The profitability effect in asset pricing model performance : an empirical study on Chinese and Japanese equity market 資産価格モデルにおけるプロフィット効果のパフォーマンス：中国と日本の株式市場に関する実証分析 シサン カカク モデル ニオケル プロフィット コウカ ノ パフォーマンス : チュウゴク ト ニホン ノ カブシキ シジョウ ニカンスル ジッショウ ブンセキ

We derive and test a series of profitability factors for cross-section of expected returns on Japanese and Chinese equity markets. We find gross profitability predicts returns and significant both on Japanese and Chinese equity markets. We test these factors using Fama-MacBeth regression and find gross profitability and value portfolios perform better in Japan, size and gross profitability portfolios perform better in China. Then we create new three-factor model based on the result of 5*5 portfolios, which capture value and gross profitability premium in Japan, and, size and gross profitability premium in China. And the new models' GRS test performs better than Fama-French-three-factor model at the 5% significance level.

Doctor of Culture and Information Science

Doshisha University

source:https://doors.doshisha.ac.jp/opac/opac_link/bibid/BB13081484/?lang=0

https://doors.doshisha.ac.jp/opac/opac_link/bibid/BB13081484/?lang=0

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