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OVERVIEW OF THE JAPANESE CAPITAL MARKET
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abnormal return addition anomalies arbitrage arbitrage pricing theory assets average return beta capital gains CAPM Chapter coefficients computed days of January December seasonals Delisted stocks dividend yield earn effect appears excluded explain F statistic Financial Economics findings higher returns infrequent trading interest rates January effect January returns January seasonal January-size effect Japan Japanese capital market Japanese corporations Japanese firms Japanese stock market Japanese stock returns Journal of Financial June and December K-W test Keim Keim's large firms Largest Portfolio listed loss selling hypothesis March market indices market model Mean monthly mean returns monthly excess returns number of firms NYSE P/E ratios period portfolio returns presented in Table Rate of Return raw returns regression analysis Regression Results Reinganum reversal size effect second section six industries small firm effect survivorship bias tax loss selling TLSH Tokyo Stock Exchange transaction costs hypothesis turn-of-the-year effect United value of equity