Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange

 

Show simple item record

dc.contributor.advisor Van Rensburg, Paul en_ZA
dc.contributor.author Velaers, Juliette F en_ZA
dc.date.accessioned 2015-01-01T13:14:44Z
dc.date.available 2015-01-01T13:14:44Z
dc.date.issued 2006 en_ZA
dc.identifier.citation Velaers, J. 2006. Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/10920
dc.description Includes bibliographical references. en_ZA
dc.description.abstract This thesis follows the methodologies of Fama and Macbeth (1973) and Robertson (2003) and empirically investigates the cross-sectional relationship between firm-specific attributes and stock returns on the Tokyo Stock Exchange (TSE). A dataset of 226 firm-specific attributes are constructed and tested. The data are adjusted for thin-trading and outliers are free from look-ahead bias. Two separate time periods are investigated in order to reduce the likelihood of data snooping. The in-sample regressions are run over the 1 January 1993 to 31 December 2000 time period and out-sample regressions cover 1 January 2001 to 31 December 2004. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Finance en_ZA
dc.title Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Department of Finance and Tax en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Velaers, J. F. (2006). <i>Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/10920 en_ZA
dc.identifier.chicagocitation Velaers, Juliette F. <i>"Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2006. http://hdl.handle.net/11427/10920 en_ZA
dc.identifier.vancouvercitation Velaers JF. Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10920 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Velaers, Juliette F AB - This thesis follows the methodologies of Fama and Macbeth (1973) and Robertson (2003) and empirically investigates the cross-sectional relationship between firm-specific attributes and stock returns on the Tokyo Stock Exchange (TSE). A dataset of 226 firm-specific attributes are constructed and tested. The data are adjusted for thin-trading and outliers are free from look-ahead bias. Two separate time periods are investigated in order to reduce the likelihood of data snooping. The in-sample regressions are run over the 1 January 1993 to 31 December 2000 time period and out-sample regressions cover 1 January 2001 to 31 December 2004. DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange TI - Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange UR - http://hdl.handle.net/11427/10920 ER - en_ZA


Files in this item

Thumbnail
Name: thesis_com_2006_v ...
Size: 23.02Mb
Format: PDF
View/Open

This item appears in the following Collection(s)

Show simple item record