한국증권시장에서 CCAPM의 유효성에 대한 검증 = Tests of the Consumption-Based Capital Asset Pricing Model Using Korean Security Market Data

다국어 초록 (Multilingual Abstract)

The purpose of this study is to test the validity of consumption-based capital asset pricing model(CCAPM) using Korean security market data in the period of 1980 to 2011. We estimate the coefficient of relative risk aversion(A) and time preference(ρ) by applying GMM to the Lucas(1978) model as in Hansen and Singleton(1982). Then we investigate the equity premium puzzle as in Mehra and Prescott(1985), the significant discrepancy between historical and theoretical excess return over risk-free rate. We decompose the risk-free rate to find out the effect of the risk-free rate puzzle on the equity premium puzzle. The Hansen and Jagannathan(1991) lower bound on the standard deviation for the marginal rate of substitution is also calculated. When testing CCAPM for N assets, we construct both industrial portfolios and Fama-French portfolios based on firm size and book-to-market ratio and then apply the methods of Hyde and Cuthbertson(2002) and Cuthbertson and Nitzche(2004) to obtain the possible range of A. The important empirical findings of this study are summarized as follows. (1) The GMM estimates of A and ρ are 1.66 and 0.997 respectively, which are comparable to extant studies and not much different from 0.92 estimated by the market rate of return model. Futhermore, we fail to reject the null hypothesis of the correct model specification based on J-stat. (2) The historical equity premium in the sample period is 1.77%(=2.09%-0.32%) while the theoretical equity premium is 0.16%. The difference of 1.61% indicates the existence of the equity premium puzzle in the Korean security market. However, the puzzle is weakened when we take into consideration the difference between the historical and theoretical risk-free rate. (3) The H-J lower bound test for the single asset also rejects CCAPM. In addition, the theoretically possible bound for A is 10～37 with 11 industrial portfolios and 23～30 for 16 F-F portfolios. Both ranges are substantially different from the A estimates by GMM. (4) The above empirical results are not changed by alternative methods in estimating A and in testing the equity premium model, by equally-weighted vs. value-weighted effective rates of return, and by different risk-free rates such as the interests rates of time deposits, 91 days CD, and monetary stabilization bonds. In sum, we find evidence that CCAPM is not valid in the sample period using Korean security market data. However, we indicate a possibility that the equity premium puzzle may be more clearly addressed by considering net interest margin, government regulation and taxes, and life-cycle effects and borrowing constraints as postulated by Mehra(2012).

참고문헌 (Reference)

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