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Title: Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Authors: Chou, Pin-Huang;Hsu, Yuan-Lin;Zhou, Guofu
Contributors: 財管系
Keywords: Beta;Stock Returns;Stocks
Date: 2000-05
Issue Date: 2015-10-12 13:56:42 (UTC+8)
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 beta, adjusted for infrequent trading or not, fails to explain the cross-section of monthly expected returns, but does a much 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 beta is included as an additional independent variable.
Relation: Annals of Economics and Finance, 1(1), 79-100
Data Type: article
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