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

A. A. Azeez, Yasuhiro Yonezawa

研究成果: Article

13 引用 (Scopus)

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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.

元の言語English
ページ(範囲)568-591
ページ数24
ジャーナルJapan and the World Economy
18
発行部数4
DOI
出版物ステータスPublished - 2006 12

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ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

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