Kenneth R. French

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Tel: 603/643-5750
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: Dartmouth College

NBER Working Papers and Publications

March 1991Japanese and U.S. Cross-Border Common Stock Investments
with James M. Poterba: r1537

Published: Journal of the Japanese and International Economies, Vol. 4, pp. 476-493, ( 1990).

January 1991Investor Diversification and International Equity Markets
with James M. Poterba: w3609
The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper, we construct new estimates of the international equity portfolio holdings of investors in the U.S., Japan, and Britain. More than 98% of the equity portfolio of Japanese investors is held domestically; the analogous percentages are 94% for the U.S., and 82% for Britain. We use a simple model of investor preferences and behavior to show that current portfolio patterns imply that investors in each nation expect returns in their domestic equity market to be several hundred basis points higher than returns in other markets. This lack of diversification appears to be the result of investor choices, rather than institu...


March 1990Were Japanese Stock Prices Too High?
with James M. Poterba: w3290
The difference between reported price-earnings ratios in the United States and Japan is not as puzzling as it appears at first glance. Nearly half the disparity is caused by differences in accounting practices with respect to consolidation of earnings from subsidiaries and depreciation of fixed assets. If Japanese firms used U.S. accounting rules, we estimate that the P/E ratio for the Tokyo Stock Exchange would have been 32.1, not the reported 54.3, at the end of 1988. Accounting differences are unable, however, to explain the sharp rise in the Japanese stock market during the mid-1980s. Changes in required returns on equities, or in investor expectations of future growth for Japanese firms, must be invoked to explain this phenomenon. Real interest rates declined during the period of rapi...

Published: Journal of Financial Economics, Vol. 29, (October 1991), 37-364 citation courtesy of

1988Crash Testing the Efficient Market Hypothesis
in NBER Macroeconomics Annual 1988, Volume 3, Stanley Fischer, editor
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