The Limits of Standard Risk and Macroeconomic Factors in Explaining the Return Premia: Evidence from the Tokyo Stock Exchange
The Limits of Standard Risk and Macroeconomic Factors in Explaining the Return Premia: Evidence from the Tokyo Stock Exchange
复制标题
标准风险和宏观经济因素在解释回报溢价时的局限性：来自东京证券交易所的证据
DOI：
10.5539/ibr.v3n1p80
复制
发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Chikashi Tsuji
中科院分区：
文献类型：
--
作者：
Chikashi Tsuji
本文检验了标准金融中提出的各种因素是否能够解释日本基于规模和账面权益比(BE/ME)形成的投资组合的超额收益。首先，我们发现，与美国不同的是，有五个风险因素，包括三个法马-法国因素和Chan等人的势头和反转因素。(1998,2001)，不能充分解释日本的回报溢价。也就是说，根据规模和BE/ME比率形成的所有25个Fama？French(1996)型投资组合的超额收益都出现了统计上显著的正阿尔法。第二，陈等人具有代表性的宏观经济因素。(1986)不能解释这五个风险因素没有解释的积极阿尔法。第三，这五个风险因素没有解释的阿尔法与陈等人具有代表性的宏观经济因素之间不仅几乎没有同期关系。(1986)，但也几乎没有证据表明这些宏观经济因素与阿尔法之间有任何因果关系。因此，对日本而言，与美国不同，众所周知的风险因素和宏观经济因素不能充分解释回报溢价。
This paper examines whether various factors suggested in standard finance can explain the excess returns of portfolios formed on size and book-equity-to-market equity (BE/ME) in Japan. First, we find that, unlike for the US, five risk factors, comprising the three Fama?French factors and the momentum and reversal factors of Chan et al. (1998, 2001), cannot adequately explain the return premia in Japan. Namely, statistically significant positive alphas were observed for the excess returns of all 25 Fama?French (1996) type portfolios, formed on the basis of size and BE/ME ratios. Second, the representative macroeconomic factors of Chen et al. (1986) cannot explain the positive alphas left unexplained by the five risk factors. Third, not only is there little contemporaneous relationship between the alphas left unexplained by the five risk factors and the representative macroeconomic factors of Chen et al. (1986) but also there is little evidence of any causal relationship between these macroeconomic factors and the alphas. Thus, for Japan, unlike for the US, well-known risk factors and macroeconomic factors cannot adequately explain the return premia.
DOI：
10.2139/ssrn.297319
发表时间：
2004-04
期刊：
Derivatives
影响因子：
--
作者：
Maria Vassalou;Yuhang Xing
通讯作者：
Maria Vassalou;Yuhang Xing