금융기관 대출과 위험프리미엄: 기간간 준거 자본자산 가격결정모형의 실증연구

In this study, we specify and verify an Intertemporal Capital Asset Pricing Model to explain the cross-section of stock returns in Korea. Instead of employing the models derived from the macroeconomic equilibrium, the previous studies rely on Arbitrage Pricing Theory to capture the cross-sectional variation of stock returns. We propose loans of commercial and specialized banks as a state variable for the intertemporal capital asset pricing model and compare the performance of such a model to benchmark factor models that have shown good performance in the cross-section. The empirical results show that our model where the risk factors are only two, the market portfolio and the innovation of the loans, demonstrates the high R-squared being more than 50% and the risk prices of the risk factors are statistically significant even after correcting for several measurement errors. In contrast, most of risk prices from the benchmark factor models are not significant even though their cross-sectional fits are large. Once we add the innovation of the default risk premium to our model, we find that our model’s performance is the highest and risk prices are still significant. These results imply that Korean stock market can be addressed by economic interpretation, in that investors in the market trade stocks to hedge against their time-varying movements of their wealth and consumption, and thereby leading to the cross-sectional variation of stock returns. For future research, finding the new state variables and identifying the other components of investment opportunities would be helpful to understand the economic participants’ behaviors and incentives behind stock markets.