Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?
利用日本股市数据，检验股票回报溢价是由特征还是因子协方差驱动，结果拒绝了Fama-French三因子模型，但未拒绝特征模型。
ABSTRACT Japanese stock returns are even more closely related to their book‐to‐market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated with these characteristics arise because the characteristics are proxies for covariance with priced factors. Our tests, which replicate the Daniel and Titman (1997) tests on a Japanese sample, reject the Fama and French (1993) three‐factor model, but fail to reject the characteristic model.