We investigate systematic factors driving stock returns and stock return predictability in Japan. We find that dividend yield, cash-flow yield, and industrial production are systematic pricing factors after controlling for market, value, and size, while other macroeconomic factors are not. Value and size premiums become insignificant after adding the industrial production factor to market, value, and size factors because the value factor captures the changing fundamentals of Japan’s macroeconomic development. For predicting stock returns, our tests using Fama and MacBeth’s (J Political Econ 71:607–636, 1973) regressions accept the models of both factor and characteristics for a stock’s cash-flow yield, and a characteristics model for a stock’s short-term reversal, dividend yield, and earnings yield.

中文翻译：

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是什么推动了日本的股票回报？

我们调查了日本推动股票收益和股票收益可预测性的系统性因素。我们发现，在控制了市场、价值和规模后，股息收益率、现金流量收益率和工业生产是系统定价因素，而其他宏观经济因素则不是。将工业生产因素加入市场、价值和规模因素后，价值和规模溢价变得微不足道，因为价值因素捕捉了日本宏观经济发展变化的基本面。为了预测股票回报，我们使用 Fama 和 MacBeth (J Political Econ 71:607–636, 1973) 回归的测试接受了股票现金流收益率的因子和特征模型，以及股票短期收益率的特征模型逆转、股息收益率和收益收益率。