In the famous “orange juice puzzle,” a large amount of inexplicable price volatility arises in frozen concentrated orange juice (FCOJ) futures contracts. Temperature is considered the most important fundamental factor in this market, but its explanatory power is low and limited, so are those...

Statistical tests for multivariate event studies, exact or asymptotic, have been derived based on multivariate normality. As it has been documented that the performances of these tests are not satisfactory because stock returns are far from normally distributed, especially for daily returns,...

To facilitate wide use of the bootstrap method in finance, this paper shows by intuitive arguments and by simulations how it can improve upon existing tests to allow less restrictive distributional assumptions on the data and to yield more reliable (higher-order accurate) asymptotic inference....

Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...

Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...

Using an updated Japanese sample covering the 1975-2006 period, we reexamine whether it is Fama and French's (1993) three-factor model or Daniel and Titman's (1997) characteristic model that better explains stock returns in the Japanese market. In contrast to Daniel, Titman, and Wei (2001), we...

Based on an errors-in-variables-free approach proposed by Brennan, Chordia, and Subrahmanyam (1998), we investigate the competing explanatory abilities of alternative multi-factor models in examining various asset-pricing anomalies using Japanese data over 1978-2006. Surprisingly, we find that...

We investigate whether the liquidity premium is better explained by the risk-based model or the characteristic-based model. Based on three widely-used liquidity measures that are supposed to reflect different aspects of liquidity, we find that liquidity as a characteristic carries a significant...

The main purpose of this study is to examine if macroeconomic variables could virtually subsume the size and BM anomalies for longer return intervals using Tokyo Stock Exchange-listed stocks. Most macroeconomic variables explain short-term returns within six months, with the industrial...

The capital asset-pricing model (CAPM) asserts that in equilibrium the market portfolio is the tangency portfolio of the efficient frontier spanned by all risky assets. Conceptually, the tangency portfolio represents an ex ante efficient portfolio, while the market portfolio represents an ex...