摘要： Based on the errors-in-variables-free approach proposed by Brennan et al. [J. Financial Econ., 1998, 49, 345-373], we investigate the competing explanatory capabilities of alternative multi-factor models when examining various asset-pricing anomalies using Japanese data for the period 1978-2006. We find that turnover and book-to-market (BM) ratio are the two major characteristics that significantly explain the average stock returns. A further sub-period analysis reveals that the turnover effect is significant only before 1990, but cannot be explained by any multifactor models. In contrast, the BM premium is significant only after 1990, and can be explained by the Fama-French three-factor model. Thus, the results suggest that asset-pricing anomalies documented in the literature are not universal, and may be different across different markets. 出版者： Bristol: Routledge 出版日期： 2012-03 出處： Quantitative finance, 2012-03, Vol.12 (3), p.369-382 資源來源： Taylor & Francis Journals Auto-Holdings Collection 版權： Copyright Taylor & Francis Group, LLC 2012 版權： Copyright American Institute of Physics 2012 識別號： ISSN: 1469-7688 識別號： EISSN: 1469-7696 識別號： DOI: 10.1080/14697688.2010.498429
