Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market

A. A. Azeez, Yasuhiro Yonezawa

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13 Citations (Scopus)

Abstract

This paper investigates the empirical evidence of the pricing of macroeconomic factors in the Japanese stock market during the bubble period using Arbitrage Pricing Theory (APT) model. We also examine pre- and post-bubble periods in order to compare the robustness of priced factors over the bubble period. We find that the empirical content of the APT, namely the implied across-equation pricing restrictions, is not rejected in any of the sample period.

Original languageEnglish
Pages (from-to)568-591
Number of pages24
JournalJapan and The World Economy
Volume18
Issue number4
DOIs
Publication statusPublished - 2006 Dec 1

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Keywords

  • APT
  • Bubble
  • SUR

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

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