We derive and test a series of profitability factors for cross-section of expected returns on Japanese and Chinese equity markets. We find gross profitability predicts returns and significant both on Japanese and Chinese equity markets. We test these factors using Fama-MacBeth regression and find gross profitability and value portfolios perform better in Japan, size and gross profitability portfolios perform better in China. Then we create new three-factor model based on the result of 5*5 portfolios, which capture value and gross profitability premium in Japan, and, size and gross profitability premium in China. And the new models' GRS test performs better than Fama-French-three-factor model at the 5% significance level. / 博士(文化情報学) / Doctor of Culture and Information Science / 同志社大学 / Doshisha University