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 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.

An Investigation into the Firm Size Effect: A Security Market Plane Approach

1996 ◽  
Vol 11 (1) ◽  
pp. 131-152
Author(s):  
Chi-Cheng Hsia ◽  
Beverly R. Fuller
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Security Market ◽  
Sample Period ◽  
Regression Residuals ◽  
Fama And French ◽  
Firm Size Effect

This paper tests the firm size effect with two different approaches. First, the “messy” and “clean” methods of Fama and French are used; the firm size effect is found to remain but only after the regression residuals are analyzed. Then a security market plane and a proxy of it are defined and the proxy security market plane is used for testing. The results indicate that the firm size effect is reliably detected and statistically “explained” by a proxy security market plane for the sample period from July 1963 to June 1986.

scholarly journals US International Equity Investment and Past and Prospective Returns

2011 ◽  
Vol 101 (7) ◽  
pp. 3440-3455 ◽  
Author(s):  
Stephanie E Curcuru ◽  
Charles P Thomas ◽  
Francis E Warnock ◽  
Jon Wongswan
Keyword(s):  
Equity Market ◽  
Stylized Facts ◽  
Equity Investment ◽  
Portfolio Rebalancing ◽  
The Past ◽  
A Value ◽  
International Equity ◽  
Strong Performance ◽  
Equity Portfolios ◽  
Performance Behavior

Counter to extant stylized facts, using newly available data on country allocations in US investors' foreign equity portfolios we find that (i) US investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) US investors increase portfolio weights on a country's equity market just prior to its strong performance, behavior inconsistent with an informational disadvantage. Over the past two decades, US investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per year. JEL: C58, G11, G15

scholarly journals Corporate Investment and Portfolio Returns in Japan: A Markov Switching Approach

2018 ◽  
Vol 9 (2) ◽  
pp. 1
Author(s):  
Chikashi Tsuji
Keyword(s):  
Markov Switching ◽  
Corporate Investment ◽  
Equity Market ◽  
The Other ◽  
Investment Portfolio ◽  
Portfolio Returns ◽  
Markov Switching Models ◽  
Switching Models ◽  
Equity Portfolios ◽  
Fama And French

This paper explores the profitability of four Japanese higher return equity portfolios and their linkages between corporate investment factor return, the so-called conservative-minus-aggressive (CMA), suggested by Fama and French (2015). Our empirical examinations derive the following evidence. First, in the four Japanese equity portfolios, the smallest and the highest operating profitability portfolio presents the highest return. Second, the smallest and the highest book-to-market (B/M) portfolio, the smallest and moderate investment portfolio, and the smallest and the second strongest momentum portfolio also record higher excess returns than the overall equity market in Japan. Moreover, our analyses via two-regime Markov switching models evidence that for all the four Japanese equity portfolios, there are clearly two regimes: one is positively related to CMA and the other is little or negatively related to CMA. Furthermore, our analyses also reveal that recently, all the four Japanese equity portfolios yield higher returns than CMA with showing weaker linkages between CMA.

scholarly journals Estimation of causal relationship between world gold prices and KSE 100 index: Evidence from Johansen cointegration technique

2018 ◽  
Vol 68 (1) ◽  
pp. 51-77
Author(s):  
Rizwan Raheem Ahmed ◽  
Jolita Vveinhardt
Keyword(s):  
Stock Prices ◽  
Time Series Data ◽  
Equity Returns ◽  
Stock Index ◽  
Series Data ◽  
Sample Period ◽  
Full Sample ◽  
The Third ◽  
Johansen Cointegration ◽  
The Impact

The aspiration of this research paper is to investigate the impact of international gold prices on the equity returns of Karachi Stock Index (KSE100 index) of Pakistan Stock Exchange. The daily observations from January 1, 2000 – June 30, 2016 have been divided into three sub-periods along with the full sample period on the basis of structural breaks. Descriptive analysis used to calculate the average returns, which showed significant returns of KSE100 for the full sample, the first and the third sample periods as compared to gold returns. Standard deviation depicted the higher volatility in all the sample periods. Correlation analysis has shown an inverse relationship amid equity returns and gold returns, whereas, Philips-Perron and Augmented Dickey-Fuller tests have been employed, and time series data became stationary after taking the first difference. Johansen cointegration results have shown that the series are cointegrated in the full-sample and the first sample periods. Thus, this has demonstrated the long run association amid equity returns and gold returns in the first sub-sample and the full-sample periods. However, the second and the third sub-sample periods do not exhibit long-term association amid equity returns of KSE100 and gold returns. The outcomes of Granger causality approach identified bidirectional causation amid equity returns and gold returns in the full sample period in lag 2, and unidirectional causality has been observed from gold prices to stock prices in the full sample and the first sub-sample periods in lag 1 and lag 2 respectively.

Do Stop-loss Rules Add Value in International Equity Market Allocation?

2020 ◽  
Author(s):  
Bochuan Dai ◽  
Ben R. Marshall ◽  
Nhut H. Nguyen ◽  
Nuttawat Visaltanachoti
Keyword(s):  
Equity Market ◽  
International Equity ◽  
Market Allocation ◽  
Stop Loss

scholarly journals International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors

2002 ◽  
Vol 32 (1) ◽  
pp. 171-197 ◽  
Author(s):  
Gyöngyi Bugár ◽  
Raimond Maurer
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Currency Hedging ◽  
Portfolio Strategies ◽  
Different Types ◽  
International Equity ◽  
Good Potential ◽  
Points Of View ◽  
Equity Portfolios

AbstractIn this paper we study the benefits derived from international diversification of equity portfolios from the German and the Hungarian points of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realise substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above mentioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented.

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