Regularities in risk-adjusted returns for securities listed on the Tokyo Stock Exchange (TSE) are examined in this study. A significant price-to-earnings (P/E) ratio effect is documented for the first time for a non-U.S. market, the TSE. Significant interaction between the P/E effect and the...

In this paper, the distribution of equity returns on the Tokyo Stock Exchange is examined from 1965 to 1984, and significant and persistent skewness and kurtosis are found. The deviation of security returns from normality declines with increasing portfolio size and appears to be greater than the...

This study examines the relationship between accounting data and financial market data for securities listed on the Tokyo Stock Exchange. We document, for the first time for a non-U.S. market, a significant price to book value ratio effect; i.e., Japanese equities with low price to book value...