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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

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