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Forecasting Japanese Stock Returns with Financial Ratios and Other Variables

  • Kohei Aono

    ()

  • Tokuo Iwaisako
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    File URL: http://hdl.handle.net/10.1007/s10690-010-9135-z
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    Article provided by Springer & Japanese Association of Financial Economics and Engineering in its journal Asia-Pacific Financial Markets.

    Volume (Year): 18 (2011)
    Issue (Month): 4 (November)
    Pages: 373-384

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    Handle: RePEc:kap:apfinm:v:18:y:2011:i:4:p:373-384
    DOI: 10.1007/s10690-010-9135-z
    Contact details of provider: Web page: http://www.springer.com

    Web page: http://www.jafee.gr.jp/

    Order Information: Web: http://www.springer.com/finance/journal/10690/PS2

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    1. Andrew W. Lo & A. Craig MacKinlay, 1989. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
    2. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
    3. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
    4. John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
    5. Andrew W. Lo & Craig A. MacKinlay, . "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
    6. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
    7. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    8. John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers 2016, Harvard - Institute of Economic Research.
    9. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
    10. Aono, Kohei & Iwaisako, Tokuo, 2008. "The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market," Discussion Paper Series a504, Institute of Economic Research, Hitotsubashi University.
    11. Kohei Aono & Tokuo Iwaisako, 2010. "On the Predictability of Japanese Stock Returns Using Dividend Yield," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(2), pages 141-149, June.
    12. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
    13. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
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