The time-varying pricing of value and size premia in Japan

Tsuji, Chikashi

doi:https://doi.org/10.18910/24469

The time-varying pricing of value and size premia in Japan

Tsuji, Chikashi

大阪大学経済学, 2009, 58(4), 68-87

アクセス数:253件（2026-02-16 19:10 集計）

固定URL: https://doi.org/10.18910/24469

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タイトル	The time-varying pricing of value and size premia in Japan
著者	NRID 1000030367990 1000030367990 著者名 Tsuji, Chikashi
キーワード等	Conditional CAPM
	Fama–French model
	Multivariate GARCH Model
	Panel data analysis
	Time-varying price of risk
JEL分類コード (JEL)	G12
JEL分類コード (JEL)	G15
抄録	Following Fama and French’s (1996) suggestion of the equivalence of their three-factor model and established equilibrium pricing models, this paper examines whether the Fama–French small-minus-big (SMB) and high-minus-low (HML) factors mimic the state variables in Merton’s (1973) intertemporal capital asset pricing model (ICAPM).We test this equivalence for the Japanese stock market over the period 1982 to 2003 using a multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. Our direct test of the time-varying pricing of the Fama–French factors in the ICAPM finds that both SMB and HML play the role of well-priced state variables. Our findings thus support the suggestion that SMB and HML factors indeed mimic the state variables in Merton’s ICAPM in Japan.
出版者	大阪大学経済学会
	The Economic Society of Osaka University
	オオサカ　ダイガク　ケイザイ　ガッカイ
収録物名	大阪大学経済学
収録物名	Osaka Economic Papers
巻(号)	58(4)
ページ	68-87
刊行年月	2009-03
言語	英語
ハンドルURL	https://hdl.handle.net/11094/24469
DOI	https://doi.org/10.18910/24469
PISSN	04734548
NCID	AN00030111
アクセス権	open access
出版タイプ	Version of Record
カテゴリ	本学関連学会 Related Societies
カテゴリ	大阪大学経済学 / 58巻4号 (2009-03)

資源タイプ	学術雑誌論文
ローカル資源タイプ	本学関連学会
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	大阪大学経済学. 2009, 58(4), p. 68-87
DC.title	The time-varying pricing of value and size premia in Japan
DC.creator	Tsuji, Chikashi
DC.publisher	大阪大学経済学会
	The Economic Society of Osaka University
	オオサカ　ダイガク　ケイザイ　ガッカイ
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2009-03
DC.subject	Conditional CAPM
	Fama–French model
	Multivariate GARCH Model
	Panel data analysis
	Time-varying price of risk
DCTERMS.abstract	Following Fama and French’s (1996) suggestion of the equivalence of their three-factor model and established equilibrium pricing models, this paper examines whether the Fama–French small-minus-big (SMB) and high-minus-low (HML) factors mimic the state variables in Merton’s (1973) intertemporal capital asset pricing model (ICAPM).We test this equivalence for the Japanese stock market over the period 1982 to 2003 using a multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. Our direct test of the time-varying pricing of the Fama–French factors in the ICAPM finds that both SMB and HML play the role of well-priced state variables. Our findings thus support the suggestion that SMB and HML factors indeed mimic the state variables in Merton’s ICAPM in Japan.
DC.identifier	10.18910/24469
DC.format	24469
citation_title	The time-varying pricing of value and size premia in Japan
citation_author	Tsuji, Chikashi
citation_publisher	大阪大学経済学会
citation_language	英語
citation_date	2009-03
citation_journal_title	大阪大学経済学
citation_volume	58
citation_issue	4
citation_firstpage	68
citation_lastpage	87
citation_public_url	https://hdl.handle.net/11094/24469
citation_doi_detail	10.18910/24469
citation_doi	https://doi.org/10.18910/24469

The time-varying pricing of value and size premia in Japan

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