Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market

In Japan, as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2 percent of the cross-sectional variation in the average return on stock portfolios, the stock-index beta and the labor-beta together explain 75 percent of the variation. We find that the labor-beta drives out the size effect but not the book-to-market-price effect that is documented in the literature. We explore the extent to which these results are an artifact of seasonal patterns in labor-income growth rates as well as asset returns. In Japan, the book-to-market-price characteristic can be adequately captured by a particular factor-beta, as suggested by Fama and French (1993). This is in contrast to the findings reported by Daniel and Titman (1997) for the United States.Labor supply ; Stock - Prices ; Japan

The CAPM with human capital: Evidence from Japan

We find that the CAPM beta has little ability to explain the cross section of average returns on Japanese stocks when the TOPIX return is used as the proxy for the return on the aggregate wealth portfolio. The relation between average return and beta is flat, with an R-Square of less than 3%. The empirical performance of the CAPM improves substantially if a measure of the return on human capital is also included when measuring the return on the aggregate wealth portfolio -- the R-Square rises to 75%. There is little evidence against the CAPM specification with this modification. It performs almost as well as the linear factor model which, following Fama and French, uses the TOPIX return and the payoffs on portfolios that capture the size and book to price effects found in the data as the three factors

Nivolumab Versus Gemcitabine or Pegylated Liposomal Doxorubicin for Patients With Platinum-Resistant Ovarian Cancer: Open-Label, Randomized Trial in Japan (NINJA)

PURPOSE: This phase III, multicenter, randomized, open-label study investigated the efficacy and safety of nivolumab versus chemotherapy (gemcitabine [GEM] or pegylated liposomal doxorubicin [PLD]) in patients with platinum-resistant ovarian cancer. MATERIALS AND METHODS: Eligible patients had platinum-resistant epithelial ovarian cancer, received ≤ 1 regimen after diagnosis of resistance, and had an Eastern Cooperative Oncology Group performance score of ≤ 1. Patients were randomly assigned 1:1 to nivolumab (240 mg once every 2 weeks [as one cycle]) or chemotherapy (GEM 1000 mg/m2 for 30 minutes [once on days 1, 8, and 15] followed by a week's rest [as one cycle], or PLD 50 mg/m2 once every 4 weeks [as one cycle]). The primary outcome was overall survival (OS). Secondary outcomes included progression-free survival (PFS), overall response rate, duration of response, and safety. RESULTS: Patients (n = 316) were randomly assigned to nivolumab (n = 157) or GEM or PLD (n = 159) between October 2015 and December 2017. Median OS was 10.1 (95% CI, 8.3 to 14.1) and 12.1 (95% CI, 9.3 to 15.3) months with nivolumab and GEM or PLD, respectively (hazard ratio, 1.0; 95% CI, 0.8 to 1.3; P = .808). Median PFS was 2.0 (95% CI, 1.9 to 2.2) and 3.8 (95% CI, 3.6 to 4.2) months with nivolumab and GEM or PLD, respectively (hazard ratio, 1.5; 95% CI, 1.2 to 1.9; P = .002). There was no statistical difference in overall response rate between groups (7.6% v 13.2%; odds ratio, 0.6; 95% CI, 0.2 to 1.3; P = .191). Median duration of response was numerically longer with nivolumab than GEM or PLD (18.7 v 7.4 months). Fewer treatment-related adverse events were observed with nivolumab versus GEM or PLD (61.5% v 98.1%), with no additional or new safety risks. CONCLUSION: Although well-tolerated, nivolumab did not improve OS and showed worse PFS compared with GEM or PLD in patients with platinum-resistant ovarian cancer

FDR-gem plus S-1 with RT for pancreatic cancer

Purpose: This study was conducted to identify the maximum-tolerated dose (MTD) of fixed-dose-rate gemcitabine (FDR-gem) administered concurrently with S-1 and radical radiation for locally advanced pancreatic cancer (LAPC) and to provide efficacy and safety data. Methods: Patients with unresectable pancreatic cancer confined to the pancreatic region were treated with FDR-gem (300-400mg/m2, 5mg/m2/min) on days 1, 8, 22, 29 and 60mg/m2 of S-1 orally on days 1-14, 22-35. A total radiation dose of 50.4 Gy (1.8 Gy/day, 28fractions) was delivered concurrently. Results: Twenty-five patients were enrolled; all were evaluable for toxicity assessment. In phase I, eight patients were treated in sequential cohorts of three to five patients per dose level. The MTD was reached at level 2, and dose-limiting toxicities were neutropenia and thrombocytopenia. The recommended doses were 300mg/m2 of gemcitabine and 60mg/m2 of S-1 daily. The overall response rate was 25% and disease control rate (partial response plus stable disease) was 92%. The progression-free survival was 11.0 months. The median overall survival and 1-year survival rate were 16.0 months and 73%, respectively. Conclusion: The combination of FDR-gem and S-1 with radiation is a feasible regimen that shows favorable antitumor activity with an acceptable safety profile in patients with LAPC

