4 papers
Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
Keiichi Morimoto, Akihiko Noda, Takenobu Yuki
This paper examines how wartime economic controls shaped stock-price formation in Japan from 1930 to 1943. We develop a four-portfolio asset-pricing model in which zaibatsu affilia…
Time Instability of the Fama-French Multifactor Models: An International Evidence
Koichiro Moriya, Akihiko Noda
This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling wi…
Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943
Kenichi Hirayama, Akihiko Noda
This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, th…
On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
Koichiro Moriya, Akihiko Noda
This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock ri…