Title: Land prices and its effect on the Japanese bank stocks

Authors: Athambawa Abdul Azeez, Yasuhiro Yonezawa, Sriyama Kanthi Herath

Addresses: Faculty of Management and Finance, University of Colombo, Colombo 03, Sri Lanka. ' Graduate School of Finance, Accounting and Law, Waseda University, 1-4-1 Nihombashi, chuo-ku, Tokyo, Japan. ' School of Business, Clark Atlanta University, James P. Brawley Drive at Fair Street, Atlanta, GA 30314, USA

Abstract: This study attempts to shed light on whether land price movements have contributed to fluctuations in bank stock returns. Although the aim of this paper is to see the relationship between land prices and bank stock returns, other macroeconomic factors have also been included in order to use the multifactor APT model. We find that land price is a significant risk factor affecting the Japanese bank stock returns during the bubble period in addition to other factors such as exchange rate, inflation and money supply.

Keywords: land prices; Japanese bank stocks; arbitrage pricing theory; APT; e-finance; exchange rates; Japan; electronic finance; bank stock returns; risk factors; inflation; money supply.

DOI: 10.1504/IJEF.2006.008840

International Journal of Electronic Finance, 2006 Vol.1 No.1, pp.104 - 117

Published online: 31 Jan 2006 *

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