Title page for 93428012


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Student Number 93428012
Author Szu-Tsen Kuo()
Author's Email Address No Public.
Statistics This thesis had been viewed 2328 times. Download 11 times.
Department Finance
Year 2005
Semester 2
Degree Master
Type of Document Master's Thesis
Language English
Title Characteristics vs. Alternative Factor Specifications: Evidence from Japan
Date of Defense 2006-06-05
Page Count 31
Keyword
  • Characteristic
  • Factor
  • Individual Cross-Sectional Regression
  • Japanese Evidence
  • Abstract We explore the relation between stock returns and security characteristics including firm size, the book-to-market ratio, trading volume, stock price, dividend yield, and lagged returns in the Japanese market. The size effect is asymmetric in the up-and-down market conditions, can be explained by the extreme observations and is related to the low price effect. The book-to-market ratio effect is consistently strong in the bull market and in the bear market. There is weak evidence for return reversals in the short term within six months and in the long term beyond one year. In addition, we determine whether characteristics have incremental explanatory power for the arbitrage pricing theory benchmark with factors using the Connor and Korajczyk (CK, 1988) and Fama and French (FF, 1992) approaches. Fama-MacBeth regressions provide evidence of book-to-market effect and other characteristic effects even after accounting for either the CK or the FF factors. It implies either the CK factors or the FF factors can not describe the stock returns in the Japanese market perfectly. 
    Table of Content I. Introduction ...................................................................................... 1
    II. Methodology...................................................................................... 4
    III. Data Description and Variables Definition .................................... 8
    IV. Results.............................................................................................. 10
    1. Results of Excess Returns................................................................................ 10
    2. Results of risk-adjusted returns using CK and FF factor model..................... 12
    V. Robustness checks .......................................................................... 14
    References ............................................................................................... 18
    Appendix: Estimation Procedures in Details....................................... 20
    1. CK factors formation....................................................................................... 20
    2. FF factors formation ....................................................................................... 20
    3. Factor loadings estimation.............................................................................. 21
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    Advisor
  • Pin-Huang Chou(P)
  • Wei-Cheng Miao([)
  • Files
  • 93428012.pdf
  • disapprove authorization
    Date of Submission 2006-06-14

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