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 us for this itemAbstract: 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| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Digital Library | Available | BC000429 |
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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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