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An Empirical Review of Asset Pricing Models for the Japanese Share Market

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  • Brooke Maeda

Abstract

This paper conducts an empirical review of asset pricing models for the Japanese share market. Researchers are continually attempting to describe a model which explains share returns and share anomalies more accurately. This paper reviews financial literature which applies the most common models to the Japanese share market and analyzes their robustness. Based on the performance of the four models, the characteristics which appear to be significant to the Japanese share market are discussed.

Suggested Citation

  • Brooke Maeda, 2016. "An Empirical Review of Asset Pricing Models for the Japanese Share Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(11), pages 155-155, November.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:11:p:155
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    References listed on IDEAS

    as
    1. Yonezawa, Yasuhiro & Hin, Tio Kia, 1992. "An empirical test of the CAPM on the stocks listed on the Tokyo stock exchange," Japan and the World Economy, Elsevier, vol. 4(2), pages 145-161, September.
    2. Novy-Marx, Robert, 2013. "The other side of value: The gross profitability premium," Journal of Financial Economics, Elsevier, vol. 108(1), pages 1-28.
    3. Titman, Sheridan & Wei, K. C. John & Xie, Feixue, 2004. "Capital Investments and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(4), pages 677-700, December.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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