The profitability effect in asset pricing model performance : an empirical study on Chinese and Japanese equity market
We derive and test a series of profitability factors for cross-section of expected returns on Japanese and Chinese equity markets. We find gross profitability predicts returns and significant both on Japanese and Chinese equity markets. We test these factors using Fama-MacBeth regression and find gr...
Main Authors: | , |
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Format: | Others |
Language: | en |
Published: |
2018
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Subjects: | |
Online Access: | https://doshisha.repo.nii.ac.jp/?action=repository_uri&item_id=1482 http://id.nii.ac.jp/1707/00001474/ https://doshisha.repo.nii.ac.jp/?action=repository_action_common_download&item_id=1482&item_no=1&attribute_id=21&file_no=1 https://doshisha.repo.nii.ac.jp/?action=repository_action_common_download&item_id=1482&item_no=1&attribute_id=21&file_no=2 |
Internet
https://doshisha.repo.nii.ac.jp/?action=repository_uri&item_id=1482http://id.nii.ac.jp/1707/00001474/
https://doshisha.repo.nii.ac.jp/?action=repository_action_common_download&item_id=1482&item_no=1&attribute_id=21&file_no=1
https://doshisha.repo.nii.ac.jp/?action=repository_action_common_download&item_id=1482&item_no=1&attribute_id=21&file_no=2