The Securities Analysts Association of Japan (SAAJ) announced that the following two articles won the Securities Analysts Journal Prize for 2022:

  1. Investors' Unrealized Gains and Losses, and the Low-volatility Anomaly
    - Taketo Usui, CMA

The author examines the relationship between unrealized gains and losses held by investors and the low-volatility anomaly in the Japanese stock market. When he measured unrealized gains and losses based on capital gain overhang (CGO), he found that there were more stocks with unrealized losses than the return distribution of individual stocks indicated. The relationship between stock price volatility and future stock returns was negative for stocks with unrealized losses but positive for stocks with unrealized gains. These results can be interpreted as the influence of psychological biases derived from prospect theory. To read this article, click here.

  1. Are Earnings Announcements More Important Than Other Corporate Information?
    - Junko Jinushi

The purpose of this paper is to determine whether earnings announcements are an important information source compared to other publicly available information (management forecasts, analyst forecasts, securities reports, timely and voluntary disclosure documents, and disclosure documents under the Financial Instruments and Exchange Act). The results indicate that earnings announcements are an important information source for investors and securities analysts because they provide useful information for investment decisions on a regular basis. The results of this paper have implications for the policy evaluation of quarterly disclosure and the simplification of earnings announcements. To read this article, click here.

To read the previous Securities Analysts Journal Prize-winning articles, please visit here. 

To read the monthly focus and abstracts of the Securities Analysts Journal, please visit here.




Contact ACIIA if you have any questions by filling out the contact form by clicking on the contact button