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

The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. Thegrowth of these companies is depicted in their market capitalization, which has seen an unprecedentedrun. However, one can notice a knowledge gap in the analysis of factors affecting such companies'expected rate of return. This research focuses on analyzing the factors from three of the most knownasset pricing models - CAPM, Fama-French 3 Factor, and Fama-French 5 Factor models. It shows whichof these factors are significant in estimating the expected return rate for nine chosen companies and theimpact of each considerable factor on the return rate.Additionally, we calculate the expected return rate using the beforementioned models to verify whetherthere is an uptrend or not in the electric vehicle market. The current research is limited to companieslisted on the US stock market, with only all-electric vehicle production lines. We make an introductionto the AEV theoretical aspects and related market structure. We also present theoretical concepts behindthe expected rate of return perception.The analysis showed that the market risk premium impacts 100% of the companies. The SMB factorinfluences 55% of the companies while the HML factor only 11%. Finally, RMW affects 66% of thechosen dataset and CMA 77%. For all companies, there is a positive expected return rate. Looking atthe significant coefficients for each model, the results are the following: we can observe that for CAPMand all the companies, 100% of the coefficients are positive. For FF3FM, 93% of the significant factorsare positive, while only 7% are negative. Finally, for FF5FM, out of the 28 significant factors, 65% ofthe coefficients are positive, and 35% are negative.

Submitted by Daniel Bittar (danielbittar82@yahoo.com.br) on 2010-08-04T14:14:00Z No. of bitstreams: 1 Dissertação Daniel Bittar Definitiva.pdf: 202059 bytes, checksum: 48a1d002cecf496323f3b8b3e1eb3e31 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2010-08-04T14:28:33Z (GMT) No. of bitstreams: 1 Dissertação Daniel Bittar Definitiva.pdf: 202059 bytes, checksum: 48a1d002cecf496323f3b8b3e1eb3e31 (MD5) / Made available in DSpace on 2010-08-04T18:03:43Z (GMT). No. of bitstreams: 1 Dissertação Daniel Bittar Definitiva.pdf: 202059 bytes, checksum: 48a1d002cecf496323f3b8b3e1eb3e31 (MD5) Previous issue date: 2010-05-31 / This paper proposes through the principles of Corporate Finance and Asset Pricing measure the impact of the level of liquidity of the companies on the expected return of brazilian equities. The basic assumption of this relationship is that the cash position represents a type of risk not captured by other variables. To estimate this risk will be used a multifactor model. The basic model used is the three-factor model of Fama and French, adapted for the inclusion of the cash variable. From the database, it will attempt to estimate the sensitivity of the expected return of brazilian stocks to cash factor. / Este trabalho busca, através dos princípios de Finanças Corporativas e de Apreçamento de Ativos, mensurar o impacto do nível de liquidez das companhias na expectativa de retorno das ações no mercado acionário brasileiro. O pressuposto básico dessa relação é que a posição de caixa representa um tipo de risco não capturado por outras variáveis. Para mensurar esse risco, será utilizada a modelagem de fatores para apreçamento de ativos. O modelo básico utilizado será o de três fatores de Fama e French, adaptado para a inclusão da variável caixa. A partir da base de dados, se tentará estimar a sensibilidade do retorno esperado das ações brasileiras ao fator caixa.