TY - JOUR
T1 - Comparing competing factor and characteristics models
T2 - Evidence in Japan
AU - Chou, Pin Huang
AU - Ko, Kuan Cheng
AU - Rhee, S. Ghon
N1 - Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/12
Y1 - 2023/12
N2 - The main purpose of this study is to simultaneously compare the explanatory abilities of various firm characteristics and factor models in the Japanese stock market. We show that the factor models developed by Fama and French (1993, 2015, 2018), Carhart (1997), and Hou et al. (2015) all fail to be priced in Japan. In addition, value and operating profitability anomalies are prevalent in Japan, while size, investment, and momentum effects are not. Our findings are in line with what is indicated in the existing literature: the characteristics model associated with value and operating profitability better describes the cross-sectional variations of stock returns than factor models in Japan.
AB - The main purpose of this study is to simultaneously compare the explanatory abilities of various firm characteristics and factor models in the Japanese stock market. We show that the factor models developed by Fama and French (1993, 2015, 2018), Carhart (1997), and Hou et al. (2015) all fail to be priced in Japan. In addition, value and operating profitability anomalies are prevalent in Japan, while size, investment, and momentum effects are not. Our findings are in line with what is indicated in the existing literature: the characteristics model associated with value and operating profitability better describes the cross-sectional variations of stock returns than factor models in Japan.
KW - Asset pricing anomalies
KW - Asset pricing models
KW - Errors-in-variables bias
KW - Instrumental variables
KW - Japanese market
UR - http://www.scopus.com/inward/record.url?scp=85173284023&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2023.102179
DO - 10.1016/j.pacfin.2023.102179
M3 - 期刊論文
AN - SCOPUS:85173284023
SN - 0927-538X
VL - 82
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
M1 - 102179
ER -