TITLE:
Returns and Return Premia of Size and Investment Portfolios in Japan—A Conspectus
AUTHORS:
Chikashi Tsuji
KEYWORDS:
Investment, Japanese Stock Market, Return Premia, Size Effect, Stock Return
JOURNAL NAME:
Modern Economy,
Vol.12 No.4,
April
27,
2021
ABSTRACT: This article conducts an overview of the performance
of Japanese firm size- and firms’ investment-sorted stock portfolios from 1990
to 2020, and we derive the following contributions. First, we find that in our
second half sub-period, the size effect is much clearer; while overall, the
effect of investment is not so clear, suggesting that the portfolio
constructions by firms’ investment are not so effective in Japan. Second, as we
analyzed the performance of Japanese size- and investment-sorted portfolios
using the data, which are in US dollars and for almost 30 years, our findings
should be highly meaningful for both industrial practitioners and academic researchers,
much deepening our understanding of stock portfolio returns and return premia
in Japan.