This paper investigates the asymmetric effects of exchange rate exposure on Japanese stock returns at the industry level.Using the asymmetric correlation test of Hong et al.(2007), we examine five major currencies against the yen and thirty-three Japanese sectoral stock returns.Signi ficant...

This paper considers a factor model in which independent component analysis (ICA) is employed to construct common factors out of a large number of macroeconomic time series. The ICA has been regarded as a better method to separate unobserved sources that are statistically independent to each...

This paper extends recent discussion on the effectiveness of mutual fund performance measures. We utilize the well-known value premium to examine the ability of mutual fund performance measures to distinguish between the results of value funds and growth funds. Specifically, we examine the...

This paper provides a time-series test for the Differences-of-Opinion theory proposed by Hong and Stein (2003) in the aggregate market, thus extending Chen, Hong, and Stein's (2001) cross-sectional test for this theory across individual stocks. An autoregressive conditional density model with a...

This paper shows that the firm size (SZ) and the book-to-market ratio (BM) cannot fully explain stock returns on prior-return-based portfolios in Japan. The overreaction effect after controlling for SZ and BM effects is significant and plays an important role in explaining the zero-investment...

We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market...

We investigate the asymmetric risk–return relationship in a time-varying beta CAPM. A state space model is established and estimated by the Adaptive Least Squares with Kalman foundations proposed by McCulloch. Using S&P 500 daily data from 1987:11–2003:12, we find a positive risk–return...

This article investigates the channels through which the short-term interest rate is used as an instrument to stabilize the exchange rates in Asia during the financial crisis in the 1990s. A time-varying-parameter model with Generalized Autoregressive Conditional Heteroscedasticity (GARCH)...

Previous research indicates that the price-output correlation is time varying. This paper therefore estimates a VAR with a bivariate GARCH error process to obtain a time series of quarterly estimates of the price-output correlation for the United States for the period 1876:4-1999:4. The...