Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
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References listed on IDEAS
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More about this item
KeywordsRisk factors; value; size; momentum; Japanese stocks; macroeconomic conditions; structural break;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G01 - Financial Economics - - General - - - Financial Crises
- C89 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-02 (All new papers)
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