Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach

23 Pages Posted: 19 Feb 2003

See all articles by W. M. van den Bergh

W. M. van den Bergh

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Erasmus Research Institute of Management (ERIM)

Onno W. Steenbeek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); APG All Pensions Group

J. van den Berg

Delft University of Technology, Faculty of Technology, Policy and Management, Section of ICT

Date Written: 15 2002 3,

Abstract

In this article, we demonstrate that a direct relation exists between the context of Japanese firms indicating relative distress and conditional return distribution properties. We map cross-sectional vectors with company characteristics on vectors with return feature vectors, using a fuzzy identification technique called Competitive Exception Learning Algorithm (CELA)1. In this study we use company characteristics that follow from capital structure theory and we relate the recognized conditional return properties to this theory. Using the rules identified by this mapping procedure this approachenables us to make conditional predictions regarding the probability of a stock's or a group of stocks' return series for different return distribution classes (actually return indices). Using these findings, one may construct conditional indices that may serve as benchmarks. These would be particularly useful for tracking and portfolio management.

Keywords: capital structure, asset pricing, conditional return distribution, fuzzy systems, heuristic learning

JEL Classification: M, G3, G12

Suggested Citation

van den Bergh, W. M. and Steenbeek, Onno W. and van den Berg, J., Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach (15 2002 3,). Available at SSRN: https://ssrn.com/abstract=370980

W. M. Van den Bergh

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

Burgemeester Oudlaan 50
3062 PA Rotterdam, NL 3062 PA
Netherlands

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Onno W. Steenbeek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

Dept. of Finance, H14-1
P.O. Box 1738
3000 DR Rotterdam, 3000DR
Netherlands
+31-10-4081400 (Phone)
+31-10-4089165 (Fax)

HOME PAGE: http://people.few.eur.nl/steenbeek/

APG All Pensions Group ( email )

Gustav Mahlerplein 3
P.O. Box 75283
1070 AG Amsterdam
Netherlands
+31-20-6049122 (Phone)
+31-20-4059176 (Fax)

HOME PAGE: http://www.apg.nl

J. Van den Berg (Contact Author)

Delft University of Technology, Faculty of Technology, Policy and Management, Section of ICT ( email )

P.O. Box 5015
2600 GB Delft
Netherlands

HOME PAGE: http://tbm.tudelft.nl/index.php?id=30084&L=1

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