Abstract
The present paper is an empirical test of the Sharpe-Lintner-Mossin model of the CAPM based on a modified version of Gibbons' methodology. We use the rates of return of the data listed in the first section of the Tokyo Stock Exchange. The monthly data on the rates of return from January 1952 to December 1986 was divided into seven five year periods. At 5% significance level the null hypothesis is rejected for all 7 sub-periods in the Alpha sorted portfolios. In the Beta sorted portfolios, the null hypothesis is rejected for three sub-periods. It is concluded that the lack of diversification is the main reason for the invalidity of the CAPM in the Japanese stock market.
| Original language | English |
|---|---|
| Pages (from-to) | 145-161 |
| Number of pages | 17 |
| Journal | Japan and the World Economy |
| Volume | 4 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1992 |
| Externally published | Yes |
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Keywords
- Beta sorted portfolios
- Capital asset pricing
- multivariate test
ASJC Scopus subject areas
- Economics and Econometrics
- Finance
Cite this
An empirical test of the CAPM on the stocks listed on the Tokyo stock exchange. / Yonezawa, Yasuhiro; Hin, Tio Kia.
In: Japan and the World Economy, Vol. 4, No. 2, 1992, p. 145-161.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - An empirical test of the CAPM on the stocks listed on the Tokyo stock exchange
AU - Yonezawa, Yasuhiro
AU - Hin, Tio Kia
PY - 1992
Y1 - 1992
N2 - The present paper is an empirical test of the Sharpe-Lintner-Mossin model of the CAPM based on a modified version of Gibbons' methodology. We use the rates of return of the data listed in the first section of the Tokyo Stock Exchange. The monthly data on the rates of return from January 1952 to December 1986 was divided into seven five year periods. At 5% significance level the null hypothesis is rejected for all 7 sub-periods in the Alpha sorted portfolios. In the Beta sorted portfolios, the null hypothesis is rejected for three sub-periods. It is concluded that the lack of diversification is the main reason for the invalidity of the CAPM in the Japanese stock market.
AB - The present paper is an empirical test of the Sharpe-Lintner-Mossin model of the CAPM based on a modified version of Gibbons' methodology. We use the rates of return of the data listed in the first section of the Tokyo Stock Exchange. The monthly data on the rates of return from January 1952 to December 1986 was divided into seven five year periods. At 5% significance level the null hypothesis is rejected for all 7 sub-periods in the Alpha sorted portfolios. In the Beta sorted portfolios, the null hypothesis is rejected for three sub-periods. It is concluded that the lack of diversification is the main reason for the invalidity of the CAPM in the Japanese stock market.
KW - Beta sorted portfolios
KW - Capital asset pricing
KW - multivariate test
UR - http://www.scopus.com/inward/record.url?scp=50749133266&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=50749133266&partnerID=8YFLogxK
U2 - 10.1016/0922-1425(92)90015-I
DO - 10.1016/0922-1425(92)90015-I
M3 - Article
AN - SCOPUS:50749133266
VL - 4
SP - 145
EP - 161
JO - Japan and the World Economy
JF - Japan and the World Economy
SN - 0922-1425
IS - 2
ER -