本文關(guān)鍵詞： 消費(fèi)資本資產(chǎn)定價(jià)模型 外生消費(fèi)習(xí)慣 廣義矩估計(jì) 風(fēng)險(xiǎn)溢價(jià)　出處：《南京大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：在國(guó)外,將宏觀的消費(fèi)選擇理論與資產(chǎn)定價(jià)理論統(tǒng)一在一起研究已經(jīng)有了很深的基礎(chǔ)和實(shí)證經(jīng)驗(yàn),發(fā)達(dá)資本市場(chǎng)廣泛存在著風(fēng)險(xiǎn)溢價(jià)之謎、無(wú)風(fēng)險(xiǎn)利率之謎等諸多謎題。在國(guó)內(nèi),關(guān)于消費(fèi)資本資產(chǎn)定價(jià)模型的研究取得了初步進(jìn)展。本文在基于Abel模型的基礎(chǔ)上,通過(guò)1998-2012年的資本市場(chǎng)月度數(shù)據(jù),利用GMM方法著重研究了居民消費(fèi)與風(fēng)險(xiǎn)資產(chǎn)和無(wú)風(fēng)險(xiǎn)資產(chǎn)之間的動(dòng)態(tài)關(guān)系,考察我國(guó)的資本市場(chǎng)是否存在著諸如發(fā)達(dá)資本國(guó)家的風(fēng)險(xiǎn)溢價(jià)之謎。 本文首先回顧了已有的關(guān)于消費(fèi)資本資產(chǎn)定價(jià)模型以及實(shí)證檢驗(yàn)的研究。同顧了Hansen-Singleton理論模型、Epstein-Zin理論模型、Abel理論模型和Constantinides理論模型。本文重點(diǎn)考察了基于外生消費(fèi)習(xí)慣的Abel模型,并對(duì)此進(jìn)行了實(shí)證分析,得出了一些具有中國(guó)資本市場(chǎng)特色的結(jié)論。實(shí)證分析結(jié)果表明我國(guó)當(dāng)前資本市場(chǎng)是部分支持非線性的理性預(yù)期模型。中國(guó)的資本市場(chǎng)并不存在類似于西方發(fā)達(dá)成熟資本市場(chǎng)的“風(fēng)險(xiǎn)溢價(jià)之謎”的問(wèn)題。于此同時(shí),在不同的時(shí)間周期內(nèi),投資者的投資行為表現(xiàn)也不同。在牛市中,代表性投資者往往表現(xiàn)出非理性風(fēng)險(xiǎn)偏好；在熊市中,代表性投資者反而表現(xiàn)出理性的風(fēng)險(xiǎn)厭惡,更加傾向于投資無(wú)風(fēng)險(xiǎn)資產(chǎn)。代表性投資者的外生消費(fèi)習(xí)慣因素在不同時(shí)間周期內(nèi)對(duì)投資者的影響是不同的,牛市中的外生消費(fèi)習(xí)慣因素對(duì)代表性投資者的消費(fèi)行為影響比熊市中要小。
[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.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F830.91

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本文編號(hào)：1489115