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- W2072240709 abstract "This paper examines Jensen's [J. Finance, 1968, 23, 389–416] alphas and the time-varying return premia unexplained by standard risk factors in Japan and presents several new findings. First, in contrast to the US experience, positive alphas remain after Fama and French's three factors are applied to excess stock returns in Japan. Second, positive alphas remain in Japan, even if the Fama–French three factors combined with momentum and reversal factors are applied to excess stock returns. Third, the positive return premia unexplained by these five factors bear little relation to the dynamics of the Japanese macroeconomy. Fourth, the time series evolution of the positive return premia indicates autonomous dynamics with at least three regimes. Fifth, we can predict or time the acquisition of the positive return premia for small-size portfolios in Japan by observing the direction and effect of the return premia of large-size portfolios and high-book equity to market equity (BE/ME) portfolios. Finally, applicat..." @default.
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- W2072240709 date "2012-03-01" @default.
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- W2072240709 title "Positive return premia in Japan" @default.
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- W2072240709 doi "https://doi.org/10.1080/14697688.2010.541485" @default.
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