This paper explores the implications of a dividend yield model for predicting aggregate Japanese stock returns using long time-series data from 1949 to 2009. In addition to one-period return tests, we conduct statistical tests based on dividend growth forecasts and long-horizon return forecasts...

Abstract We propose a market-valued capital ratio as an indicator to gauge the riskiness of banks. In particular, we examine the cross-sectional relation between the market-valued capital ratio and stock returns of listed Japanese banks. It is found that banks with lower market-valued capital...

This paper documents the time-series and cross‐sectional variations in bank capital ratios and investigates their underlying driving forces using listed Japanese bank data from 1977 to 2009. We derive an overall framework in the form of a present‐value model to decompose the variation in...

We employ the Log-linearization and VAR method proposed by Campbell and Ammer (1993) to decompose the excess J-REIT equity return into three components: dividends, real interests and future excess returns. We find that the news about dividends combined with future excess returns account most of...

This paper is the first to examine liquidity in 37 stock markets around the world. We find volatility to be a very important driving factor for market illiquidity. A highly volatile market leads to a illiquid financial market. Stock market illiquidity condition also tends to persist. Using a...

Forbes and Rigobon (2002) claim there was no contagion among international stock markets during the 1997 Asian crisis, with contagion being defined as an increase in dependence. We revisit this issue using a more robust methodology based on copula. After controlling for heteroskedasticity with...