Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 17, 2011 erstellt
Description:
Using an updated Japanese sample covering the 1975-2006 period, we reexamine whether it is Fama and French's (1993) three-factor model or Daniel and Titman's (1997) characteristic model that better explains stock returns in the Japanese market. In contrast to Daniel, Titman, and Wei (2001), we find that the three-factor model works well for this updated sample. Further analysis identifies a structural break date in October 1997, which coincides with the publication date of Daniel and Titman's article. In particular, the characteristic model is supported before 1997, but not after; the Japanese evidence is similar to the U.S. evidence, as documented by Davis, Fama, and French (2000)