Research on the cause of the value effect for shares listed on the Tokyo Stock Exchange

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This research project aims to provide insight into whether the value effect is compensation for risk or whether it is due to investors irrational behavior. Since returning to work after taking maternity leave in 2021-2022, I have resumed to the task of carrying out the analysis detailed in the first part of the original research plan. Specifically, share return data for shares traded on the Tokyo Stock Exchange is being analyzed by splitting the monthly data into several sub-periods and analyzing each sub-period separately. It is hoped that this research will provide insight into the cause of the strong value effect in long-term Japanese share data.