Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market

A. A. Azeez; Yasuhiro Yonezawa

doi:10.1016/j.japwor.2005.05.001

Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market

A. A. Azeez, Yasuhiro Yonezawa^*

^*Corresponding author for this work

Graduate School of Business and Finance

Research output: Contribution to journal › Article › peer-review

22 Citations (Scopus)

Abstract

This paper investigates the empirical evidence of the pricing of macroeconomic factors in the Japanese stock market during the bubble period using Arbitrage Pricing Theory (APT) model. We also examine pre- and post-bubble periods in order to compare the robustness of priced factors over the bubble period. We find that the empirical content of the APT, namely the implied across-equation pricing restrictions, is not rejected in any of the sample period.

Original language	English
Pages (from-to)	568-591
Number of pages	24
Journal	Japan and The World Economy
Volume	18
Issue number	4
DOIs	https://doi.org/10.1016/j.japwor.2005.05.001
Publication status	Published - 2006 Dec

Keywords

APT
Bubble
SUR

ASJC Scopus subject areas

Finance
Economics and Econometrics
Political Science and International Relations

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10.1016/j.japwor.2005.05.001

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Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market

Abstract

Keywords

ASJC Scopus subject areas

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