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

Simple item page
dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorVelaers, Juliette Fen_ZA
dc.date.accessioned2015-01-01T13:14:44Z
dc.date.available2015-01-01T13:14:44Z
dc.date.issued2006en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis 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.identifier.apacitationVelaers, 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/11427/10920en_ZA
dc.identifier.chicagocitationVelaers, 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/11427/10920en_ZA
dc.identifier.citationVelaers, 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.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
dc.identifier.urihttp://hdl.handle.net/11427/10920
dc.identifier.vancouvercitationVelaers 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/11427/10920en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinanceen_ZA
dc.titleFirm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchangeen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2006_velaers_jf (1).pdf
Size:
23.02 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters