Abstract

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.

Keywords

Cash flowEconometricsStock exchangeYield (engineering)Stock (firearms)EconomicsEarningsSample (material)Financial economicsBusinessFinanceEngineering

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Publication Info

Year
1991
Type
article
Volume
46
Issue
5
Pages
1739-1764
Citations
1345
Access
Closed

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Cite This

Louis K.C. Chan, Yasushi Hamao, Josef Lakonishok (1991). Fundamentals and Stock Returns in Japan. The Journal of Finance , 46 (5) , 1739-1764. https://doi.org/10.1111/j.1540-6261.1991.tb04642.x

Identifiers

DOI
10.1111/j.1540-6261.1991.tb04642.x