An Investigation of the Value Premium: The Case of Large Value Firms in Japan
Chikashi TSUJI

Abstract
We examine the existence of the value premium in the returns of the value industry index for large firms in Japan. This paper’s contributions are first, we statistically found that the value premium existed in the returns of the Russell-Nomura overall index for large firms from July 2001 to March 2012. Second, we also clarified that out of 29 Russell-Nomura large-size industry indices, 20 industries had the value premium for July 2001 to March 2012. Further, we empirically demonstrated that through all our three sub-periods, in four industries of Foods, Pharmaceutical, Transportation Equipments, and Wholesale Trade, the value premium existed. Finally, we further clarified that after the US Lehman Shock, the value premium still existed in 17 index returns out of 29 Russell-Nomura large-size industry index returns.

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