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dc.contributor.author
Bretschger, Lucas
dc.contributor.author
Lechthaler, Filippo
dc.date.accessioned
2019-05-27T08:29:39Z
dc.date.available
2017-06-10T11:27:51Z
dc.date.available
2017-11-15T13:57:09Z
dc.date.available
2019-05-27T08:29:39Z
dc.date.issued
2012-04
dc.identifier.uri
http://hdl.handle.net/20.500.11850/59018
dc.identifier.doi
10.3929/ethz-a-007207603
dc.description.abstract
Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We nd that the CAPM model is not an adequate approach for the Japanese market. The Carhart model performs reasonably well but fails to reject the null hypothesis of a zero intercept for the full period. Extended tests reveal a structural change in asset prices in the year 1998. When separating the sample into two periods, the standard four factor model explains market returns much better. We show that the relation between stock returns and risk factors is affected by macroeconomic conditions, especially when considering the momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the macroeconomic development, which is especially important for countries and time periods with a sluggish economy.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
ETH Zurich, Center of Economic Research (CER-ETH)
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Risk factors
en_US
dc.subject
Value
en_US
dc.subject
Size
en_US
dc.subject
Momentum
en_US
dc.subject
Japanese stocks
en_US
dc.subject
Macroeconomic conditions
en_US
dc.subject
Structural break
en_US
dc.title
Common risk factors and the macroeconomy: New evidence from the Japanese stock market
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2012
ethz.journal.title
Economics Working Paper Series
ethz.journal.volume
12/160
en_US
ethz.size
27 p.
en_US
ethz.code.ddc
3 - Social sciences::330 - Economics
en_US
ethz.code.ddc
5 - Science::510 - Mathematics
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G12 - Asset Pricing; Trading Volume; Bond Interest Rates
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G15 - International Financial Markets
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G0 - General::G01 - Financial Crises
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C8 - Data Collection and Data Estimation Methodology; Computer Programs::C89 - Other
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03635 - Bretschger, Lucas / Bretschger, Lucas
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02045 - Dep. Geistes-, Sozial- u. Staatswiss. / Dep. of Humanities, Social and Pol.Sc.
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03635 - Bretschger, Lucas / Bretschger, Lucas
ethz.date.deposited
2017-06-10T11:29:57Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366b231f40331463
ethz.identifier.importid
imp59365007ac5b685536
ethz.ecolpid
eth:5511
ethz.ecitpid
pub:94324
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-15T10:56:49Z
ethz.rosetta.lastUpdated
2019-05-27T08:29:50Z
ethz.rosetta.exportRequired
false
ethz.rosetta.versionExported
true
ethz.COinS
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