Regularities in tokyo stock exchange security returns: P/E, size, and seasonal influences

Regularities in risk‐adjusted returns for securities listed on the Tokyo Stock Exchange (TSE) are examined in this study. A significant price‐to‐earnings (P/E) ratio effect is documented for the first time for a non‐U.S. market, the TSE. Significant interactions between the P/E effect and the previously documented size and seasonal effects for the TSE are also documented. These results imply that studies of TSE companies must account for these return regularities and that explanations for such effects observed for U.S. and other markets that are based on some unique aspect of these markets are likely to be inadequate.