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Stock market anomalies and the pricing of equity on the Tokyo stock exchange

Author: Hawawini, Gabriel INSEAD Area: Finance In: Japanese financial market research - Ziemba, W. T.;Bailey, Warren R.;Hamao, Y - 1991 - Book Language: EnglishType of document: INSEAD ChapterNote: Please ask the Library for this chapter.Abstract: This chapter examines various pricing anomalies on the Tokyo Stock Exchange (TSE). Specifically, it provides evidence that the relationship between the return of common stocks listed on the TSE and their risk is seasonal and that the market capitalization of listed stocks affects the risk-return relationship, particularly during the month of January. Various potential explanations of this phenomenon are discussed
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This chapter examines various pricing anomalies on the Tokyo Stock Exchange (TSE). Specifically, it provides evidence that the relationship between the return of common stocks listed on the TSE and their risk is seasonal and that the market capitalization of listed stocks affects the risk-return relationship, particularly during the month of January. Various potential explanations of this phenomenon are discussed

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