Does the Fama and French Five-Factor Model Work Well in Japan?

被引:52
作者
Kubota, Keiichi [1 ]
Takehara, Hitoshi [2 ]
机构
[1] Chuo Univ, Grad Sch Strateg Management, Tokyo, Japan
[2] Waseda Univ, Grad Sch Business & Finance, 1-6-1 Shinjyuku Ku, Tokyo 1698050, Japan
关键词
RISK; RETURN;
D O I
10.1111/irfi.12126
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In this study, we investigate whether the five-factor model by Fama and French (2015) explains well the pricing structure of stocks with long-run data for Japan. We conduct standard cross-section asset pricing tests and examine the additional explanatory power of the new Fama and French factors; robust-minus-weak profitability factor and conservative-minus-aggressive investment factor. We find that robust-minus-weak and the conservative-minus-aggressive factors are not statistically significant when we conduct generalized method of moments (GMM) tests with the Hansen-Jagannathan distance measure. Thus, we conclude that the original version of the Fama and French five-factor model is not the best benchmark pricing model for Japanese data during our sampling period from the year 1978 to the year 2014.
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页码:137 / 146
页数:10
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