New Evidence on Risk Factors, Characteristics and the Cross-Sectional Variation of Japanese Stock Returns
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DOI: 10.1007/s10690-009-9085-5
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Cited by:
- Lucas Bretschger & Filippo Lechthaler, 2012. "Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market," CER-ETH Economics working paper series 12/160, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- Phan Tran Minh Hung & Tran Thi Trang Dai & Phan Nguyen Bao Quynh & Le Duc Toan & Vo Hoang Diem Trinh, 2019. "The Relationship between Risk and Return - An Empirical Evidence from Real Estate Stocks Listed in Vietnam," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(11), pages 1211-1226, November.
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Keywords
Fama and French factors; Generalized method of moments (GMM); Characteristic model; Factor model;All these keywords.
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