This study investigates the 'term structure'; of implied volatilities of the NIKKEI 225 index options in order to examine the existence of investors' overreaction in the options markets in Japan. According to the rational expectations theory, the implied volatility on a longer maturity option...

This article examines whether specified macroeconomic and macro-financial market variables innovations carry risks that are rewarded in the Japanese stock market by a restricted nonlinear multivariate regression model. We find that not all macroeconomic variables priced in the United States are...

The objective of this paper is to evaluate the effectiveness of Economic Value Added (EVA), a metric that is increasingly used in Japan as a measure of corporate value. EVA is compared with several other valuation measures including cash flow, operating income, and profit after tax from the...

It has been empirically shown in the USA that a positive slope of the yield curve is associated with a future increase in real economic activity. However, the present study's empirical examination reveals that the term structure in Japan has almost no predictive power for real economic changes,...

This paper investigates which US stock price index is strongly influenced by the Japanese stock markets. Our empirical tests as to the time-varying correlations derived from a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model reveal the following evidence....

This paper examines the relations between corporate profitability and capital structures of the machinery industry firms listed on the Tokyo Stock Exchange. Some theories and models predict different relations between corporate profitability and firms¡¯ capital structures. In this paper, we...

This paper examines Jensen's [<italic>J. Finance</italic>, 1968, <bold>23</bold>, 389--416] alphas and the time-varying return premia unexplained by standard risk factors in Japan and presents several new findings. First, in contrast to the US experience, positive alphas remain after Fama and French's three factors are...

This paper explores the linkage among cash holdings, dividend policies, and stock returns of the automobile related firms at the Tokyo Stock Exchange by employing the panel data analyses. In addition, our research focuses on the two periods: before and after the US Lehman shock. The main...

Theory predicts that, if stock and stock index futures markets operate efficiently, price movements in these markets should follow a first-order vector error correction model in which the error correction term represents the basis, and in which there are no regimes. However, following Brooks and...