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リスク変数としての消費―消費／金融資産比率を用いた条件付きＣＡＰＭのテスト―, Consumption in Asset Pricing Model with the Japanese Data -A Test of Conditional CAPM with Consumption-Financial Wealth Ratio-

Author

Listed:
  • Iwaisako, Tokuo

Abstract

消費に基づく資産価格モデルの実証分析においては，リスク・ファクターとしての消費変数は，資産収益率の変動に関してほとんど説明能力が無いことが日米のデータについて報告されている．本論文は Lettau and Ludvigson (2001a, b) の提案にしたがって，株価に対する消費の比率の平均からの乖離を，条件つき資産価格モデルの条件付け変数 (conditioning variable) として用いたモデルを日本のデータについて実証する．1984年4月から2000年3月までの月次データに関する Fama-MacBeth 回帰による分析によって，消費と株価指数の比の対数が，条件付け変数として株式収益率のクロスセクションについて重要な説明力を持つことを示す．ただし，消費と株価の比率は時間を通じてゆっくりと動く変数であり，株式市場の短期的な確率的変動を説明するリスク・ファクターというよりは，マーケット全体の状況に関する条件付け変数と考えた方が経済学的に妥当な解釈であろう．, Consumption-based asset pricing models have failed to explain the cross-section of asset returns in Japan as well as in the U.S. In this paper, following Lettau and Ludvigson (2001a, b), we estimate a multi-factor model including the consumption-wealth ratio as a conditioning variable for Japanese data. With the data from April 1984 to March 2000, it is shown that the log consumption-stock price ratio has a significant explanatory power for the cross-section of Tokyo stock exchange. The consumption-stock price ratio is a slow-moving variable. It is more appropriate to consider it as a conditioning variable capturing underlying general market condition rather than considering it as a risk factor that explains short-run stochastic variation of stock market.

Suggested Citation

  • Iwaisako, Tokuo, 2003. "リスク変数としての消費―消費／金融資産比率を用いた条件付きＣＡＰＭのテスト―, Consumption in Asset Pricing Model with the Japanese Data -A Test of Conditional CAPM with Consumption-Financial Wealth Ratio-," Economic Review, Hitotsubashi University, vol. 54(2), pages 126-136, April.
    • Handle: RePEc:hit:ecorev:v:54:y:2003:i:2:p:126-136
    DOI: 10.15057/21199
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