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Stock market anomalies and the pricing of equity on the Tokyo Stock Exchange

Author: Hawawini, Gabriel INSEAD Area: Finance Series: Working Paper ; 90/07/FIN/EPS Publisher: Fontainebleau : INSEAD, 1990.Language: EnglishDescription: 23 p.Type of document: INSEAD Working Paper Online Access: Click here Abstract: The purpose of this study is to examine the relationship between the average return and the risk of a sample of common stocks traded on the Tokyo Stock Exchange (TSE). Specifically, the study adresses the following question: is the capital asset pricing model (CAPM) a valid predictor for common stock returns on the TSE given that this market exhibits two well-known "anomalies"? These are the size effect and the seasonal behaviour of monthly common stock returns. They are both described in the paper, following a brief presentation of the CAPM and a review of the first test of that model on the TSE
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The purpose of this study is to examine the relationship between the average return and the risk of a sample of common stocks traded on the Tokyo Stock Exchange (TSE). Specifically, the study adresses the following question: is the capital asset pricing model (CAPM) a valid predictor for common stock returns on the TSE given that this market exhibits two well-known "anomalies"? These are the size effect and the seasonal behaviour of monthly common stock returns. They are both described in the paper, following a brief presentation of the CAPM and a review of the first test of that model on the TSE

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