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

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.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2006

Author dc:creator

• Velaers, Juliette F

Advisor dc:contributor.advisor

• Van Rensburg, Paul

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10920

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10920