TY  - BOOK
AU  - Daniel,Kent
AU  - Titman,Sheridan
AU  - Wei,K.C.John
ED  - National Bureau of Economic Research.
TI  - Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? 
T2  - NBER working paper series
PY  - 1999///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - July 1999; Hardcopy version available to institutional subscribers
N2  - Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated with these characteristics arise because the characteristics are proxies for covariance with priced factors. Our tests, which replicate the Daniel and Titman (1997) tests on a Japanese sample, reject the Fama and French (1993) three-factor model but fails to reject the characteristic model
UR  - https://www.nber.org/papers/w7246
UR  - http://dx.doi.org/10.3386/w7246
ER  -