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TWEEDY, BROWNE COMPANY L.P.
What Has Worked in Investing
(continued from preceding
page)
T. Nakamura and N. Terada examined the relationship between market capitalization and investment returns in The Size Effect and Seasonality in Japanese Stock Returns, Nomura Research Institute, 1984. Japanese stocks were ranked according to market capitalization and sorted into quintiles. The study period was 1966 through 1983. Table 34 below shows the annual returns.
Table 34:
Investment Returns by Market Capitalization Quintile for Stocks in Japan, 1966 - 1983
|
Quintile 1 (Smallest market cap companies) 2 3 4 5 (Largest market cap companies) |
Return |
INTERRELATED INVESTMENT CHARACTERISTICS
Donald Keim, Professor of Finance at the Wharton School, University of Pennsylvania, examined the interrelationship among price/book value, market capitalization, price/earnings ratio and average stock price for all New York Stock Exchange listed companies from 1964 through 1982 in Stock Market Anomalies, edited by Elroy Dimson, Cambridge University Press, 1988. Each March 31 from 1964 through 1982, all New York Stock Exchange listed companies were ranked according to price in relation to book value and sorted into deciles. The average price/book value ratio, average market capitalization, average price/earnings ratio and average price per share were computed for each of the ten groups of companies. The information is shown in Table 35.
Page 38 of 42
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