Preliminary Study of the Relationship Between Accounting Fundamentals and Stock Prices for the Prime Market

The purpose of this paper is to examine the relationship between accounting fundamentals and future abnormal returns for prime market issues on the Tokyo Stock Exchange. The background of the study is the revision of market segmentation in Japan starting April 2022. To elaborate, the market classification on the Tokyo Stock Exchange has been reorganized from the four categories of“ First Section,”“ Second Section,”“ Mothers,” and“ JASDAQ” to three categories of“ Prime Market,”“ Standard Market,” and“ Growth Market.” By examining the relationship between accounting fundamentals and future abnormal returns for prime market stocks, this paper provides empirical evidence on how the introduction of this new market classification affects the relationship between value based on accounting fundamentals and stock prices.

論説 (Articles)