Does the Fama and French Five-Factor Model Work Well in Japan?

Keiichi Kubota, Hitoshi Takehara

研究成果: Article査読

33 被引用数 (Scopus)

抄録

In this study, we investigate whether the five-factor model by Fama and French (2015) explains well the pricing structure of stocks with long-run data for Japan. We conduct standard cross-section asset pricing tests and examine the additional explanatory power of the new Fama and French factors; robust-minus-weak profitability factor and conservative-minus-aggressive investment factor. We find that robust-minus-weak and the conservative-minus-aggressive factors are not statistically significant when we conduct generalized method of moments (GMM) tests with the Hansen–Jagannathan distance measure. Thus, we conclude that the original version of the Fama and French five-factor model is not the best benchmark pricing model for Japanese data during our sampling period from the year 1978 to the year 2014.

本文言語English
ページ(範囲)137-146
ページ数10
ジャーナルInternational Review of Finance
18
1
DOI
出版ステータスPublished - 2018 3

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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