基于外生消费习惯的资产定价实证研究

发布时间：2018-02-04 02:55

本文关键词： 消费资本资产定价模型外生消费习惯广义矩估计风险溢价　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：在国外,将宏观的消费选择理论与资产定价理论统一在一起研究已经有了很深的基础和实证经验,发达资本市场广泛存在着风险溢价之谜、无风险利率之谜等诸多谜题。在国内,关于消费资本资产定价模型的研究取得了初步进展。本文在基于Abel模型的基础上,通过1998-2012年的资本市场月度数据,利用GMM方法着重研究了居民消费与风险资产和无风险资产之间的动态关系,考察我国的资本市场是否存在着诸如发达资本国家的风险溢价之谜。本文首先回顾了已有的关于消费资本资产定价模型以及实证检验的研究。同顾了Hansen-Singleton理论模型、Epstein-Zin理论模型、Abel理论模型和Constantinides理论模型。本文重点考察了基于外生消费习惯的Abel模型,并对此进行了实证分析,得出了一些具有中国资本市场特色的结论。实证分析结果表明我国当前资本市场是部分支持非线性的理性预期模型。中国的资本市场并不存在类似于西方发达成熟资本市场的“风险溢价之谜”的问题。于此同时,在不同的时间周期内,投资者的投资行为表现也不同。在牛市中,代表性投资者往往表现出非理性风险偏好；在熊市中,代表性投资者反而表现出理性的风险厌恶,更加倾向于投资无风险资产。代表性投资者的外生消费习惯因素在不同时间周期内对投资者的影响是不同的,牛市中的外生消费习惯因素对代表性投资者的消费行为影响比熊市中要小。
[Abstract]:In foreign countries, there has been a deep foundation and empirical experience in unifying the macro-consumption choice theory and asset pricing theory, and the risk premium puzzle exists widely in developed capital markets. Risk-free interest rate riddle and many other puzzles. In China, the research on the pricing model of consumer capital assets has made a preliminary progress. This paper based on the Abel model. Based on the monthly data of capital market from 1998 to 2012, this paper focuses on the dynamic relationship between resident consumption and risky assets and risk-free assets by using GMM method. To investigate whether there is a riddle of risk premium in China's capital market, such as developed capital countries. This paper first reviews the existing research on the pricing model of consumer capital assets and empirical test. It also considers the Hansen-Singleton theory model. Epstein-Zin theoretical model, Abel theoretical model and Constantinides theoretical model. This paper focuses on the Abel model based on exogenous consumption habits. And the empirical analysis of this. Some conclusions with the characteristics of Chinese capital market are obtained. The empirical analysis shows that the current capital market in China is a rational expectation model which partially supports the nonlinear. The capital market in China does not exist similar to the western capital market. Mature capital market " The question of the risk premium puzzle. At the same time. In the bull market, the representative investors often show irrational risk preference. In a bear market, representative investors instead show rational risk aversion. It is more inclined to invest in risk-free assets. The influence of exogenous consumption habits of representative investors on investors is different in different time cycles. The influence of exogenous consumption habits on the consumption behavior of representative investors in bull market is smaller than that in bear market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.91

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