주식프리미엄모형과 Hansen-Jagannathan bound에 근거한 CCAPM의 검증

다국어 초록 (Multilingual Abstract)

In this study, we test the CCAPM based on the equity premium model suggested by Mehra-Prescott(1985) and H-J bound suggested by Hansen- Jagannathan(1991).
To achieve this, firstly GMM method suggested by Hansen- Singleton(1982) and market rate of return model suggested by Brown- Gibbons(1985) are used for the estimation of risk aversion coefficients. Secondly, for the test of CCAPM, the equity premium model and H-J bound are used for the estimation of risk aversion coefficients. Lastly, by comparing the above two kinds of estimation methods for the risk aversion coefficients, we test the validity of CCPAM in Korea stock market.
Analysis period for the study is from 1980 to 2011 by quarterly and yearly data. The data used in the analysis are KOSPI index, the riskless rate and consumption data from the Korean Bank database and CPI index.
Important empirical findings of this study can be summarized as follows.
Firstly, in Hansen-Singleton`s GMM method, the estimation value of risk aversion coefficient using quarterly data is 1.66 which is not statistically significant. But in Brown-Gibbons’s model is 0.92 which is significant at the 10 percent level.
Secondly, as the validity test of CCAPM, the estimation value of the risk aversion coefficient is 18.62 for the Mehra-Prescott's equity premium model. And the value of the risk aversion coefficients are from 10 to 37 for the Hansen-Jagannathan’s H-J bound.
Thirdly, to be applicable for CCAPM in Korea stock market, the risk aversion coefficients have more than 18.62 or have a range about 10 to 37. But these estimation values are higher than 1.66(which is not statistically significant) in Hansen-Singleton`s GMM method or 0.92 in Brown- Gibbons’s model. This result shows that the CCAPM is rejected in Korea stock market.
Finally, we have a robustness test for alleviating survivorship bias problem using EWI and 16 portfolio groups by Fama-French`s method. This test also shows that the CCAPM is rejected in Korea stock market.

목차 (Table of Contents)

• Ⅰ. 서론 1
• 1. 문제제기 및 연구목적 1
• 2. 연구방법 및 구성 3
• Ⅱ. 상대위험회피계수와 CCAPM에 관한 일반적 고찰 6
• 1. 상대위험회피계수의 추정에 관한 연구 6
• 2. CCAPM과 주식프리미엄퍼즐에 관한 연구 11
• Ⅲ. 상대위험회피계수의 추정과 CCAPM의 검증방법 22
• 1. 상대위험회피계수의 추정과 검증 22
• (1) Hansen-Singleton(1982)의 GMM에 의한 상대위험회피계수의 추정과 검증 22
• (2) Brown-Gibbons(1985)의 시장수익률근거모형에 의한 상대위험회피계수의 추정과 검증 26
• 2. 소비-자본자산가격결정모형(CCAPM)의 검증 32
• (1) Mehra-Prescott(1985)의 CCAPM의 유도와 검증 33
• (2) Hansen-Jagannathan(1991)의 H-J 경계를 이용한 CCAPM의 검증 41
• Ⅳ. 실증적 연구결과 54
• 1. 자료의 수집과 표본의 선정 54
• 2. 실증적 연구결과 56
• (1) 상대위험회피계수의 추정결과 56
• ① Hansen-Singleton(1982)의 GMM에 의한 상대위험회피계수의 추정결과 56
• ② Brown-Gibbons(1985)의 시장수익률근거모형에 의한 상대위험회피계수의 추정결과 59
• (2) CCAPM의 검증결과 61
• ① Mehra-Prescott(1985)의 주식프리미엄모형에 의한 CCAPM 검증결과 61
• ② Hansen-Jagannathan(1991)의 H-J 경계에 의한 CCAPM 검증결과 65
• 3. 검증결과의 분석 77
• 4. 강건성 검증 79
• Ⅴ. 결론 83
• 참고문헌 86
• 부록 1. GMM의 추정방법 93
• 부록 2. 강건성 검증결과 96

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