本論文利用Fama and MacBeth (1973)的橫斷面分析方法來分析日本市場的總體經濟變數是否被定價。此篇論文利用size建構20個投資組合及利用size與BM ratio建構25個投資組合，且嚐試利用兩種不同的預估方式，來檢驗結果是否具有敏感性，此篇結果指出日本市場中「工業生產指數」、「時間溢酬」與「匯率的變動」這三個變數被較顯著地定價。我們進ㄧ步將期間分為兩期，結果發現在景氣不好時，總體變數如同預期般會因為政府的過度干預喪失了他的解釋性。最後此篇論文中最重要的發現為，如同Shanken and Weinstein (2005) 在美國市場中所發現的結論一樣，總體因子會因為投資組合建構方式的不同而會有不同的表現。換句話說在日本市場一樣會因為研究方法上些微的改變而使得整個結果產生變化。 This study follows Fama and MacBeth (1973)’s cross-sectional approach to analyze the macroeconomic variables which can be priced in Japanese market. The study forms the portfolios in two ways (twenty size portfolios and twenty-five portfolios by size and BM ratio) and adopts two kinds of methods for estimation period. The period of the study is from January 1984 to December 2003. Our main results find some variables (industrial production, term spread and change in exchange rate) are significant in Japanese market. Furthermore, we separate the period into two sections. The results show that being consistent with our assumption, the macroeconomic variables lose their efficacy during recession period. Finally, the most important finding is that the results are consistent with the finding of Shanken and Weinstein (2005), which suggest that the empirical results are sensitive to alternative empirical approach.
