本文探究日本市場的股票報酬與公司規模、帳面市值比、交易量、股價、股利收益率與過去報酬之間的相關性，結果發現規模效應只存在於牛市、受到極端值的影響，而且會被股價的效果吸收，帳面市值比則不論在何種市場情況下都有顯著的效果，而過去六個月以內及一年以上的報酬率則和當月報酬率呈現負相關。除此之外，我們也檢定特徵對於Connor and Korajczyk (CK, 1988)或Fama and French (FF, 1992)因子調整後的報酬率是否有額外的解釋能力，結果發現即使考慮了CK或FF因子，帳面市值比和其他特徵仍然和報酬率有顯著的相關性，這說明了CK或FF因子都不能完整地解釋日本股票的報酬。 We explore the relation between stock returns and security characteristics including firm size, the book-to-market ratio, trading volume, stock price, dividend yield, and lagged returns in the Japanese market. The size effect is asymmetric in the up-and-down market conditions, can be explained by the extreme observations and is related to the low price effect. The book-to-market ratio effect is consistently strong in the bull market and in the bear market. There is weak evidence for return reversals in the short term within six months and in the long term beyond one year. In addition, we determine whether characteristics have incremental explanatory power for the arbitrage pricing theory benchmark with factors using the Connor and Korajczyk (CK, 1988) and Fama and French (FF, 1992) approaches. Fama-MacBeth regressions provide evidence of book-to-market effect and other characteristic effects even after accounting for either the CK or the FF factors. It implies either the CK factors or the FF factors can not describe the stock returns in the Japanese market perfectly.
