Abstract
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that β, adjusted for infrequent trading or not, fails to explain the cross-section of monthly expected returns, but does amuch better job for horizons over half- and one-year. However, either the size or the BE/ME alone is still a significant factor in explaining the cross-section expected returns, but the size significance diminishes for longer horizons when β is included as an additional independent variable.
Original language | English |
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Pages (from-to) | 79-100 |
Number of pages | 22 |
Journal | Annals of Economics and Finance |
Volume | 1 |
Issue number | 1 |
State | Published - May 2000 |
Keywords
- Beta
- Book-to-market equity
- CAPM
- Investment horizon
- Size