An Empirical Review of Asset Pricing Models for the Japanese Share Market

Abstract

This paper conducts an empirical review of asset pricing models for the Japanese share market. Researchers are continually attempting to describe a model which explains share returns and share anomalies more accurately. This paper reviews financial literature which applies the most common models to the Japanese share market and analyzes their robustness. Based on the performance of the four models, the characteristics which appear to be significant to the Japanese share market are discussed.