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Koichiro Moriya

Publications and source records attributed to Koichiro Moriya.

4 recordsLinked to original sources
arXiv2026

Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models

We propose a new model specification test for multiple-equation systems with cross-equation error and dynamic regressor--error dependences. Conventional tests often rely on exogeneity conditions strong enough to ensure consistency of the OLS estimator. These exogeneity conditions are violated when regressors and errors are dynamically dependent, rendering conventional model specification tests invalid. To address these limitations, we clarify the relationship among alternative exogeneity conditions, characterize the consistency of competing multiple-equation estimators, and propose a generalized Durbin estimator for multiple-equation systems with an intercept, cross-equation error and regressor--error dependences. We show that our estimator remains consistent under the weakest exogeneity condition. We then derive its asymptotic distribution and construct Wald tests. Our Monte Carlo experiments confirm that the bootstrap-based Wald test substantially improves finite-sample size control. An application of the bootstrap-based Wald test to the Fama--French multifactor models leaves the null hypothesis unrejected in cases where competing FGLS-based tests reject it.

econ.EM↗
arXiv2024

Time Instability of the Fama-French Multifactor Models: An International Evidence

This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling window method. In particular, we employ the generalized GRS statistics proposed by Kamstra and Shi (2024) to examine whether the validity of the risk factors (or factor redundancy) in the FF3 and FF5 models remains stable over time, and investigate whether the manner of portfolio sorting affects the time stability of the validity of the risk factors. In addition, we examine whether the similar results are obtained even when we use different datasets by country and region. First, we find that the effectiveness of factors in the FF3 and FF5 models is not stable over time in all countries. Second, the effectiveness of factors is also affected by the manner of portfolio sorting. Third, the validity of the FF3, FF5, and their nested models do not remain stable over time except for Japan. This suggests that the efficient market hypothesis is supported in the Japanese stock market. Finally, the factor redundancy varies over time and is affected by the manner of portfolio sorting mainly in the U.S. and Europe.

q-fin.ST↗
arXiv2024

On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices

This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock risk premiums to investigate the validity of the APT over time, applying the rolling window method to Fama and MacBeth's (1973) two-step regression and Kamstra and Shi's (2023) generalized GRS test. We summarize our empirical results as follows: (1) the changes in monetary policy by major central banks greatly affect the validity of the APT in Japan, and (2) the time-varying estimates of the risk premiums for each factor are also unstable over time, and they are affected by the business cycle and economic crises. Therefore, we conclude that the validity of the APT as an appropriate model to explain the Japanese sector index is not stable over time.

q-fin.ST↗