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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63816


    Title: Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan
    Authors: 周賓凰;柯冠成;郭思岑;林信助
    Contributors: 國貿系
    Keywords: Factors;Characteristics;Asset-pricing anomalies;Fama-MacBeth cross-sectional regression;Least-trimmed squares
    Date: 2012-03
    Issue Date: 2014-02-13 11:14:17 (UTC+8)
    Abstract: Based on the errors-in-variables-free approach proposed by Brennan et al. [J. Financial Econ., 1998, 49, 345–373], we investigate the competing explanatory capabilities of alternative multi-factor models when examining various asset-pricing anomalies using Japanese data for the period 1978–2006. We find that turnover and book-to-market (BM) ratio are the two major characteristics that significantly explain the average stock returns. A further sub-period analysis reveals that the 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.
    Relation: Quantitative Finance, 12(3), 369-382
    Data Type: article
    DOI link: http://dx.doi.org/10.1080/14697688.2010.498429
    DOI: 10.1080/14697688.2010.498429
    Appears in Collections:[Department of International Business ] Periodical Articles

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