À繫¿¬±¸ Á¦ ±Ç È£ (2009³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.207~259
pp.207~259
Macroeconomic Risk and the Cross-Section of Stock Returns
Jangkoo Kang Graduate School of Finance, Korea Advanced Institute of Science and Technology, Hoegiro, Dongdaemoon-gu, Seoul, 130-722, Korea.
Tong Suk Kim Graduate School of Finance, Korea Advanced Institute of Science and Technology, Hoegiro, Dongdaemoon-gu, Seoul, 130-722, Korea.
Changjun Lee Graduate School of Management, Korea Advanced Institute of Science and Technology, Hoegiro, Dongdaemoon-gu, Seoul, 130-722, Korea.
Byoungkyu Min Graduate School of Management, Korea Advanced Institute of Science and Technology, Hoegiro, Dongdaemoon-gu, Seoul, 130-722, Korea.
We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market excess returns in the presence of competing predictive variables. In addition, our conditional CCAPM performs about as well as Fama and French's (1993) three-factor model in explaining the cross-section of the Fama and French 25 size and book-to-market sorted portfolios. Our specification shows that value stocks are riskier than growth stocks in bad times, supporting the risk-based story.
Jangkoo Kang
Tong Suk Kim
Changjun Lee
Byoungkyu Min
We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market excess returns in the presence of competing predictive variables. In addition, our conditional CCAPM performs about as well as Fama and French's (1993) three-factor model in explaining the cross-section of the Fama and French 25 size and book-to-market sorted portfolios. Our specification shows that value stocks are riskier than growth stocks in bad times, supporting the risk-based story.
Asset pricing,macroeconomic variable,stock return predictability,consumption capital asset pricing model,value premium
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.