Exploring the Priced Factors in ICAPM in Japan

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DOI: 10.4236/me.2011.24078   PDF   HTML     4,644 Downloads   8,445 Views   Citations

Abstract

This paper investigates the priced factors in the Intertemporal Capital Asset Pricing Model (ICAPM) in the Tokyo Stock Exchange (TSE) in Japan. Focusing on the time-varying covariance risks derived by the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, we find new priced state variables in Japan. That is, our empirical tests reveal that in the TSE, the time-varying covariance between market return and illiquidity measure and that between market return and the log change of the seasonally adjusted industrial production are statistically significantly priced state variables in the ICAPM.

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C. TSUJI, "Exploring the Priced Factors in ICAPM in Japan," Modern Economy, Vol. 2 No. 4, 2011, pp. 701-705. doi: 10.4236/me.2011.24078.

Conflicts of Interest

The authors declare no conflicts of interest.

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