Journal
JAPAN AND THE WORLD ECONOMY
Volume 18, Issue 4, Pages 568-591Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.japwor.2005.05.001
Keywords
APT; bubble; SUR
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This paper investigates the empirical evidence of the pricing of macroeconomic factors in the Japanese stock market during the bubble period using Arbitrage Pricing Theory (APT) model. We also examine pre- and post-bubble periods in order to compare the robustness of priced factors over the bubble period. We find that the empirical content of the APT, namely the implied across-equation pricing restrictions, is not rejected in any of the sample period. (C) 2005 Elsevier B.V. All rights reserved.
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