政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/63816

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109948/140897 (78%)
Visitors : 46075069 Online Users : 691

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/63816

Please use this identifier to cite or link to this item: https://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 連結:	http://dx.doi.org/10.1080/14697688.2010.498429
DOI:	10.1080/14697688.2010.498429
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

Files in This Item:

File	Description	Size	Format
369382.pdf		200Kb	Adobe PDF2	1177	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...