추출된 조건변수를 수반한 자본자산 가격결정모형에 대한 연구
The Empirical Study on the Capital Asset Pricing Model with Extracted Conditional Variable
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
기본 자본자산 가격결정모형(CAPM; capital asset pricing model)과 소비 준거 자본자산 가격결정모형(CCAPM; consumption capital asset pricing model)은 이론적으로는 흠결을 찾아보기 어렵지만 주식시장 횡단면을 실증적으로 설명하는데에 있어서는 어려움을 보인다. 이를 극복하기 위해 확률할인요소(stochastic discount factor)를 구성하는 시장수익률 혹은 소비증가율을 예측하는 변수들을 조건변수(conditional variable)로 하는 조건부 기본 자본자산 가격결정모형(CD-CAPM)과 조건부 소비 준거 자본자산 가격결정모형(CD-CCAPM)이 시도되었으나 기존 문헌들은 모형을 적용하는데에 있어서 3가지 문제점을 간과하였다. 첫째는 조건변수의 예측대상과 CD-CAPM 혹은 CD-CCAPM내 확률할인요소의 대표변수가 불일치하였다. 둘째로는 조건변수는 시장수익률 혹은 소비증가율을 한 시점만 예측해야 하는 요건을 충족하지 못하였다. 마지막으로 조사대상 기간에 걸쳐 강건한 예측변수를 찾는 것은 매우 어렵다. 동 연구는 상태공간모형을 통해 조건부 평균을 추출하고 이를 조건변수로 이용하여 위의 문제점들을 극복하였다. 분석결과 새로운 CD-CAPM은 현실설명력이 크게 개선되었으나 새로운 CD-CCAPM의 개선효과는 미미하였다. 주목할만한 사실은 새로운 CD-CAPM은 Fama and French (1993)의 3요인 모형과 Fama and French (2015)의 5요인 모형보다 현실설명력이 높았다는 점이다. 이를 통해 경제학적 모형을 통해 실증데이터를 충분히 설명할 수 있다는 점과 모형 도출 시 확률할인요소를 소비증가율보다 시장수익률로 대용하는 과정이 필수임을 알 수 있었다.
Abstract
Although capital asset pricing model (CAPM) and consumption capital asset pricing model (CCAPM) are complete in terms of their theoretical derivation, they have a difficulty in empirically explaining the cross-sectional variation of stock returns. In an attempt to overcome this, the CAPM and CCAPM with conditional variables (CD-CAPM and CD-CCAPM) which predict stock market returns and consumption growth are invented. However, this article finds three issues in applying these models into data. First, there is no consistency between the target predictors forecast and the representative variable for stochastic discount factor. Second, the condition that predictor should forecast only one period ahead is not met. Lastly, it is next to impossible to find a robust predictor over the sample period. Employing state space model, this paper addresses these problems by extracting conditional mean of stochastic discount factor. The new CD-CAPM shows a increased performance but CD-CCAPM’s change is not considerable. It should be noted that the performace of new CD-CAPM is higher than that of Fama-French three-factor model and Fama-french five-factor model. In light of this, it can be concluded that the economic model can explain the cross-sectional variation of stock returns well. Also, it would be imperative for consumption growth in the stochastic discount factor to be proxied by stock market returns.
참고문헌 (20)
- Brandt, M. W., "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach", Journal of Financial Economics, 72, pp.217~257 (2004)
- Campbell, J. Y., "An Intertemporal CAPM with Stochastic Volatility", Journal of Financial Economics, 128, pp.207~233 (2018)
- Carhart, M. M., "On Persistence in Mutual Fund Performance", Journal of Finance, 52, pp.57~82 (1997)
- Cochrane, J. H., "Asset Pricing" (2005), Princeton University Press
- Cooper, M. J., "Asset Growth and the Cross-Section of Stock Returns", Journal of Finance, 63, pp.1609~1651 (2008)
- Fama, E., "Common Risk Factors in the Return on Bonds and Stocks", Journal of Financial Economics, 33, pp.3~56 (1993)
- Fama, E., "A Five-Factor Asset Pricing Model", Journal of Financial Economics, 116, pp.1~22 (2015)
- Fama, E., "Risk, Return, and Equilibrium: Empirical Tests", Journal of Political Economy, 81, pp.607~636 (1973)
- Harvey, A., "Unobserved Component Time Series Models with Arch Disturbances", Journal of Econometrics, 52, pp.129~157 (1992)
- Harvey, C. R., "...and the Cross-Section of Expected Returns", Review of Financial Studies, 29, pp.5~68 (2015)
- Jagannathan, R., "The Conditional CAPM and the Cross-Section of Expected Returns", Journal of Finance, 51, pp.3~53 (1996)
- Kan, R., "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology", Journal of Finance, 68, pp.2617~2649 (2013)
- Kang, J., "Macroeconomic Risk and the Cross-section of Stock Returns", Journal of Banking and Finance, 35, pp.3158~3173 (2011)
- Kwon, J. H., "Tail risk and the Consumption CAPM", Finance Research Letters, 30, pp.69~75 (2019)
- Lettau, M., "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying", Journal of Political Economy, 109, pp.1238~1287 (2001)
- Li, Q., "Sector Investment Growth Rates and the Cross Section of Equity Returns", Journal of Business, 79, pp.1637~1665 (2006)
- Petkova, R., "Do the Fama-French Factors Proxy for Innovations in Predictive Variables", Journal of Finance, 61, pp.581~612 (2006)
- Santos, T., "Labor Income and Predictable Stock Returns", Review of Financial Studies, 19, pp.1~44 (2006)
- Shanken, J., "On the Estimation of Beta-Pricing Models", Review of Financial Studies, 5, pp.1~33 (1992)
- Welch, I., "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction", Review of Financial Studies, 21, pp.1455~1508 (2008)