Size, Value, and Beta in Japan—A Panoramic View

Abstract

Considering finance theory, this study investigates the relations between portfolio returns and betas in Japan, and derives the following interesting findings. First, we observe that for January 1992 to December 2021, there was little nexus between the returns and their betas in six size- and book equity to market equity (BE/ME)-sorted portfolios in Japan. Second, we also observe that for our six five-year sub periods, there was little linkage between the returns and their betas in Japanese six size- and BE/ME-sorted portfolios. Third, our regression analysis confirms that statistically, there was almost no relation between the returns and their betas in Japanese six size- and BE/ME-sorted portfolios for January 1992 to December 2021.