가계대출을 조건변수로 사용하는 소비 준거 자본자산 가격결정모형

Abstract

Purpose - This article tries to test if the conditional consumption capital asset pricing model (CCAPM) with bank credit for household as a conditional variable can explain the cross-sectional variation of stock returns in Korea. The performance of conditional CCAPM is compared to that of multifactor asset pricing models based on Arbitrage Pricing Theory. Design/methodology/approach - This paper extends the simple CCAPM to the conditional version of CCAPM by using bank credit for household as conditioning information. By employing KOSPI and KOSDAQ stocks as test assets from the second quarter of 2003 to the first quarter of 2018, this paper estimates risk premiums of conditional CCAPM and a variety of multifactor linear models such as Fama-French three and five-factor models. The significance of risk factors and the adjusted coefficient of determination are the basis for the comparison in models’ performances. Findings - First, the paper finds that conditional CCAPM with bank credit performs as well as the multifactor linear models from Arbitrage Pricing theory on 25 test assets sorted by size and book-to-market. When using long-term consumption growth, the conditional CCAPM explains the cross-sectional variation of stock returns far better than multifactor models. Not only that, although the performances of multifactor models decrease on 75 test assets, conditional CCAPM’s performance is well maintained. Research implications or Originality - This paper proposes bank credit for household as a conditional variable for CCAPM. This enables CCAPM, one of the most famous economic asset pricing models, to conform with the empirical data. In light of this, we can now explain the cross-sectional variation of stock returns from an economic perspective: Asset’s riskiness is determined by its correlation with consumption growth conditional on bank credit for household.