Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market |
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Authors: | AA Azeez Yasuhiro Yonezawa |
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Institution: | aFaculty of Management and Finance, University of Colombo, Colombo, Sri Lanka;bGraduate School of Finance, Accounting and Law, Waseda University, Tokyo, Japan |
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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. |
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Keywords: | APT Bubble SUR |
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