KUBOTA, KEIICHI; SUDA, KAZUYUKI; TAKEHARA, HITOSHI - In: International Review of Finance 9 (2009) 3, pp. 269-294
We search for common factors and/or a mispricing factor for Tokyo Stock Exchange firms. We utilize the Edwards-Bell-Ohlson model to compute the firms' fundamental value and divide this value by the firms' market price to construct a new variable called a 'value-to-price ratio' (VPR). We find...