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Korean Journal of Financial Studies 2009;38(2):207-229.
Published online June 30, 2009.
Intertemporal Capital Asset Pricing Model with Vasicek Variable: Theory and Evidence
Jong Ryong Lee
Vasicek 기반 연속모형
This paper derives a simple intertemporal capital asset pricing model (VICAPM) with a state variable (Vasicek, 1977), which is a proxy for business cycle realizable at negative values, and examines the VICAPM with market data. The model of interest rate derived in this paper, in long-term mean and volatility of which are dependent upon levels of the interest rate, is distinguishable from that in Cox, Ingersoll and Ross (1985a). To test the VICAPM, the paper builds up a horizontal model (HICAPM) of VICAPM. HICAPM is a cross-sectional model with three factors: covariance of the excess return of the asset over the rate of interest, which is derived from the state variable, with the excess return of the market portfolio over the rate of interest, the variance of the excess return of the asset over the rate of interest, and the covariance of the excess return of the asset over the rate of interest with the rate of interest. The HICAPM is tested thru generalized method of moments methodology with KRX data of weekly and monthly horizons. Empirical results imply that the VICAPM well explains the variation of expected excess returns.
Key Words: 수익률적분,실증분석모형,자료시차,Data Horizon,HICAPM,Integral,Vasicek 기반 연속모형,Vasicek 변수,Vasicek Variable,VICAPM
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