Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models.

ABSTRACT: Most single-factor and multifactor asset pricing models constitute special cases of the consumption-based asset pricing theory, in which investors' marginal utility is the key determinant of asset prices. However, in recent years, production-based asset pricing models have been extraordinarily successful in correctly pricing a wide range of anomaly portfolios that are typically mispriced in previous research. In parallel, research on conditioning information has contributed to significantly improve the performance of classic consumption-based asset pricing models. On this basis, in this paper we conduct an in-depth research on the performance of consumption and production-based asset pricing models on the Tokyo Stock Exchange, for the period from 1992 to 2018, in order to test to what exte

SUBMITTER: Rojo-Suarez J 

PROVIDER: S-EPMC7608913 | biostudies-literature | 2020

REPOSITORIES: biostudies-literature