This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Based on a panel data set of the Japanese corporations, we investigate into the collateral role of the land assets. We estimate the Euler equation of investment decision rule by the GMM when the corporations face borrowing constraints.