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

Citations

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Cited by:

  1. Shimizu, Hidehiko & Shiohama, Takayuki, 2020. "Constructing inverse factor volatility portfolios: A risk-based asset allocation for factor investing," International Review of Financial Analysis, Elsevier, vol. 68(C).
  2. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
  3. Ekinci, Cumhur & Bulut, Ali Eray, 2021. "Google search and stock returns: A study on BIST 100 stocks," Global Finance Journal, Elsevier, vol. 47(C).
  4. Hidehiko Shimizu & Takayuki Shiohama, 2019. "Multifactor Portfolio Construction by Factor Risk Parity Strategies: An Empirical Comparison of Global Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 453-477, December.
  5. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
  6. Hiroki, Takashi & Iwatsubo, Kentaro & Watkins, Clinton, 2022. "Does firm-level productivity predict stock returns?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  7. Francesco Cesarone & Raffaello Cesetti & Giuseppe Orlando & Manuel Luis Martino & Jacopo Maria Ricci, 2022. "Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution," Mathematics, MDPI, vol. 11(1), pages 1-20, December.
  8. Aysenur Tarakcioglu Altinay & Mesut Dogan & Bilge Leyli Demirel Ergun & Sevdie Alshiqi, 2023. "The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 3-21.
  9. Jonathan Peillex & Sabri Boubaker & Breeda Comyns, 2021. "Does It Pay to Invest in Japanese Women? Evidence from the MSCI Japan Empowering Women Index," Journal of Business Ethics, Springer, vol. 170(3), pages 595-613, May.
  10. Muhammad Adnan Arshad & Saira Munir & Bashir Ahmad & Muhammad Waseem, 2019. "Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-16, June.
  11. Molero-González, L. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & García-Medina, A., 2023. "Market Beta is not dead: An approach from Random Matrix Theory," Finance Research Letters, Elsevier, vol. 55(PA).
  12. Li, Zhuolei & Diao, Xundi & Wu, Chongfeng, 2022. "The influence of mobile trading on return dispersion and herding behavior," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  13. Koichiro Moriya & Akihiko Noda, 2022. "Time Instability of the Fama-French Multifactor Models: An International Evidence," Papers 2208.01270, arXiv.org, revised Jun 2024.
  14. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Post-Print hal-01878923, HAL.
  15. Satoru Yamaguchi, 2021. "Inflexibility of Share Repurchases," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 255-281, March.
  16. Cheema, Muhammad A. & Chiah, Mardy & Zhong, Angel, 2021. "Resurrecting the size effect in Japan: Firm size, profitability shocks, and expected stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  17. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Papers 1810.07790, arXiv.org.
  18. Ume Salma Akbar & Niaz Ahmed Bhutto & Suresh Kumar Oad Rajput, 2021. "Does Five-Factor Model Perform Better Than Three Factor Model? Evidence from Developed Countries of The Asia Pacific Region," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(2), pages 119-132, September.
  19. Lin, Jia-Hui & Yen, Meng-Feng & Hsieh, Wei-Cheng, 2023. "Do manager characteristics matter in equity mutual fund performance? New evidence based on the double-adjusted alpha," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  20. Phan Tran Minh Hung & Tran Thi Trang Dai & Phan Nguyen Bao Quynh & Le Duc Toan & Vo Hoang Diem Trinh, 2019. "The Relationship between Risk and Return - An Empirical Evidence from Real Estate Stocks Listed in Vietnam," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(11), pages 1211-1226, November.
  21. Oghenovo A. Obrimah, 2023. "Underpricing of initial public offerings (IPOs) and the credibility of underwriters’ pricing services," SN Business & Economics, Springer, vol. 3(2), pages 1-33, February.
  22. Philipp Dirkx & Franziska J. Peter, 2020. "The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 72(4), pages 661-684, October.
  23. Asil Azimli, 2022. "Oil price risk and the cross‐section of stock returns in Turkey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4105-4122, October.
  24. Takahashi, Hidenori & Yamada, Kazuo, 2021. "When the Japanese stock market meets COVID-19: Impact of ownership, China and US exposure, and ESG channels," International Review of Financial Analysis, Elsevier, vol. 74(C).
  25. Safae Benfeddoul & Asmâa Alaoui Taib, 2024. "Cross-Sectionnal Patterns in Moroccan Sock Returns: A Fama-French Perspective," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 182-194, October.
  26. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
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