변동성변화에 대한 민감도와 주식수익률간의 횡단면적 관계

This paper examines the pricing effect of aggregate volatility risk in the cross- section of stock returns. The sample stocks are all firms listed in the KRX except financial firms during the period from July 1997 to December 2005. The innovation in aggregate volatility is measured as the changes in the Representative Volatility Index from KRX. The quintile portfolios are composed by the loadings of individual stock return on the innovation in aggregate volatility. To estimate the loading, the individual stock excess return is regressed on the market excess return and the innovation in aggregate volatility in daily base. The monthly return of the portfolio that buys high loading portfolio and sells low loading portfolio is positive but not significant. And ex post exposures to the volatility risk of the quintile portfolios seem to have a tendency to revert to zero. The correlation coefficients of the innovation in volatility to the market factor, SMB factor, and HML factor are not statistically significant. This means that the innovation in aggregate volatility can be a candidate for risk factor which can be added to the Fama and French(1993)'s three factor model. To estimate the factor premium on the volatility risk, 25 portfolios are composed by the past loadings on the innovation in the aggregate volatility and the market excess return. The volatility risk factor premium is positive but not significant for all period. For first sub-period, the premium is significantly positive, and for second sub-period, the premium is significantly negative. But the estimates of volatility risk premium do not have consistency to the criterion of the portfolio composition and to the sample period.