习惯形成、局部持久性和基于消费的资本资产定价——来自中国股市的经验分析被引量：11

Forming Traditionally, Sustaining Partially and Consumption Based Pricing Mechanism of Capital Assets——The Experimental Analysis of China Stock Markets

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摘要 In the paper,the authors estimate the consumption-based capital asset pricing model with internal expected utility of habit formation or local durability—Constantinides model by Generalized Method of Moments (GMM),and conclude that,(1) tests of overidentification show that the estimated models can’t be rejected at normal significance levels;(2) rational investors who are risk averse become irrational who are risk-seeker after June 2001;(3) the representative investor’s intertemporal preferences show the property of their habit formation in the bear markets,but display their local durability in the bull markets. In the paper,the authors estimate the consumption-based capital asset pricing model with internal expected utility of habit formation or local durability—Constantinides model by Generalized Method of Moments (GMM),and conclude that,(1) tests of overidentification show that the estimated models can't be rejected at normal significance levels;(2) rational investors who are risk averse become irrational who are risk-seeker after June 2001;(3) the representative investor's intertemporal preferences show the property of their habit formation in the bear markets,but display their local durability in the bull markets.

作者王庆石肖俊喜

机构地区东北财经大学

出处《统计研究》 CSSCI 北大核心 2005年第5期22-27,共6页 Statistical Research

关键词资本资产定价习惯形成经验分析中国股市持久性消费局部

分类号 F832.5 [经济管理—金融学] F830.9 [经济管理—金融学]

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参考文献8

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