{"id":"https://openalex.org/W1992560145","doi":"https://doi.org/10.1108/03074351011056518","title":"Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange","display_name":"Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange","publication_year":2010,"publication_date":"2010-07-03","ids":{"openalex":"https://openalex.org/W1992560145","doi":"https://doi.org/10.1108/03074351011056518","mag":"1992560145"},"language":"en","primary_location":{"id":"doi:10.1108/03074351011056518","doi":"https://doi.org/10.1108/03074351011056518","is_oa":false,"landing_page_url":"https://doi.org/10.1108/03074351011056518","pdf_url":null,"source":{"id":"https://openalex.org/S184351885","display_name":"Managerial Finance","issn_l":"0307-4358","issn":["0307-4358","1758-7743"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Managerial Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5113816284","display_name":"Keiichi Kubota","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I96679780","display_name":"Chuo University","ror":"https://ror.org/03qvqb743","country_code":"JP","type":"education","lineage":["https://openalex.org/I96679780"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Keiichi Kubota","raw_affiliation_strings":["Graduate School of Strategic Management, Chuo University, Tokyo, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Strategic Management, Chuo University, Tokyo, Japan","institution_ids":["https://openalex.org/I96679780"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013806252","display_name":"Hitoshi Takehara","orcid":"https://orcid.org/0000-0002-8779-9868","observed_orcids":["https://orcid.org/0000-0002-8779-9868"]},"institutions":[{"id":"https://openalex.org/I150744194","display_name":"Waseda University","ror":"https://ror.org/00ntfnx83","country_code":"JP","type":"education","lineage":["https://openalex.org/I150744194"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Hitoshi Takehara","raw_affiliation_strings":["Graduate School of Finance, Accounting","Law, Waseda University, Tokyo, Japan","Graduate School of Finance, Accounting and Law; Waseda University; Tokyo Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Finance, Accounting","institution_ids":[]},{"raw_affiliation_string":"Law, Waseda University, Tokyo, Japan","institution_ids":["https://openalex.org/I150744194"]},{"raw_affiliation_string":"Graduate School of Finance, Accounting and Law; Waseda University; Tokyo Japan","institution_ids":["https://openalex.org/I150744194"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.5554,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.80426357,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"36","issue":"8","first_page":"655","last_page":"679"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10019","display_name":"Corporate Finance and Governance","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/conditional-asset-pricing-models","display_name":"conditional asset pricing models","score":0.8519999980926514},{"id":"https://openalex.org/keywords/big-five-personality-traits","display_name":"Big Five personality traits","score":0.8240000009536743},{"id":"https://openalex.org/keywords/abnormal-returns","display_name":"abnormal returns","score":0.6439999938011169},{"id":"https://openalex.org/keywords/contrarian-strategy","display_name":"contrarian strategy","score":0.7210000157356262},{"id":"https://openalex.org/keywords/liquidity-risk","display_name":"liquidity risk","score":0.9020000100135803},{"id":"https://openalex.org/keywords/book-to-market-ratio","display_name":"book-to-market ratio","score":0.7379999756813049},{"id":"https://openalex.org/keywords/turnover-rate","display_name":"turnover rate","score":0.734000027179718},{"id":"https://openalex.org/keywords/firm-size","display_name":"firm size","score":0.699999988079071},{"id":"https://openalex.org/keywords/mean-variance-efficiency","display_name":"mean-variance efficiency","score":0.7149999737739563},{"id":"https://openalex.org/keywords/hansen-jagannathan-distance","display_name":"Hansen-Jagannathan distance","score":0.9160000085830688},{"id":"https://openalex.org/keywords/tokyo-stock-exchange","display_name":"Tokyo Stock Exchange","score":0.7490000128746033},{"id":"https://openalex.org/keywords/japanese-stock-market","display_name":"Japanese stock market","score":0.9190000295639038}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7568095922470093},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.7448310852050781},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6233211159706116},{"id":"https://openalex.org/C2779652781","wikidata":"https://www.wikidata.org/wiki/Q5165738","display_name":"Contrarian","level":2,"score":0.607170581817627},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.5626592636108398},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.4812638461589813},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.477155864238739},{"id":"https://openalex.org/C167626555","wikidata":"https://www.wikidata.org/wiki/Q5164759","display_name":"Consumption-based capital asset pricing