Using the frequency-based decomposition, I decompose the consumption growth to explain well-known patterns of stock returns in the Korean market. To be more specific, the consumption growth is decomposed by its half-life of shocks. The component over four years of half-life is called the business-cycle consumption component, and the components with half-lives under four years are short-run components. I compute the long-run and short-run components of stock excess returns as well and use component- by-component sensitivities to price stock portfolios. As a result, the business-cycle consumption risk with half-life of over four years is useful in explaining the cross-section of size-book-to-market portfolios and size-momentum portfolios in the Korean stock market. The short-run components have their own pricing abilities with mixed direction, so that the restricted one short-term factor model is rejected. The explanatory power with short- and long-run components is comparable to that of the Fama-French three-factor model. The components with one- to four-year half-lives are also helpful in explaining the returns. The results about the long-run components emphasize the importance of long-run component in consumption growth to explain the asset returns.

1. 서 론
2. 자료 및 분석 방법론
    2.1 연구의 자료
    2.2 시계열의 지속성 별 분해
    2.3 빈도 별 위험과 수익률
3. 실증분석 결과
    3.1 소비성장률의 빈도 별 분해
    3.2 빈도 별 소비성장률과 주식 수익률 횡단면
4. 결 론
References

• Hankil Kang(단국대학교 경영학부) | 강한길 Corresponding Author