Financial sector risk and the stock returns: Evidence from Tokyo stock exchange firms

Keiichi Kubota, Hitoshi Takehara

研究成果: Article

8 引用 (Scopus)

抄録

We investigate whether the activity of financial firms creates value and/ or risk to the economy within the asset pricing framework. We use stock return data from nonfinancial firms listed in the first section of the Tokyo Stock Exchange. The value-weighted index that is solely composed of nonfinancial firms is augmented with the index of the firms from the financial sector, and we estimate multivariate asset pricing model with these two indices. We note that our procedure can simultaneously take into account the cross-holding phenomena among Japanese firms, especially between the financial sector and the nonfinancial sector. Our augmented index model performs well both with cross-sectional Fama and MacBeth regression test and GMM test. Our two index model with additional Fama and French's HML factor can capture cross-sectional variations of the returns of sample portfolios better than the original Fama and French model can, when measured by Hansen and Jagannathan distance measure. We find that this additional new sector variable can be a substitute for Fama and French's size factor, but not related to the bond index return. This variable has similar factor characteristic as money supply growth or the term structure, but the latter variables contain more information than the former. Morever, our financial sector model helps explain the return and risk structure of Japanese firms during the so-called "bubble" period.

元の言語English
ページ(範囲)1-28
ページ数28
ジャーナルAsia-Pacific Financial Markets
10
発行部数1
DOI
出版物ステータスPublished - 2003 3
外部発表Yes

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Tokyo Stock Exchange
Stock returns
Financial sector
Factors
Japanese firms
Index model
Asset pricing
Cross-holdings
Bubble
Firm value
Term structure
Distance measure
Substitute
Money supply
Risk and return
Asset pricing models

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

これを引用

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