Macroeconomic risk and the cross-section of stock returns

被引：24

作者：

Kang, Jangkoo ^{[2
]}

Kim, Tong Suk ^{[2
]}

Lee, Changjun ^{[1
]}

Min, Byoung-Kyu ^{[3
]}

机构：

[1] Kwangwoon Univ, Sch Business, Seoul, South Korea

[2] Korea Adv Inst Sci & Technol, Grad Sch Finance, Seoul, South Korea

[3] Univ Neuchatel, Inst Financial Anal, CH-2000 Neuchatel, Switzerland

来源：

JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 12期

关键词：

Asset pricing; Macroeconomic variable; Stock return predictability; Consumption capital asset pricing model; Value premium; CONSUMPTION-BASED EXPLANATION; ASSET-PRICING ANOMALIES; BOOK-TO-MARKET; EXPECTED RETURNS; EQUITY RETURNS; CONDITIONAL CAPM; EMPIRICAL TESTS; LABOR INCOME; MODELS; DIVIDENDS;

D O I：

10.1016/j.jbankfin.2011.04.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 approximately 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. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：3158 / 3173

页数：16

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