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초록
영어
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.
목차
Abstract
1. Introduction
2. The model
2.1. The unconditional and conditional CAPMs
2.2. The consumption CAPM
3. Methodology
3.1. Data
3.2. Econometric approach
4. Empirical evidence on time-series predictability
4.1. One-quarter-ahead forecasts
4.2. Long-horizon forecasts
5. Empirical evidence on the cross-section of stock return
5.1. Fama and Macbeth cross-sectional regressions
5.2. Average pricing errors
5.3. Fama and Macbeth cross-sectional regressions including characteristics
5.4. Conditional consumption betas
5.5. GMM estimation
5.6. Cross-sectional regression including conditioning information
5.7. Other portfolios
6. Conclusion
References
Appendix
1. Introduction
2. The model
2.1. The unconditional and conditional CAPMs
2.2. The consumption CAPM
3. Methodology
3.1. Data
3.2. Econometric approach
4. Empirical evidence on time-series predictability
4.1. One-quarter-ahead forecasts
4.2. Long-horizon forecasts
5. Empirical evidence on the cross-section of stock return
5.1. Fama and Macbeth cross-sectional regressions
5.2. Average pricing errors
5.3. Fama and Macbeth cross-sectional regressions including characteristics
5.4. Conditional consumption betas
5.5. GMM estimation
5.6. Cross-sectional regression including conditioning information
5.7. Other portfolios
6. Conclusion
References
Appendix
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