Article1985

Seasonal and Size Anomalies in the Japanese Stock Market

256 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Abstract

Little attention has been paid by the academic community in the United States to the Japanese stock market and its structure. Japan has the second largest economy in the Western world, and the Tokyo Stock Exchange (TSE) is second only to the New York Stock Exchange (NYSE) in terms of aggregate market values and sales volume. Analysis of the Japanese stock market is useful given its relative importance, but, in addition, examination of the Japanese market may offer insights into controversies surrounding U.S. markets. This study focuses on two such current controversies: the January and size anomalies.

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References

1981The relationship between return and market value of common stocks 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1983Size-related anomalies and stock return seasonality 1981Misspecification of capital asset pricing 1983The anomalous stock market behavior of small firms in January 1983Stock market seasonality 1984Differential information and the small firm effect 1981A Possible Explanation of the Small Firm Effect

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