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Abstract

Vol. 58, No. 3, pp. 193-202 (2007)

“Forecasting Japanese Stock Returns with Financial Ratios”
Kohei Aono (Graduate Student of Economics, Hitotsubashi University), Tokuo Iwaisako (Institute of Economic Research, Hitotsubashi University)

Following the studies of Stambaugh (1986, 1999), Lewellen (2004), and Campbell and Yogo (2006), we examine the predictive regression for Japanese stock returns including financial ratios as a regressors. The statistical adjustment proposed by Lewellen (2004) indeed alters the result of statistical inference. We find the predictive ability of log dividend yield is higher than previous results and statistically significant.