Corporate Investment and Portfolio Returns in Japan: A Markov Switching Approach
Bibliographic record
Abstract
This paper explores the profitability of four Japanese higher return equity portfolios and their linkages between corporate investment factor return, the so-called conservative-minus-aggressive (CMA), suggested by Fama and French (2015). Our empirical examinations derive the following evidence. First, in the four Japanese equity portfolios, the smallest and the highest operating profitability portfolio presents the highest return. Second, the smallest and the highest book-to-market (B/M) portfolio, the smallest and moderate investment portfolio, and the smallest and the second strongest momentum portfolio also record higher excess returns than the overall equity market in Japan. Moreover, our analyses via two-regime Markov switching models evidence that for all the four Japanese equity portfolios, there are clearly two regimes: one is positively related to CMA and the other is little or negatively related to CMA. Furthermore, our analyses also reveal that recently, all the four Japanese equity portfolios yield higher returns than CMA with showing weaker linkages between CMA.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".