摘要
本文通过基于消费的资本资产定价模型利用消费与个人财富弹性、股票收益与消费增长协方差以及股权溢价来计算中国的相对风险规避系数,认为中国证券市场明显存在股权溢价之迷,股票收益与消费增长还呈现出与理论不符的负相关关系,这从侧面证明中国股票市场的财富效用传导机制并不畅通,基于消费的资本资产定价模型在中国缺乏解释力。
The paper calculates the coefficient of China＇ s investor rela- tive risk aversion considering elasticity of consumption to individual wealth, equity premium and covariance of equity premium and consumption. The results support the conclusion of China＇ s equity premium puzzle. Contrary to the CCAPM model, the covariance of equity premium and consumption is negative. This result implicates that so far China＇ s wealth conduct mechanism is far from forming.
出处
《特区经济》
北大核心
2007年第2期109-111,共3页
Special Zone Economy
关键词
资产定价
股权溢价之谜
实证分析
中国
Equity Premium Puzzle
Coefficient s of Relative Risk Aversion
