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Exploring the priced factors in ICAPM in Japan

Tsuji, Chikashi - In: Modern economy 2 (2011) 4, pp. 701-705

Persistent link: https://www.econbiz.de/10009620647

How do the time-varying risk prices behave in Japan? : an investigation with a multivariate GARCH-CAPM approach

Tsuji, Chikashi - In: The open economics journal 1 (2008), pp. 58-63

This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM. In contrast to previous studies, we derive and focus...

Persistent link: https://www.econbiz.de/10009540708

Value premium and portfolio return regime : evidence from European equities

Tsuji, Chikashi - In: Modern economy 9 (2018) 3, pp. 434-442

Persistent link: https://www.econbiz.de/10011870390

A quantitative investigation of the time-varying beta of the international CAPM : the case of North American and European equity portfolios

Tsuji, Chikashi - In: Journal of management research 9 (2017) 2, pp. 104-112

Persistent link: https://www.econbiz.de/10011671575

Do industries lead Fama-French factor returns in Japan?

Tsuji, Chikashi - In: The open business journal 1 (2008) 1, pp. 34-39

Persistent link: https://www.econbiz.de/10009582359

In search of the economic meaning and role of the Fama-French factors in Japan : implications for investment management

Tsuji, Chikashi - In: The open management journal 3 (2010) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10009582775