scholarly journals Can the Consumption-Free Nonexpected Utility Model Solve the Risk Premium Puzzle? An Empirical Study of the Japanese Stock Market

2010 ◽  
Author(s):  
Myong-Il Kang
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Risk Premium ◽  
Nonexpected Utility ◽  
Utility Model ◽  
Japanese Stock Market ◽  
Premium Puzzle

scholarly journals Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment - Empirical Study in the Japanese Stock Market

2017 ◽  
Author(s):  
Taiga Saito ◽  
Takanori Adachi ◽  
Teruo Nakatsuma ◽  
Akihiko Takahashi ◽  
Hiroshi Tsuda ◽  
...  
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
High Frequency ◽  
High Frequency Trading ◽  
Market Participants ◽  
Japanese Stock Market

scholarly journals Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market

2019 ◽  
Vol 12 (3) ◽  
pp. 149
Author(s):  
Yang ◽  
Nguyen
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Risk Aversion ◽  
Risk Premium ◽  
Asset Returns ◽  
Positive Skewness ◽  
Japanese Stock Market ◽  
Skewness Preference ◽  
Using Data ◽  
Investor Preference

Previous studies have shown that investor preference for positive skewness creates a potential premium on negatively skewed assets. In this paper, we attempt to explore the connection between investors’ skewness preferences and corresponding demand for a risk premium on asset returns. Using data from the Japanese stock market, we empirically study the significance of risk aversion with skewness preference that potentially delivers a premium. Compared to studies on other stock markets, our finding suggests that Japanese investors exhibit preference for positively skewed assets, but do not display dislike for ones that are negatively skewed. This implies that investors from different countries having dissimilar attitudes toward risk may possess different preferences toward positive skewness, which would result in a different magnitude of expected risk premium on negatively skewed assets.

scholarly journals Examination and Modification of Multi-Factor Model in Explaining Stock Excess Return with Hybrid Approach in Empirical Study of Chinese Stock Market

2019 ◽  
Vol 12 (2) ◽  
pp. 91
Author(s):  
Jian Huang ◽  
Huazhang Liu
Keyword(s):  
Risk Factors ◽  
Stock Market ◽  
Empirical Study ◽  
Risk Premium ◽  
Stock Price ◽  
Factor Model ◽  
Five Factor Model ◽  
Hybrid Approach ◽  
Chinese Stock Market ◽  
Cyclical Pattern

To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study of Chinese stock market and examined for new factors to extend the model by OLS and ridge regression model. With data from 2007 to 2018, the regression analysis was conducted on 1097 stocks separately in the market with computer simulation based on Python. Moreover, we conducted research on factor cyclical pattern via chi-square test and developed a corresponding trading strategy with trend analysis. For the results, we found that except market risk premium, each industry corresponds differently to the rest of six risk factors. The factor cyclical pattern can be used to predict the direction of seven risk factors and a simple moving average approach based on the relationships between risk factors and each industry was conducted in back-test which suggested that SMB (size premium), CMA (investment growth premium), CRMHL (momentum premium), and AMLH (asset turnover premium) can gain positive return.

scholarly journals Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market

2018 ◽  
Vol 25 (3) ◽  
pp. 179-220 ◽  
Author(s):  
Taiga Saito ◽  
Takanori Adachi ◽  
Teruo Nakatsuma ◽  
Akihiko Takahashi ◽  
Hiroshi Tsuda ◽  
...  
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
High Frequency ◽  
High Frequency Trading ◽  
Market Participants ◽  
Japanese Stock Market
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