경기순환주기 소비위험과 한국 주식 수익률 횡단면

• 영문명: Business Cycle Consumption Risk and the Cross-Section of Stock Returns in Korea
• 발행기관: 한국산업경영시스템학회
• 저자명: 강한길(Hankil Kang)
• 간행물 정보: 『산업경영시스템학회지』제44권 제4호, 98~105쪽, 전체 8쪽
• 주제분류: 공학 > 산업공학
• 파일형태: PDF
• 발행일자: 2021.12.31

영문 초록

Using the frequency-based decomposition, I decompose the consumption growth to explain well-known patterns of stock returns in the Korean market. To be more specific, the consumption growth is decomposed by its half-life of shocks. The component over four years of half-life is called the business-cycle consumption component, and the components with half-lives under four years are short-run components. I compute the long-run and short-run components of stock excess returns as well and use compo-nent-by-component sensitivities to price stock portfolios. As a result, the business-cycle consumption risk with half-life of over four years is useful in explaining the cross-section of size-book-to-market portfolios and size-momentum portfolios in the Korean stock market. The short-run components have their own pricing abilities with mixed direction, so that the restricted one short-term factor model is rejected. The explanatory power with short- and long-run components is comparable to that of the Fama-French three-factor model. The components with one- to four-year half-lives are also helpful in explaining the returns. The results about the long-run components emphasize the importance of long-run component in consumption growth to explain the asset returns.

목차

Ⅰ. 서론

Ⅱ. 자료 및 분석 방법론

Ⅲ. 실증분석 결과

Ⅳ. 결 론

References

키워드

Frequency-Based Decomposition Long-Run Risk Consumption-Based Model Cross-Section of Stock Returns