New evidence on risk factors, characteristics and the cross-sectional variation of Japanese stock returns

DOI10.1007/S10690-009-9085-5zbMath1170.91495OpenAlexW2079720236MaRDI QIDQ841851

Elhaj Mabrouk Walid

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9085-5

zbMATH Keywords

factor modelcharacteristic modelgeneralized method of moments (GMM)Fama and French factors

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Cites Work

• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds

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