The capital asset-pricing model (CAPM) asserts that in equilibrium the market portfolio is the tangency portfolio of the efficient frontier spanned by all risky assets. Conceptually, the tangency portfolio represents an ex ante efficient portfolio, while the market portfolio represents an ex...

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...

We show that when returns are iid, the Sharpe ratio calculated over a T-period holding horizon will first rise and then fall as T increases, instead of a monotonic function of T if one ignores the compounding effect in calculating long-term returns. Specifically, we show that ignoring the...

In this paper I develop an analytical Wald test of the zero-beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting, and extend the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial...

Momentum profits, resulting from buying winners and selling losers, are robust in the stock market worldwide. However, more than 40% of winners and losers immediately fall out of their respective groups in the month following formation, suggesting that intermediate-term momentum persistency is...

In the famous “orange juice puzzle,” a large amount of inexplicable price volatility arises in frozen concentrated orange juice (FCOJ) futures contracts. Temperature is considered the most important fundamental factor in this market, but its explanatory power is low and limited, so are those...

Statistical tests for multivariate event studies, exact or asymptotic, have been derived based on multivariate normality. As it has been documented that the performances of these tests are not satisfactory because stock returns are far from normally distributed, especially for daily returns,...

Based on the errors-in-variables-free approach proposed by Brennan <italic>et al</italic>. [<italic>J. Financial Econ.</italic>, 1998, <bold>49</bold>, 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...

By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is...