Glamour and Value Strategies on the Tokyo Stock Exchange
This paper evaluates the performance of glamour and value strategies and tests the extrapolation model for the Japanese equity market. In general, value stocks outperform glamour stocks by between 6 and 12 percent per annum for the five years after portfolio formation. Evidence from past, future and expected growth provides strong support for the story developed in Lakonishok, Shleifer and Vishny (1994). It is difficult to attribute the value premia to the difference, if any, in risk factors. In addition, the book-to-market premium is much closer to an arbitrage opportunity than the size premium. Copyright Blackwell Publishers Ltd 1997.
Year of publication: |
1997-10
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Authors: | Cai, Jun |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 24.1997-10, 9&10, p. 1291-1310
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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