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Macroeconomic risk and the cross-section of stock returns

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dc.contributor.authorKang, Jangkooko
dc.contributor.authorKim, Tong Sukko
dc.contributor.authorLee, Changjunko
dc.contributor.authorMin, Byoung-Kyuko
dc.date.accessioned2013-03-13T01:43:32Z-
dc.date.available2013-03-13T01:43:32Z-
dc.date.created2012-10-10-
dc.date.created2012-10-10-
dc.date.issued2011-12-
dc.identifier.citationJOURNAL OF BANKING FINANCE, v.35, no.12, pp.3158 - 3173-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10203/104148-
dc.description.abstractWe 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.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.subjectCONSUMPTION-BASED EXPLANATION-
dc.subjectASSET-PRICING ANOMALIES-
dc.subjectBOOK-TO-MARKET-
dc.subjectEXPECTED RETURNS-
dc.subjectEQUITY RETURNS-
dc.subjectCONDITIONAL CAPM-
dc.subjectEMPIRICAL TESTS-
dc.subjectLABOR INCOME-
dc.subjectMODELS-
dc.subjectVARIABLES-
dc.titleMacroeconomic risk and the cross-section of stock returns-
dc.typeArticle-
dc.identifier.wosid000296215900002-
dc.identifier.scopusid2-s2.0-80053385576-
dc.type.rimsART-
dc.citation.volume35-
dc.citation.issue12-
dc.citation.beginningpage3158-
dc.citation.endingpage3173-
dc.citation.publicationnameJOURNAL OF BANKING FINANCE-
dc.identifier.doi10.1016/j.jbankfin.2011.04.012-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.localauthorKim, Tong Suk-
dc.contributor.nonIdAuthorLee, Changjun-
dc.contributor.nonIdAuthorMin, Byoung-Kyu-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorAsset pricing-
dc.subject.keywordAuthorMacroeconomic variable-
dc.subject.keywordAuthorStock return predictability-
dc.subject.keywordAuthorConsumption capital asset pricing model-
dc.subject.keywordAuthorValue premium-
dc.subject.keywordPlusCONSUMPTION-BASED EXPLANATION-
dc.subject.keywordPlusASSET-PRICING ANOMALIES-
dc.subject.keywordPlusBOOK-TO-MARKET-
dc.subject.keywordPlusEXPECTED RETURNS-
dc.subject.keywordPlusEQUITY RETURNS-
dc.subject.keywordPlusCONDITIONAL CAPM-
dc.subject.keywordPlusEMPIRICAL TESTS-
dc.subject.keywordPlusLABOR INCOME-
dc.subject.keywordPlusMODELS-
dc.subject.keywordPlusDIVIDENDS-
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