| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2008: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
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| Research Abstract |
This study empirically investigates the profitability of contrarian and momentum investment strategies in the Japanese stock market, using returns and financial statement data of all stocks listed on the first section of the Tokyo Stock Exchange. Contrarian (momentum) strategies buy low-(high-)performing stocks and sell high-(low) performing stocks, based on past returns over various measurement periods. The results for the pricing of the Japanese individual stock prices are at least partially consistent with the predictions of rational asset pricing models, although some of them suggest the possibility of irrational asset pricing expounded by the behavioral finance theory.
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