本文關(guān)鍵詞：消費(fèi)資本資產(chǎn)定價(jià)模型在我國股票市場中的應(yīng)用研究　出處：《貴州財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票市場 消費(fèi)資產(chǎn)定價(jià)模型 股權(quán)溢價(jià) 面板數(shù)據(jù)

【摘要】：宏觀經(jīng)濟(jì)因素對股票市場中資產(chǎn)收益的影響一直是學(xué)者關(guān)注的問題之一，對該問題的探索無論對豐富資本市場理論還是為投資者從資本市場獲取收益都有重要意義。資本資產(chǎn)定價(jià)模型在金融經(jīng)濟(jì)學(xué)中占據(jù)重要地位，在此基礎(chǔ)上，引入如消費(fèi)等因素后的模型由于對資產(chǎn)收益波動(dòng)的解釋能力上等存在不足，還需要在理論上不斷創(chuàng)新，，在實(shí)證中不斷檢驗(yàn)。我國資本市場發(fā)展時(shí)間短，對宏觀經(jīng)濟(jì)因素變化反應(yīng)存在明顯的時(shí)變性和不確定性，市場發(fā)育程度和理論研究深度都亟需進(jìn)一步發(fā)展。 消費(fèi)資本資產(chǎn)定價(jià)模型是宏觀經(jīng)濟(jì)因素與資產(chǎn)定價(jià)理論結(jié)合的產(chǎn)物，該模型為處理資產(chǎn)定價(jià)模型中的爭論提供了新的視角。模型以居民為主體，研究代表性投資者在消費(fèi)與投資之間的跨期資產(chǎn)配置行為對股市資產(chǎn)收益產(chǎn)生的影響。由于我國學(xué)者在該問題上的研究還不充分，我們在已有研究基礎(chǔ)上，考慮投資者個(gè)體和時(shí)間的效應(yīng)，從面板數(shù)據(jù)的角度改進(jìn)模型，并應(yīng)用到國內(nèi)股票市場的研究。通過實(shí)證分析，檢驗(yàn)該模型在實(shí)際應(yīng)用中的效果，刻畫我國投資者的行為特征，解釋我國股票市場資產(chǎn)收益的波動(dòng)性。研究中引用常數(shù)相對風(fēng)險(xiǎn)厭惡效用形式的消費(fèi)資產(chǎn)定價(jià)模型、具有遞歸效用形式的消費(fèi)資產(chǎn)定價(jià)模型以及耐用品消費(fèi)資產(chǎn)定價(jià)模型，對我國資本市場進(jìn)行了研究，并通過實(shí)證檢驗(yàn)結(jié)果對比了三類模型在我國市場中的應(yīng)用情況。本文的研究方法包括對消費(fèi)資本資產(chǎn)定價(jià)模型進(jìn)行廣義矩估計(jì)，并結(jié)合靜態(tài)與動(dòng)態(tài)面板數(shù)據(jù)研究方法對模型進(jìn)行回歸解釋。 通過研究，得出以下結(jié)論：首先，我國股票市場中不存在發(fā)達(dá)國家市場中所表現(xiàn)出的“股權(quán)溢價(jià)之謎”的現(xiàn)象；其次，針對我國股票市場不同時(shí)期的行情變化，我國投資者表現(xiàn)出了階段性的差異行為特征；最后，對比不同消費(fèi)資產(chǎn)定價(jià)模型的實(shí)證研究結(jié)果，發(fā)現(xiàn)了不同性質(zhì)的消費(fèi)品變化對我國股票市場資產(chǎn)收益率影響間的差異。
[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.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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