摘要：
This paper explores and clarifies the economic meaning and role
of Fama and French’s (FF) size return premia, small-minus-big
(SMB) factor, and value premia, high-minus-low (HML) factor, in
Japan. In contrast to FF’s suggestion, our analysis reveals
that SMB but not HML has meaning as a proxy for distress risk. Moreover,
by using a multivariate Generalized Autoregressive Conditional Heteroskedasticity
(GARCH) model, our analysis confirms that both SMB and HML are well-priced
state variables in Merton’s Intertemporal Capital Asset Pricing
Model (ICAPM). Furthermore, even after controlling for macroeconomic
variables, when adjusting the lag orders we find that both lagged
HML and SMB demonstrate clear predictability for future real GDP
growth. Hence, we empirically support FF’s argument that HML
and SMB are state variables that predict future changes in the investment
opportunity set in the context of Merton’s ICAPM. This finding
has the practical implication that SMB and HML can be used for predicting
the future investment environment. As an ancillary finding, we also
conclude that lagged credit and term spread are strongly priced
factors in the ICAPM in Japan. One implication for investment management
is that bearing the risks included in the credit spread and the
term spread is rewarded with future return in the Japanese stock
market.