model","level":3,"score":0.46805068850517273},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.454782634973526},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.24981042742729187},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.16924011707305908},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.097847580909729},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08485901355743408}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1108/03074351011056518","doi":"https://doi.org/10.1108/03074351011056518","is_oa":false,"landing_page_url":"https://doi.org/10.1108/03074351011056518","pdf_url":null,"source":{"id":"https://openalex.org/S184351885","display_name":"Managerial Finance","issn_l":"0307-4358","issn":["0307-4358","1758-7743"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Managerial Finance","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W1513172979","https://openalex.org/W1560849420","https://openalex.org/W1753886683","https://openalex.org/W1995423104","https://openalex.org/W1995834279","https://openalex.org/W2003644932","https://openalex.org/W2016940815","https://openalex.org/W2025710885","https://openalex.org/W2029843874","https://openalex.org/W2037822352","https://openalex.org/W2047134779","https://openalex.org/W2054349855","https://openalex.org/W2061927536","https://openalex.org/W2074524292","https://openalex.org/W2084303638","https://openalex.org/W2104547087","https://openalex.org/W2104559023","https://openalex.org/W2105125616","https://openalex.org/W2113208252","https://openalex.org/W2116988722","https://openalex.org/W2125520394","https://openalex.org/W2134807435","https://openalex.org/W2135647799","https://openalex.org/W2136120210","https://openalex.org/W2149990348","https://openalex.org/W2159073154","https://openalex.org/W3021190191","https://openalex.org/W3121401171","https://openalex.org/W3121453935","https://openalex.org/W3121575311","https://openalex.org/W3123099641","https://openalex.org/W3123451865","https://openalex.org/W3124277734","https://openalex.org/W3124609389","https://openalex.org/W3125156360","https://openalex.org/W3125395390","https://openalex.org/W3125452688","https://openalex.org/W3125717248","https://openalex.org/W7063939797"],"related_works":["https://openalex.org/W2912329483","https://openalex.org/W4205260908","https://openalex.org/W3125216138","https://openalex.org/W6980613242","https://openalex.org/W4233530770","https://openalex.org/W1753886683","https://openalex.org/W2419278661","https://openalex.org/W2273800702","https://openalex.org/W2280254714","https://openalex.org/W1973946887"],"abstract_inverted_index":{"Purpose":[0],"The":[1,49,86,163,210],"purpose":[2],"of":[3,42,60,81,98,198,207,227],"this":[4,217],"paper":[5],"is":[6,106],"to":[7,28,55,75,120,179,188,221],"determine":[8],"the":[9,16,43,66,77,96,99,103,110,122,129,138,144,152,156,168,176,185,204,225,232],"best":[10],"conditional":[11,61,140,199,211],"asset":[12,45,62,200,212],"pricing":[13,46,63,201,213],"model":[14,105,114,142,214],"for":[15,216],"Tokyo":[17],"Stock":[18],"Exchange":[19],"sample":[20,52],"by":[21],"utilizing":[22],"long\u2010run":[23,205],"daily":[24],"data.":[25],"It":[26],"aims":[27],"investigate":[29],"whether":[30],"there":[31,191],"are":[32,93],"any":[33],"other":[34,116],"firm\u2010specific":[35],"variables":[36],"that":[37,151],"can":[38,158,172],"explain":[39],"abnormal":[40],"returns":[41,171,230],"estimated":[44],"model.":[47,101],"Design/methodology/approach":[48],"individual":[50,208],"firm":[51],"was":[53,149],"used":[54],"conduct":[56],"various":[57],"cross\u2010sectional":[58],"tests":[59],"models,":[64,118],"at":[65],"same":[67],"time":[68],"as":[69,143],"using":[70,137,203],"test":[71,127,197],"portfolios":[72],"in":[73,90],"order":[74],"confirm":[76],"mean":[78],"variance":[79],"efficiency":[80],"basic":[82],"unconditional":[83,91],"models.":[84],"Findings":[85],"paper's":[87],"multifactor":[88],"models":[89,202],"forms":[92],"rejected,":[94],"with":[95],"exception":[97],"five\u2010factor":[100,104,141],"Further,":[102],"better":[107],"overall":[108],"than":[109],"Fama":[111],"and":[112,115,125,128,131,155,167,231],"French":[113],"alternative":[117],"according":[119],"both":[121],"Gibbons,":[123],"Ross,":[124],"Shanken":[126],"Hansen":[130],"Jagannathan":[132],"distance":[133],"measure":[134],"test.":[135],"Next,":[136],"final":[139],"de":[145],"facto":[146],"model,":[147],"it":[148],"determined":[150],"turnover":[153,233],"ratio":[154,165],"size":[157],"consistently":[159],"predict":[160,175],"Jensen's":[161],"alphas.":[162],"book\u2010to\u2010market":[164],"(BM)":[166],"past":[169,228],"one\u2010year":[170,229],"also":[173],"significantly":[174],"alpha,":[177],"albeit":[178],"a":[180,195],"lesser":[181],"extent.":[182],"Originality/value":[183],"In":[184],"literature":[186],"related":[187],"Japanese":[189],"data,":[190],"has":[192,219],"never":[193],"been":[194],"comprehensive":[196],"data":[206],"firms.":[209],"derived":[215],"study":[218],"led":[220],"new":[222],"findings":[223],"about":[224],"predictability":[226],"ratio.":[234]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}