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Macroeconomic risk and the cross-section of stock returns

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  • Kang, Jangkoo
  • Kim, Tong Suk
  • Lee, Changjun
  • Min, Byoung-Kyu

Abstract

We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market excess returns in the presence of competing predictive variables. In addition, our conditional CCAPM performs approximately as well as Fama and French’s (1993) three-factor model in explaining the cross-section of the Fama and French 25 size and book-to-market sorted portfolios. Our specification shows that value stocks are riskier than growth stocks in bad times, supporting the risk-based story.

Suggested Citation

  • Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
    • Handle: RePEc:eee:jbfina:v:35:y:2011:i:12:p:3158-3173
    DOI: 10.1016/j.jbankfin.2011.04.012
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    Keywords

    Asset pricing; Macroeconomic variable; Stock return predictability; Consumption capital asset pricing model; Value premium;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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