An Overview of Stock Portfolio Returns and Return Premia in Japan: The Case of Size and Book-to-Market Portfolios

Abstract

This article explores Japanese stock portfolio returns and return premia by focusing on size- and book-to-market (BM)-sorted portfolios over the period of 1990 to 2020. As a result of our investigations, we derive the following useful findings. (1) In general, the value and/or size effects are continuously seen in the Japanese stock market. However, (2) these effects much depend on the economic and business background: for the performance of size- and BM-sorted portfolios in Japan, the value effect is stronger in some sub-periods; while the size effect is clearer in other sub-periods. Furthermore, (3) this study employs the data in US dollars, and computes various statistics and measures for both our full sample period and many different sub-periods, whose economic circumstances are rather different. Therefore, not only for academic researchers but also for international investors, our findings shall be highly beneficial for enriching the understanding of Japanese stock portfolio returns and return premia.