| 来源类型 | Working papers |
| 规范类型 | 论文 |
| DOI | 10.3929/ethz-a-007207603 |
| Common risk factors and the macroeconomy: New evidence from the Japanese stock market | |
| Bretschger, Lucas; Lechthaler, Filippo | |
| 发表日期 | 2012-04 |
| 出版者 | ETH Zurich, Center of Economic Research (CER-ETH) |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We nd that the CAPM model is not an adequate approach for the Japanese market. The Carhart model performs reasonably well but fails to reject the null hypothesis of a zero intercept for the full period. Extended tests reveal a structural change in asset prices in the year 1998. When separating the sample into two periods, the standard four factor model explains market returns much better. We show that the relation between stock returns and risk factors is affected by macroeconomic conditions, especially when considering the momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the macroeconomic development, which is especially important for countries and time periods with a sluggish economy. |
| 主题 | Risk factors ; Value ; Size ; Momentum ; Japanese stocks ; Macroeconomic conditions ; Structural break |
| URL | https://www.research-collection.ethz.ch/handle/20.500.11850/59018 |
| 来源智库 | Centre for Energy Policy and Economics (Switzerland) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/266702 |
| 推荐引用方式 GB/T 7714 | Bretschger, Lucas,Lechthaler, Filippo. Common risk factors and the macroeconomy: New evidence from the Japanese stock market. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| eth-5511-01.pdf（1472KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
| eth-5511-01.jpg（3KB） | 智库出版物 | 限制开放 | CC BY-NC-SA |  浏览 | ||
| 文件名： | eth-5511-01.jpg |
| 格式： | JPEG |
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