ABSTRACT

We test both the conditional and unconditional versions of the consumption capital asset pricing model (CCAPM) on the Johannesburg Stock Exchange, for the period 1988–2018, and compare its performance with that of the CAPM and the Fama-French three- and five-factor models. We use the consumer confidence index as an instrument to parameterise shifts in betas over time in conditional models. In order to study the robustness of the results at a higher frequency than that of consumption data, we use the mimicking portfolio of the stochastic discount factor tied to the model. Our results show that in all cases the conditional CCAPM performs satisfactorily, outperforming both the CAPM and the Fama-French three-factor model. These results suggest that South African consumption growth and consumer sentiment help explain a large fraction of the expected returns in the Johannesburg Stock Exchange.

摘要

我们在约翰内斯堡证券交易所测试了1988-2018年期间有条件版本和无条件版本的消费资本资产定价模型（CCAPM），并将其与CAPM和Fama-French三和五模型的表现进行了比较。因素模型。我们使用消费者信心指数作为在条件模型中参数化Beta随时间变化的工具。为了研究结果的稳健性，其频率高于消费数据的稳健性，我们使用与模型相关的随机折现因子的模拟组合。我们的结果表明，在所有情况下，有条件的CCAPM都能令人满意地执行，优于CAPM和Fama-French三因素模型。