This study examines the momentum effect in Japanese stock returns on the basis of market conditions. Although previous studies did not find a momentum effect in Japanese stock returns, this study provides evidence that significant momentum profits exist for a particular market condition. When the market is divided into UP and DOWN states, momentum profits are found in the UP market states. A further classification of UP and DOWN market states on the basis of subsequent continuation and reversion (UP-UP, UP-DOWN, DOWN-UP, and DOWN-DOWN) indicates that momentum profits are evident only in the reverting UP states (UP-DOWN). I argue that investors' under-reaction to information causes momentum profits in the reverting UP states in Japan.
In the speedboat racing in Japan, women racers can participate and compete in the race in the same condition as the men racer do. This paper used the individual level panel data of records of the racing during the period April 2014–October 2015 to examine how the men's dominated circumstance influence women's performance in the race. The data allows us to control for various factors such as unobservable individual fixed effect, one's lean in the race, popularity, her conditions in the race, and weather condition. After controlling these factors, based on the women's race sample, we observe that the women's time of mixed race loses by approximately 0.3% in compared with that of the women's race.
This study examines whether short-sales constraint is really significant in the presence of a centralized lendable stock market. We hypothesize that a centralized lendable stock market reduces search frictions considerably that reduces cost of borrowing stocks and make short-sales less constrained. Using six-month daily data, we provide evidence that cost of borrowing stocks is not generally significant in the centralized lendable stock market in Japan. Costs of comparable borrowing stocks are also found to be lower in Japan than that in the USA. Our results also show that conventional recall risk is not observed under a centralized lending market. We also examine future return behavior of short-sales constrained stocks to test Miller's (1977) overvaluation hypothesis but have not found any evidence in support of the hypothesis. Overall, our results support the prediction of Kolasinski et al. (2013) that a centralized lending market reduces short-sales constraints and improves the efficiency of the market.
This paper investigates preferences over menus, i.e., sets of alternatives, to analyze a decision maker who randomizes alternatives in a menu. We identify preferences for randomization, by studying anticipated utility from the viewpoint of subjective uncertainty. The effect of randomization in one's mind stems from several cognitive or psychological effects ranging from complements between alternatives to aversion to timing of earlier decision-making. The main axiom in our analysis is a monotonic condition for preferences for randomization, named as Randomization. We show that Randomization, along with other standard axioms, axiomatically characterizes the main result, that is, a random anticipated utility representation. In the model, the decision maker's subjective belief for the effect of randomization is uniquely identified. In addition, we characterize preferences for a desire to randomization, and an aversion to randomization, respectively.