Abstract

We measure stock returns at various intervals for the population of firms listed on the Tokyo, Osaka and JASDAQ stock exchanges from 1977 to 2017. Our main findings mirror those in Bessembinder (2018), but also provide important points of departure. At the monthly, annual and decadal horizons, roughly half of all Japanese firms earn a return no different from the risk-free rate of return, rendering median returns close to 0%. Given that the mean monthly, annual and decadal returns are 1%, 13% and 84%, our findings confirm the extreme skewness in realized returns documented in Bessembinder's study of US-listed firms in the CRSP era. The one area of departure for Japanese stocks is in the frequency of delistings, where U.S. firms delist at a rate about an order of magnitude higher than in Japan. We suspect the different delisting experiences give rise to the divergence in lifelong returns between Japan and the U.S., despite the similarities at the monthly, annual and decadal intervals.