On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
基于日本行业指数的套利定价理论时变结构研究
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 risk premiums to investigate the validity of the APT over time, applying the rolling window method to Fama and MacBeth's (1973) two-step regression and Kamstra and Shi's (2023) generalized GRS test. We summarize our empirical results as follows: (1) the changes in monetary policy by major central…