Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models
Fig 3
Realized excess returns versus fitted values for 25 portfolios P/CF-DY.
The figure depicts 25 portfolios P/CF-DY using a code with two numbers, the first number being the P/CF ratio code (with 1 representing a low ratio and 5 a high ratio) and the second number being the DY code (with 1 representing a low ratio and 5 a high ratio). The closer the portfolios are to the 45 degrees axis, the better the fit produced by the model.