Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?

By Kent D. Daniel, Sheridan Titman, John Wei, Ken French, Ravi Jagannathan, Keiichi Kubota, Takeshi Yamada, René M. Stulz. 2001

131 citations recorded by the source corpus.

Citations in the corpus

Testing International Asset Pricing Models Using Implied Costs of Capital (2008, unknown): “For example, Daniel, Hirshleifer, and Subrahmanyam (2001) entertain a behavioral asset pricing model in which expected returns are linearly related to both systematic risk and mispricing measures.”
What Determines Chinese Stock Returns? (2004, unknown): “But despite the success of the model in empirical studies of mature equity markets (e.g., Chan, Hamao, and Lakonishok 1991; Daniel, Titman, and Wei 2001), analysts know little about the results of applying the model to emerging capital markets.”
Investor Psychology in Capital Markets: Evidence and Policy Implications (2001, unknown): “While there is evidence of a strong book/market effect in Japan, there is little or no evidence of a momentum effect (Haugen and Baker (1996), Daniel, Titman, and Wei (2001)).”
Value versus growth investing: Why do different investors have different styles? (2015, unknown): “, De Bondt and Thaler (1985), Fama and French (1992, 1993, 1996), Lakonishok, Shleifer, and Vishny (1994), and Daniel and Titman (1997)).”