The main purpose of this study is to examine if macroeconomic variables could virtually subsume the size and BM anomalies for longer return intervals using Tokyo Stock Exchange-listed stocks. Most macroeconomic variables explain short-term returns within six months, with the industrial...

This study explores how innate learning ability changes portfolio selection decision-making in a continuous-time framework. We re-solve Samuelson-Merton¡¦s portfolio choice problem framed in a fixed investment opportunity set for an individual with a learning ability. In contrast to...

Purpose -The main purpose of this study is to examine whether macroeconomic variables could subsume the size and book-to-market (BM) anomalies for longer-return intervals using Tokyo Stock Exchange-listed stocks. Design/methodology/approach -The Fama-MacBeth cross-sectional regressions of...

Purpose – The main purpose of this study is to examine whether macroeconomic variables could subsume the size and book‐to‐market (BM) anomalies for longer‐return intervals using Tokyo Stock Exchange‐listed stocks. Design/methodology/approach – The Fama‐MacBeth cross‐sectional...