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Cross-sectional regression analysis of return and beta in Japan

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  • Hodoshima, Jiro
  • Garza-Gomez, Xavier
  • Kunimura, Michio
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-41WSBYW-4/2/57558e01a41af3f4f6bece093c03ba05
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 52 (2000)
    Issue (Month): 6 ()
    Pages: 515-533

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    Handle: RePEc:eee:jebusi:v:52:y:2000:i:6:p:515-533

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    Web page: http://www.elsevier.com/locate/jeconbus

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    References

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    1. Fletcher, Jonathan, 1997. "An examination of the cross-sectional relationship of beta and return: UK evidence," Journal of Economics and Business, Elsevier, vol. 49(3), pages 211-221.
    2. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-47, July.
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    Cited by:
    1. Tang, Gordon Y. N. & Shum, Wai Cheong, 2003. "The relationships between unsystematic risk, skewness and stock returns during up and down markets," International Business Review, Elsevier, vol. 12(5), pages 523-541, October.
    2. Ho, Ron Yiu Wah & Strange, Roger & Piesse, Jenifer, 2008. "Corporate financial leverage and asset pricing in the Hong Kong market," International Business Review, Elsevier, vol. 17(1), pages 1-7, February.
    3. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
    4. Elsas, Ralf & El-Shaer, Mahmoud & Theissen, Erik, 2003. "Beta and returns revisited: Evidence from the German stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 1-18, February.
    5. Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004. "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
    6. Morelli, David, 2007. "Beta, size, book-to-market equity and returns: A study based on UK data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 257-272, July.
    7. Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
    8. David Morelli, 2012. "Security returns, beta, size, and book-to-market equity: evidence from the Shanghai A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 47-60, January.
    9. Nikolaos G. Theriou & Vassilios P. Aggelidis & Dimitrios I. Maditinos & Željko Ševic, 2010. "Testing the relation between beta and returns in the Athens stock exchange," Managerial Finance, Emerald Group Publishing, vol. 36(12), pages 1043-1056, December.
    10. Eduardo Sandoval & Rodrigo Saens, 2004. "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(122), pages 65-89.
    11. Ho, Ron Yiu-wah & Strange, Roger & Piesse, Jenifer, 2006. "On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 199-214, July.

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