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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/10920 |
| Date | January 2006 |
| Creators | Velaers, Juliette F |
| Contributors | Van Rensburg, Paul |
| Publisher | University of Cape Town, Faculty of Commerce, Department of Finance and Tax |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MCom |
| Format | application/pdf |
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