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Glamour and Value Strategies on the Tokyo Stock Exchange
Author(s) -
Cai Jun
Publication year - 1997
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00163
Subject(s) - value premium , portfolio , financial economics , economics , growth stock , equity (law) , stock exchange , arbitrage , value (mathematics) , stock market , econometrics , stock (firearms) , risk premium , capital asset pricing model , finance , market maker , mathematics , engineering , statistics , mechanical engineering , paleontology , horse , political science , law , biology
This paper evaluates the performance of glamour and value strategies and tests the extrapolation model for the Japanese equity market. In general, value stocks outperform glamour stocks by between 6 and 12 percent per annum for the five years after portfolio formation. Evidence from past, future and expected growth provides strong support for the story developed in Lakonishok, Shleifer and Vishny (1994). It is difficult to attribute the value premia to the difference, if any, in risk factors. In addition, the book‐to‐market premium is much closer to an arbitrage opportunity than the size premium.