交易成本、基于消费的资产定价与股权溢价之谜:来自中国股市的经验分析

The Transaction Cost, Assets Pricing Based on Consumption, and the Puzzle in Share Ownership Premium: an Analysis of the Experiences from China's Stock Market

本文使用广义矩法(GMM)估计了无买卖价差的标准的基于消费的资本资产定价模型(Hansen-Singleton模型)和具有买卖价差的标准的基于消费的资本资产定价模型(Fisher模型),发现:(1)我国股票市场并不像美国等发达国家资本市场那样存在股权溢价之谜现象;(2)在2001年6月以后,我国股票市场上投资者由理性的风险规避者变为非理性的风险追逐者;(3)风险并不是决定资产期望收益的唯一因素,资产期望收益也与换手率和交易成本有关。

After we have estimated by GMM the consumption-based capital assets pricing model(CCAPM) without the standards for difference in selling and buying prices(SFDISABP)(the Hansen-Singleton Model))and estimated by GMM the CCAPM with the SFDISABP(the Fisher Model),we have found that there exists no puzzle in share ownership premium in China's stock markets, as is the case in capital markets in USA and other economically developed countries, that since June,2001, in China's stock markets, the rational risk-dodging investors have become irrational risk seekers,and that risks are not the only factors deciding the expected yield from assets and the rate of changing hands and the trading costs are also related.