消费资本资产定价模型在我国股票市场中的应用研究

发布时间：2018-01-15 04:22

本文关键词：消费资本资产定价模型在我国股票市场中的应用研究　出处：《贵州财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：宏观经济因素对股票市场中资产收益的影响一直是学者关注的问题之一，对该问题的探索无论对丰富资本市场理论还是为投资者从资本市场获取收益都有重要意义。资本资产定价模型在金融经济学中占据重要地位，在此基础上，引入如消费等因素后的模型由于对资产收益波动的解释能力上等存在不足，还需要在理论上不断创新，，在实证中不断检验。我国资本市场发展时间短，对宏观经济因素变化反应存在明显的时变性和不确定性，市场发育程度和理论研究深度都亟需进一步发展。消费资本资产定价模型是宏观经济因素与资产定价理论结合的产物，该模型为处理资产定价模型中的争论提供了新的视角。模型以居民为主体，研究代表性投资者在消费与投资之间的跨期资产配置行为对股市资产收益产生的影响。由于我国学者在该问题上的研究还不充分，我们在已有研究基础上，考虑投资者个体和时间的效应，从面板数据的角度改进模型，并应用到国内股票市场的研究。通过实证分析，检验该模型在实际应用中的效果，刻画我国投资者的行为特征，解释我国股票市场资产收益的波动性。研究中引用常数相对风险厌恶效用形式的消费资产定价模型、具有递归效用形式的消费资产定价模型以及耐用品消费资产定价模型，对我国资本市场进行了研究，并通过实证检验结果对比了三类模型在我国市场中的应用情况。本文的研究方法包括对消费资本资产定价模型进行广义矩估计，并结合静态与动态面板数据研究方法对模型进行回归解释。通过研究，得出以下结论：首先，我国股票市场中不存在发达国家市场中所表现出的“股权溢价之谜”的现象；其次，针对我国股票市场不同时期的行情变化，我国投资者表现出了阶段性的差异行为特征；最后，对比不同消费资产定价模型的实证研究结果，发现了不同性质的消费品变化对我国股票市场资产收益率影响间的差异。
[Abstract]:The impact of macroeconomic factors on asset returns in the stock market has been one of the concerns of scholars. The exploration of this problem is of great significance for both enriching the capital market theory and obtaining income from the capital market for investors. Capital asset pricing model plays an important role in the financial economics, on the basis of which the capital asset pricing model plays an important role in financial economics. The model after introducing factors such as consumption has some shortcomings in explaining the fluctuation of asset income, so it needs to be innovated in theory and tested in the demonstration. The development time of capital market in China is short. There is obvious time variability and uncertainty in the response to the change of macroeconomic factors, and the degree of market development and the depth of theoretical research need to be further developed. The asset pricing model of consumer capital is the product of the combination of macroeconomic factors and asset pricing theory. It provides a new perspective for dealing with the disputes in asset pricing model. This paper studies the impact of the intertemporal asset allocation behavior between consumption and investment of representative investors on the return of equity assets. Because of the insufficient research on this issue by Chinese scholars, we are based on the existing research. Considering the effect of investors' individual and time, the model is improved from the view of panel data, and applied to the research of domestic stock market. Through empirical analysis, the effectiveness of the model in practical application is tested. This paper describes the behavior characteristics of Chinese investors, explains the volatility of asset returns in China's stock market, and uses the pricing model of consumer assets in the form of constant relative risk-averse utility. The pricing model of consumer assets with recursive utility and the pricing model of consumer assets of durable goods are studied on the capital market of our country. And through the empirical test results to compare the application of three kinds of models in the market in China. The research methods of this paper include the generalized moment estimation of the pricing model of consumer capital assets. Combined with static and dynamic panel data analysis method, the model is interpreted by regression. The conclusions are as follows: firstly, there is no "equity premium puzzle" in the stock market of our country; Secondly, according to the market changes in different periods of China's stock market, the investors of our country have shown the characteristic of stage difference behavior; Finally, by comparing the empirical results of different consumer asset pricing models, we find the differences between the changes of consumer goods and the return of assets in China's stock market.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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