손범진 연구실

1. "Do Empirical Pricing Factors Proxy for Innovations to State Variables in the ICAPM? A Direct Time-Series Test" with Heungju Park. We develop a direct time-series test of whether an empirical pricing factor proxies for an innovation to a latent state variable in the intertemporal capital asset pricing model. Using an Exponential-Almon MIDAS specification, we reconstruct the factor-implied state variable from a parsimoniously weighted history of factor realizations and test whether it predicts a model-implied aggregate measure of the investment opportunity set. Simulations show that MIDAS reconstructs latent states more accurately than rolling-sum and finite-distributed-lag alternatives across diverse dynamics, but conventional asymptotic tests substantially overreject. We therefore use a null-imposed recursive system bootstrap, Clark–West out-of-sample tests, and subsample stability tests. Applying the method to the nonmarket Fama–French, momentum, and selected q5 factors from 1974 through 2024, we find bootstrap support for SMB and HML in the market return predictive regressions. SMB is more stable across subsamples and is the only factor with a positive full-period out-of-sample R2. For realized variance, CMA and I/A receive the strongest support across bootstrap, out-of-sample forecasting, and subsample evidence, while HML and WML receive weaker support. The results help identify the intertemporal risks represented by empirical factors. 2. "On the Time-Series and Cross-Sectional Consistency of Pricing Factors" with Ji Ho Kwon. 3. "Real Economic Linkages and the Transmission of U.S. Monetary Policy to Global Equity Markets" with Heungju Park. 4. "Two-Component Volatility Spillovers between Stock Markets through Financial and Real Linkages" with Heungju Park. Volati