The Stock Return and Macroeconomic Forces in Japan

• Main Authors: Wei-tai Huang, 黃維泰
• Other Authors: 何耕宇
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/43561759116575712021

碩士 === 國立中央大學 === 財務金融研究所 === 95 === This study follows Fama and MacBeth (1973)’s cross-sectional approach to analyze the macroeconomic variables which can be priced in Japanese market. The study forms the portfolios in two ways (twenty size portfolios and twenty-five portfolios by size and BM ratio) and adopts two kinds of methods for estimation period. The period of the study is from January 1984 to December 2003. Our main results find some variables (industrial production, term spread and change in exchange rate) are significant in Japanese market. Furthermore, we separate the period into two sections. The results show that being consistent with our assumption, the macroeconomic variables lose their efficacy during recession period. Finally, the most important finding is that the results are consistent with the finding of Shanken and Weinstein (2005), which suggest that the empirical results are sensitive to alternative empirical approach.