Testing the Ex Ante Relationship between Asset and Investment Returns in Japan: An Application of the P-CAPM to Japanese Asset Returns
AbstractThis article provides an empirical investigation into the validity of the production-based capital asset-pricing model (P-CAPM) in the Japanese asset markets during the period 1980-97. Several methodologies are used to test the P-CAPM, which include the generalized method of moments (GMM) test of the Euler equations, the volatility bound test, the mispricing test, and the test of the ability of stock and investment returns to forecast future economic activity. The empirical results basically support the P-CAPM. For example, the GMM test of the Euler equations strongly favors the P-CAPM in terms of the statistical significance level of the estimated parameter and the overidentification test. In addition, statistical inference of the volatility bound test cannot significantly reject the P-CAPM. On the other hand, the estimation result of the mispricing coefficients suggests that the so-called risk- free rate puzzle is a more significant phenomenon than the so-called equity premium puzzle in Japan during this period.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Institute for Monetary and Economic Studies, Bank of Japan in its journal Monetary and Economic Studies.
Volume (Year): 18 (2000)
Issue (Month): 1 (May)
Contact details of provider:
Postal: 2-1-1 Nihonbashi, Hongoku-cho, Chuo-ku, Tokyo 103
Web page: http://www.imes.boj.or.jp/
More information through EDIRC
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kinken).
If references are entirely missing, you can add them using this form.