Glamour and Value Strategies on the Tokyo Stock Exchange
评估了日本股市中魅力股与价值股策略的表现，发现价值股在组合形成后五年内每年跑赢魅力股6%至12%，并检验了外推模型，认为价值溢价难以用风险差异解释，账面市值比溢价更接近套利机会。
This paper evaluates the performance of glamour and value strategies and tests the extrapolation model for the Japanese equity market. In general, value stocks outperform glamour stocks by between 6 and 12 percent per annum for the five years after portfolio formation. Evidence from past, future and expected growth provides strong support for the story developed in Lakonishok, Shleifer and Vishny (1994). It is difficult to attribute the value premia to the difference, if any, in risk factors. In addition, the book‐to‐market premium is much closer to an arbitrage opportunity than the size premium.