs. The highest mean buy returns yielded by VMA, FMA and TRB rules are seen in noncrises periods. The overall implication of this study is that traders in the Pakistan stock market can utilize this information to obtain excess returns on a regular basis.

scholarly journals Dynamic Return-Volume Relations in the Saudi Stock Market: Evidence from Quantiles Regressions

2015 ◽  
Vol 7 (11) ◽  
pp. 84
Author(s):  
Othman Alwagdani
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Explanatory Power ◽  
Dependence Structure ◽  
Sample Period ◽  
Market Returns ◽  
Full Sample ◽  
Post Market ◽  
The Mean ◽  
Returns Forecasting

This paper examines the causality patterns between the lagged trading volume and returns of the Saudi stock market (TASI) for the period from2003:01 to April 2013:05, along with two consecutive sub-periods to account for pre- and post- market collapse of 2006. Using the quantile regression approach, the study finds that the return-volume relations are heterogeneous across quantiles with symmetric tendency across the mean for the full sample period. On the contrary, the study could not support the heterogeneous and symmetric effects for the first sub-sample period. The second sub-sample period is characterized by homogenous across quantiles with statistical evidence of symmetry. Thus, the study concludes that the dependence structure between the lagged volume and subsequent market returns seems to be randomly relying on the chosen period which makes volume unsuitable to be used as explanatory power for returns forecasting.

scholarly journals The COVID-19 Pandemic and Herding Behaviour: Evidence from India’s Stock Market

2020 ◽  
Vol 11 (3) ◽  
pp. 366-390
Author(s):  
Rosy Dhall ◽  
Bhanwar Singh
Keyword(s):  
Stock Market ◽  
Strong Evidence ◽  
Stock Exchange ◽  
Trading Strategies ◽  
The Novel ◽  
Sample Period ◽  
Full Sample ◽  
Bear Market ◽  
Industry Level ◽  
Outbreak Period

This article examines the herding behaviour at the industry level from national stock exchange (NSE). The novel contribution of this article is to examine the herding behaviour during the whole, pre- and post-coronavirus disease 2019 (COVID-19) pandemic outbreak period. We deployed the popular model proposed by Chang et al. (2000) to examine herd formation. Using daily stock closing prices of 191 firms, which constitute the 12 industry indices for the period from 1 January 2015 to 1 June 2020, the results for the full sample period (1 January 2015 to 1 June 2020) and before COVID-19 outbreak period (1 January 2015 to 29 January 2020) indicate the non-existence of herding formation at the industry level, but they do suggest a strong evidence of anti-herding behaviour. In addition, during the bull and bear market conditions, we found evidence of herding behaviour during the post-COVID-19 outbreak period (1 January 2020 to 1 June 2020). Further, the findings suggest that COVID-19 pandemic caused the formation of herding behaviour at the industry level. The study facilitates investors to devise their trading strategies in the regime of the COVID-19 pandemic.

Particle size effects in the selective hydrogenation of cinnamaldehyde over supported palladium catalysts

RSC Advances ◽  
2016 ◽  
Vol 6 (79) ◽  
pp. 75541-75551 ◽  
Author(s):  
Feng Jiang ◽  
Jian Cai ◽  
Bing Liu ◽  
Yuebing Xu ◽  
Xiaohao Liu
Keyword(s):  
Particle Size ◽  
Size Effect ◽  
Selective Hydrogenation ◽  
Size Effects ◽  
Palladium Catalysts ◽  
Particle Size Effect ◽  
Particle Size Effects ◽  
Supported Palladium Catalysts ◽  
Supported Palladium ◽  
Palladium Particles

Palladium particles of different sizes obtained directly and indirectly by various methods were studied to clarify the particle size effect in the selective hydrogenation of cinnamaldehyde (CAL).

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