We examine associations between accounting measures of earnings and stock returns in Japan over varying window lengths and compare them to those for the United States. Our results are consistent with the view that Japanese investors utilize less accounting information in their pricing of equities than do their U.S. counterparts. This was particularly evident in the 'boom' period of the mid to late 1980s when the fundamental values conveyed by accounting measures appear to have been largely ignored. The association increases with the inclusion of 1991, suggesting a return to more emphasis on fundamentals with the recent decline in stock prices.
Hall, Charles, Yasushi Hamao, and Trevor Harris. "A Comparison of Relations Between Security Market Prices, Returns and Accounting Measures in Japan and the United States." Journal of International Financial Management and Accounting 5, no. 1 (February 1994): 47-73.
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