TSE Cash Markets
Outline of the JPX Prime 150 Index, a New Index Focusing on Value Creation
JPX
In consideration of the investment needs corresponding to the new market segmentation, we have been preparing to offer a new index that takes into account the functionality of the new market segment as an investment universe. *1
We are pleased to announce that we have compiled the outline of the “JPX Prime 150 Index,” a new index for stocks listed on the Tokyo Stock Exchange (TSE) Prime Market that selects stocks with a focus on value creation, as you will see below.
We will proceed with the detailed design, taking into account the opinions of market participants, etc., and plan to start calculation on Monday, July 3, 2023.
*1 The initial consideration of this new index was introduced in the announcement regarding the start of real-time calculation of market-specific indices (May 11, 2022).
Purpose of JPX Prime 150 Index Development
Recently, there has been increasing attention paid to the status of value creation by Japanese companies. For example, only about half of the listed companies in TSE Prime Market have a PBR (price book value ratio) exceeding 1x, which represents expectations of future value creation.
In light of these circumstances, we have decided to develop a new stock price index which will be composed of stocks selected to represent “Japanese companies that are estimated to create value” from among the top-ranked stocks listed on TSE Prime Market by market capitalization based on two measures of value creation: 1) equity spread*2, the difference between ROE (return on equity) and cost of equity, and 2) PBR, a market valuation based on stock price.
The JPX Prime 150 Index is designed to make visible the leading Japanese companies that are estimated to create value, and to make the index and its constituent stocks the target of medium- to long-term investment by institutional and individual investors in Japan and abroad, thereby contributing to the penetration of value-creating management and the enhancement of the appeal of the Japanese stock market.
*2 This is calculated by subtracting the cost of shareholders’ equity from ROE (return on equity). The CAPM (Capital Asset Pricing Model) is used to calculate the cost of shareholders’ equity.
For more : https://www.jpx.co.jp/english/corporate/news/news-releases/0060/20230330-01.html
