Price/Book Value Ratios and Equity Returns on the Tokyo Stock Exchange: Empirical Evidence of an Anomalous Regularity |
| |
| Authors: | Raj Aggarwal Takato Hiraki Ramesh P Rao |
| |
| Institution: | John Carroll University, Cleveland, OH 44118.;International University of Japan, Yamato-machi, Nigata-ken, 949–72, Japan.;Wayne State University, Detroit, MI 48202. The authors are grateful to their colleagues, two anonymous reviewers, D. Ewert, G. Mandelkar, and K. Tandon for useful comments and to the Edward J. and Louise E. Mellen Foundation for research support. The Japan Securities Research Institute and the Nihon Keizai Shinbun are also thanked for the data tapes used in this study. The authors are solely responsible for the contents. |
| |
| Abstract: | This study examines the relationship between accounting data and financial market data for securities listed on the Tokyo Stock Exchange. We document, for the first time for a non-U.S. market, a significant price to book value ratio effect; i.e., Japanese equities with low price to book value ratios earn higher returns than those with high price to book value ratios, and this price to book value effect is stronger in January and June and for smaller firms. One implication of the international pervasiveness of these empirical regularities is that explanations for these effects that are based on unique institutional or accounting procedures are unlikely to be sufficient. |
| |
| Keywords: | |
|
|
