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Japanese stock returns and investment: A test of production-based asset pricing model

✍ Scribed by Keiichi Hori

Book ID
114293822
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
1008 KB
Volume
9
Category
Article
ISSN
0922-1425

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## Abstract We analyse the ability of the conditional asset pricing models to explain the cross‐sectional variation in UK stock returns. We examine conditional versions of the Sharpe‐Linter CAPM and the Fama‐French three‐factor model. The results indicate that the conditional single‐factor model is