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Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2015
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| _version_ | 1867613214495211520 |
|---|---|
| access_status_str | Open Access |
| author | Velaers, Juliette F |
| author2 | Van Rensburg, Paul |
| author_browse | Van Rensburg, Paul Velaers, Juliette F |
| author_facet | Van Rensburg, Paul Velaers, Juliette F |
| author_sort | Velaers, Juliette F |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10920 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:34.479Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10920 Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange Velaers, Juliette F Van Rensburg, Paul Finance Includes bibliographical references. This thesis follows the methodologies of Fama and Macbeth (1973) and Robertson (2003) and empirically investigates the cross-sectional relationship between firm-specific attributes and stock returns on the Tokyo Stock Exchange (TSE). A dataset of 226 firm-specific attributes are constructed and tested. The data are adjusted for thin-trading and outliers are free from look-ahead bias. Two separate time periods are investigated in order to reduce the likelihood of data snooping. The in-sample regressions are run over the 1 January 1993 to 31 December 2000 time period and out-sample regressions cover 1 January 2001 to 31 December 2004. 2015-01-01T13:14:44Z 2015-01-01T13:14:44Z 2006 Master Thesis Masters MCom http://hdl.handle.net/11427/10920 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance Velaers, Juliette F Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange |
| thesis_degree_str | Master's |
| title | Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange |
| title_full | Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange |
| title_fullStr | Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange |
| title_full_unstemmed | Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange |
| title_short | Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange |
| title_sort | firm specific attributes and the cross section of equity returns on the tokyo stock exchange |
| topic | Finance |
| url | http://hdl.handle.net/11427/10920 |
| work_keys_str_mv | AT velaersjuliettef firmspecificattributesandthecrosssectionofequityreturnsonthetokyostockexchange |