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Consideration of the Existence of the Value Effect in Japan in Recent Years

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  • Brooke Alexandra Maeda

Abstract

It was widely reported that a strong value effect exists on the Japanese share market, however research suggests that it disappeared from about 2008. Examination of data on the Russell / Nomura Japan Equity Indexes suggests that the value premium reappeared around 2013 and has become significantly strong since 2021, despite structural and regulatory changes increasing market efficiency and the number of international investors.

Suggested Citation

  • Brooke Alexandra Maeda, 2024. "Consideration of the Existence of the Value Effect in Japan in Recent Years," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 16(12), pages 1-26, December.
    • Handle: RePEc:ibn:ijefaa:v:16:y:2024:i:12:p:26
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    References listed on IDEAS

    as
    1. Galvani, Valentina, 2021. "The value premium during flights," Finance Research Letters, Elsevier, vol. 39(C).
    2. Kent Daniel & Sheridan Titman & K.C. John Wei, 2001. "Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, April.
    3. Chung, Yi-Tsai & Hsu, Chuan-Hao & Ke, Mei-Chu & Liao, Tung Liang & Chiang, Yi-Chein, 2016. "The weakening value premium in the Australian and New Zealand stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 123-133.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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