Chiao, Chaoshin; Cheng, David; Hung, Welfeng - In: Review of Quantitative Finance and Accounting 24 (2005) 1, pp. 65-91
In this paper we observe that firm size (SZ) and book-to-market (BM) cannot fully explain stock returns on prior-return- (PR-) based portfolios in the Japanese stock market. The overreaction effect after controlling for the SZ and BM effects is significant and persistent, and accounts for a...
