We investigate systematic factors driving stock returns and stock return predictability in Japan. We find that dividend yield, cash-flow yield, and industrial production are systematic pricing factors after controlling for market, value, and size while other macroeconomic factors are not. Value...

We comprehensively investigate what drives stock returns in South Korea stock market which has been one of the most important emerging markets. Unlike the USA market and other developed markets, the well-known cash-flow yield, dividend yield, earnings yield and return reversal factors are not...

We show that market sentiment shocks create demand shocks for risky assets and a systematic risk for assets. We measure a market sentiment shock as the unexpected portion of the University of Michigan Consumer Sentiment Index's growth. This shock prices stock returns in Arbitrage Pricing Theory...

We investigate the pricing of market volatility risk as a risk factor – the innovation risk and as a characteristic risk – the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust across 21 developed markets and that the global market...

We comprehensively investigate what drives stock returns in Hong Kong stock market which has been consistently ranked as one of the most important markets for IPOs. We find that Hong Kong inflation rate is a systematic pricing factor across stocks after controlling for Fama-French three-factor....

We investigate the cross-sectional predictability of stock returns after controlling for systematic risk factors in Taiwan. We additionally control for GDP growth, industrial production growth and inflation rate because they have a significant and negative pricing premium across stock returns...

We investigate the pricing of market volatility risk as a risk factor ndash; the innovation risk and as a characteristic risk ndash; the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust across 21 developed markets and that the global...

We investigate how disposal non-financial wealth and its changes ndash; wealth shocks create exogenous demands and demands shocks for financial assets and demands a systematic pricing premium for risky assets. This premium lowers Lucas (1978)'s implied risk aversion. Responses of financial...