시장상황을 고려한 기대 주식수익률의 횡단면에 관한 재조사 (Re-Examination on Cross-Section of Expected Stock Returns under Up/Down Market Conditions)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 25권 / 4호 / 599 ~ 639페이지
· 저자명 : 엄철준

초록

본 연구는 한국 주식시장에서 시장상황을 고려한 경우, 기대 주식수익률에 대한 시장베타, 기업규모, 장부가치/시장가치 비율의 횡단면 관계를 재조사한다. 연구 관점은 기대모형의 현실검증에 있어서 대용치인 실제치가 갖는 현실속성의 고려 유무가 결과에 중요한 영향을 미칠 수 있다는 것에 있다. 시장의 대표적 현실속성은 시장상황으로, 본 연구는 시장초과수익률이 양(+)의 값을 갖는 경우를 상승시기로, 음(-)의 값은 하락시기로 구분하였다. 검증결과는, 첫째, 시장상황을 고려하지 않은 모형들로부터는 기존연구와 같이 기대 주식수익률의 횡단면 관계에서 시장베타 유용성을 확인할 수 없었다. 둘째, 상승/하락시기로 구분한 시장베타를 이용한 모형으로부터는 기대 주식수익률의 횡단면 관계에서 기업규모, 장부가치/시장가치 비율뿐만 아니라 시장베타도 통계적 유의성을 가졌다. 셋째, 모든 변수들에 시장상황을 고려한 모형으로부터는 모든 독립변수가 기대 주식수익률의 횡단면 관계에 유용성을 갖는 것으로 확인되었다. 본 연구는 기대 주식수익률의 횡단면 재검증에서 가격결정모형의 대표적 요인인 시장베타의 유용성과 이를 통한 위험-수익 관계는 현실속성인 시장상황 변화의 고려 유무에 중요한 영향을 받을 수 있다는 실증적 증거를 발견하였다.

영어초록

Research topics on the risk-return relationship and market beta have made significant contributions in the field of finance in both academia and practice. These topics, nonetheless, have continued to cause conflicting views. As pointed out in Pettengill et al. (1995, 2002), for instance, which has provided the motivation for this study, an ex-ante model has been defined by unobservable expected stock returns, whereas an ex-post model uses observable actual stock returns as a proxy. Expectedly, the difference between unobservable expected stock returns and observable actual stock returns can create confusion since the most significant property that can actually affect market beta is an actual change that becomes materialized in the market situation. In an up market, stocks with high market beta receive higher return compensation (positive risk premium) than stocks with low market beta. In a down market, on the contrary, stocks with high market beta have lower return compensation (negative risk premium) than stocks with low market beta. On the basis of Pettengill et al. (1995, 2002), therefore, this study attempts to gain more accurate understanding of this complex question by re-examining the cross-sectional relationships between the expected stock returns and the three factors associated with the Korean stock market, such as market beta, firm size, and book-to-market equity ratios.


In addition, this study is to design an empirical framework on the basis of studies by Fama and French (1993) and Pettengill et al. (1995, 2002), using the three-step cross-sectional regression analysis proposed by Fama and MacBeth (1973). Specifically, this paper empirically investigates whether portfolio market beta, portfolio firm size, and portfolio book-to-market equity ratio in the past period could significantly explain the change in the portfolio’s excess return in the future period via the cross-sectional regression analysis. Data of stock, bond, and accounting during the period of January 1987 to December 2010 were obtained from the FnGuide. The sub-periods within the overall period were set according to Fama and French (1992). Here, an up market refers to a period showing a positive market excess return, whereas a down market refers to a negative market excess return. The observed results can be summarized as follows.


First, as observed in the study of Fama and French (1992), the results from the models that do not reflect the real market situation have no statistical significance of portfolio market beta to account for the changes of the portfolio excess return in a future period. However, the portfolio firm size and portfolio book-to-market equity ratio are statistically significant. Second, through the results from the models that use market beta, which are classified into either up or down markets, as in the study of Pettengill et al. (1995, 2002), this study confirms that portfolio market beta, portfolio firm size, and portfolio book-to-market equity ratio in a past period can significantly explain the change of portfolio excess return in a future period. That is to say, the usefulness of market beta, firm size, and book-to-market equity ratio is confirmed in the cross-sectional relationship with the expected stock returns when considering market situation into market beta. Third, the results from the models that reflect market situation change into variables, such as market beta, company size, and book-to- market equity ratio, evincing that all of the variables significantly account for the variation in the portfolio excess return in the future period. Finally, this study empirically confirms the robustness of the previous results mentioned, via additional test, reflecting the various influential factors in the empirical design. Simply, the results observed from the additional test show no difference from the previous results mentioned in this study.


The results of this study corroborate that the cross-section of the expected stock returns in the Korean stock market might be much closer to that of Pettengill et al. (1995, 2002) than it is of Fama and French (1992), when considering the change in the market situation. On the basis of the observed evidence, this study also confirms as to whether the reflecting properties of the actual data in applications of the expected models might have an important effect on the observed results. In particular, this study finds that the pricing models in financial theories should sufficiently consider the market situation as a control factor when examining the validity of market beta as well as the risk-return relationship. To further expand this study, future researches can re-evaluate the three-factor pricing model with properties of market situation using the time series regression analysis of Black et al. (1972), as well as confirm the three-factor model’s capability to forecast the risk-return relationship.

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