Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan

ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 > Item 310904400/38934

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://asiair.asia.edu.tw/ir/handle/310904400/38934

题名:	Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan
作者:
贡献者:	National Central University National Chi Nan University National Chengchi University
关键词:	factors;characteristics;asset-pricing anomalies;Fama-MacBeth cross-sectional regression;least-trimmed squares
日期:	2010
上传时间:	2013-07-26 03:38:20 (UTC+0)
出版者:	National Central University National Chi Nan University National Chengchi University
摘要:	Based on an errors-in-variables-free approach proposed by Brennan, Chordia, and Subrahmanyam (1998), we investigate the competing explanatory abilities of alternative multi-factor models in examining various asset-pricing anomalies using Japanese data over 1978-2006. Surprisingly, we find that turnover and BM are the two major characteristics that significantly explain the average stock returns. A further subperiod analysis reveals that turnover effect is significant only before 1990, but cannot be explained by any multifactor models. In contrast, the BM premium is significant only after 1990, and can be explained by the Fama-French three-factor model. Thus, the results suggest that asset-pricing anomalies documented in the literature are not universal, and may be different across different markets.
關聯:	2010中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

文件中的档案:

没有与此文件相关的档案.

在ASIAIR中所有的数据项都受到原著作权保护.