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

Master Thesis

2006

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http://hdl.handle.net/11427/10920
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thesis_com_2006_velaers_jf (1).pdf (23.02 MB)
Authors
Velaers, Juliette F
Supervisors
Van Rensburg, Paul
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University of Cape Town

Department
Department of Finance and Tax
Faculty
Faculty of Commerce
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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.
Description

Includes bibliographical references.

Keywords
Finance

Reference:

Velaers, J. 2006. Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange. University of Cape Town.

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