Macroeconomic risk and the cross-section of stock returns

作者：Kang Jangkoo; Kim Tong Suk; Lee Changjun^*; Min Byoung Kyu

来源：Journal of Banking & Finance, 2011, 35(12): 3158-3173.

DOI：10.1016/j.jbankfin.2011.04.012

• Asset pricing
• Macroeconomic variable
• Stock return predictability
• Consumption capital asset pricing model
• Value premium

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.

• 出版日期2011-12