Returns and Return Premia of Size and Investment Portfolios in Japan—A Conspectus
- 1 Graduate School of Economics, Chuo University, Tokyo, Japan
Abstract
This article conducts an overview of the performance of Japanese firm size- and firms’ investment-sorted stock portfolios from 1990 to 2020, and we derive the following contributions. First, we find that in our second half sub-period, the size effect is much clearer; while overall, the effect of investment is not so clear, suggesting that the portfolio constructions by firms’ investment are not so effective in Japan. Second, as we analyzed the performance of Japanese size- and investment-sorted portfolios using the data, which are in US dollars and for almost 30 years, our findings should be highly meaningful for both industrial practitioners and academic researchers, much deepening our understanding of stock portfolio returns and return premia in Japan.
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