TITLE:
Size, Value, and Beta in Japan—A Panoramic View
AUTHORS:
Chikashi Tsuji
KEYWORDS:
Asset Pricing, Beta, Book-to-Market Ratio, CAPM, Size Premia, Value Premia
JOURNAL NAME:
Theoretical Economics Letters,
Vol.13 No.2,
April
30,
2023
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.