The GRS Test for Asset Pricing Models in the Japanese Equity Market
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- TAKEMATA Jun
- The University of Electro-Communications
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- MIYAZAKI Koichi
- The University of Electro-Communications
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- KOBAYASHI Hiroshi
- The University of Electro-Communications
Bibliographic Information
- Other Title
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- 日本株式市場における資産評価モデルのGRS検定に関する一考察
- ニホン カブシキ シジョウ ニ オケル シサン ヒョウカ モデル ノ GRS ケンテイ ニ カンスル イチ コウサツ
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Abstract
The GRS test is a popular statistical method for the evaluation of asset pricing models. It evaluates the asset pricing models focusing on the existence of the unexplained excess return of the test portfolio (whether alpha do or do not exist). Due to the bias making the explanatory power of the model higher when the test portfolios are highly correlated with the factors of the model, it is recommended to adopt the test portfolios constructed by the cluster analysis in the GRS test for asset pricing models. In this research, we perform the GRS test for asset pricing models using the Japanese equity market data and surprisingly find that the asset pricing models tend not to be rejected when we adopt the test portfolios constricted by the cluster analysis. This result is totally different from that of the preceding research using the US equity market data. We examine the reasons behind our empirical result based on the simulation analysis. Our simulation analysis suggests that the asset pricing models sometimes may not be correctly evaluated when we rely only on the result of the GRS test and the magnitude of the average intercept and the coefficient of determinant should also be used to supplement the evaluation.
Journal
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- Journal of Japan Industrial Management Association
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Journal of Japan Industrial Management Association 64 (1), 75-84, 2013
Japan Industrial Management Association
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Details 詳細情報について
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- CRID
- 1390282680481374464
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- NII Article ID
- 10031186817
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- NII Book ID
- AN10561806
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- ISSN
- 21879079
- 13422618
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- NDL BIB ID
- 024695865
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- Text Lang
- ja
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- Data Source
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- JaLC
- NDL
- CiNii Articles
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- Abstract License Flag
- Disallowed