소비습관과 주식수익률 프리미엄 현상 : 한국증권시장에서의 검증

This paper examines whether a utility function with habit formation can be of help to resolve “the equity premium puzzle” raised by Mehra and Prescott(1985) in the financial market of Korea over the sample periods, 1965~2007. Using the information contained in the first and second moments of estimated parameters I find that under the habit formation the equity premium generated by the model exceeds its historical average if the relative risk aversion coefficient is greater than six. This result is consistent that the coefficient should be at least 22 under the traditional time separable preference. I obtain the above result thorough the following procedures. First, I perform Chow test in order to investigate the structural change in sample concerning four key variables. No structural change is found in stock index returns, and interest rates as well. Secondly, Using Phillips-Perron’s test statistic, I test the stationarity of the key time series variables over sample periods. All variables including index returns and interest rates turn out to be stationary, despite the Asian financial Crisis in 1997. These two procedures lead to robust estimation and reliable results. In the next step, by the Euler Equation test, both the habit formation and time separable preferences are shown to be adequate for asset pricing purposes. Finally, adopting the methodology testing suggested by Ferson and Harvey(1992), I show that the habit formation is more useful than the time separable preferences in explaining the equity premium puzzle.