Improved stomach selectivity of gene expression following microinstillation of plasmid DNA onto the gastric serosal surface in mice

Stomach-selective gene transfer is a promising approach as a therapeutic strategy for refractory gastric diseases. In this study, we improved the stomach selectivity of gene expression following microinstillation of naked plasmid DNA (pDNA) onto the gastric serosal surface in mice. pDNA encoding firefly luciferase was used as a reporter gene. It was confirmed that the gene expression level in the stomach 6 h after gastric serosal surface microinstillation of pDNA was significantlyhigher than after intragastric, intraperitoneal and intravenous administration. Regarding selectivity ofgene expression, the gene expression level in the stomach after gastric serosal surfacemicroinstillation of 1 μg/1 μL (dose/volume) pDNA was 5.7 times higher than that in the spleen. In our previous study (30 μg/30 μL), the expression level in the stomach was 2.7 times higher than that in the spleen; therefore, the selectivity was 2.1 times higher in this study. When we investigated gene expression at various pDNA solution concentrations, the ratio of the gene expression level in the stomach to that in the spleen was the highest as 1 μg/1 μL of pDNA, which was considered the optimal concentration. Information in this study is useful for further development of target organ-selective gene delivery systems

Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange

Purpose – The purpose of this paper is to determine the best conditional asset pricing model for the Tokyo Stock Exchange sample by utilizing long-run daily data. It aims to investigate whether there are any other firm-specific variables that can explain abnormal returns of the estimated asset pricing model. Design/methodology/approach – The individual firm sample was used to conduct various cross-sectional tests of conditional asset pricing models, at the same time as using test portfolios in order to confirm the mean variance efficiency of basic unconditional models. Findings – The paper's multifactor models in unconditional forms are rejected, with the exception of the five-factor model. Further, the five-factor model is better overall than the Fama and French model and other alternative models, according to both the Gibbons, Ross, and Shanken test and the Hansen and Jagannathan distance measure test. Next, using the final conditional five-factor model as the de facto model, it was determined that the turnover ratio and the size can consistently predict Jensen's alphas. The book-to-market ratio (BM) and the past one-year returns can also significantly predict the alpha, albeit to a lesser extent. Originality/value – In the literature related to Japanese data, there has never been a comprehensive test of conditional asset pricing models using the long-run data of individual firms. The conditional asset pricing model derived for this study has led to new findings about the predictability of past one-year returns and the turnover ratio.Capital asset pricing model, Japan, Liquidity, Momentum, Portfolio management, Stock markets

Information based trade, the PIN variable, and portfolio style differences: Evidence from Tokyo stock exchange firms

We investigate whether the variables related to information based trade proposed by Easley et al. [Easley, D., Kiefer, N.M., O'Hara, M., Paperman, J.B., 1996. Liquidity, information, and infrequently traded stocks. Journal of Finance 51, 1405-1436.] help explain the daily price discovery process in an electronically order-driven market of the Tokyo Stock Exchange using the microstructure tick data. We find strong evidence that the value firms show higher probability of bad news occurrences than the growth firms. We also find that the PIN is higher for smaller firms as is the case in the U.S. With the portfolio ranking tests and the Fama and MacBeth test we find that the alpha variable, which represents the information event occurrence rate, is systematically related to required returns, while the evidence related to the PIN is weaker. In the final Fama and MacBeth test, in which the PIN or alpha variable is used as an additional explanatory variable to the benchmark Fama and French three factor model, we find that the sign of the alpha variable supports our hypothesis that the arrival of new information reduces the risk of the stock, though not significantly. We also find that the higher PIN value increases the risk of the stock, at the same time it can marginally improve the explanatory power of the multifactor model. We conclude that the PIN variable cannot be a substitutable proxy variable for the book-to-market factor unlike in the U.S., and that it is strongly related to the size variable.Information based trade Market microstructure Asymmetric information

Effects of Tax Rate Changes on the Cost of Capital: The Case of Japanese Firms

The paper studies the effects that tax rate changes have on the cost of capital when firms follow target leverage ratios. We show that changes in individual income tax rates are neutral. The focus therefore is on the effects of changes in marginal corporate tax rates. These effects are computed for Japanese firms. Special emphasis is given to changes in statutory tax rates and provisions that allow firms to carry their losses forward.cost of capital, effective marginal tax rates in Japan, Miller equilibrium, Graham's simulation method, loss carry-forward