消费资本资产定价模型与“股票溢酬之谜”——基于我国资本市场的实证分析

CCAPM and"Equity Premium Mystery":Based on Empirical Analysis of the Capital Market in China

验证我国资本市场是否存在“股票溢酬”,有助于完善我国金融市场的定价功能。在对消费资本资产定价模型所产生的“股票溢酬之谜”进行理论分析的基础上,利用A股上市公司2013年7月1日至2022年6月30日的月度数据,将我国资本市场划分为“牛市”“熊市”和“震荡市”3个具有典型中国股市特点的市场,并对此进行了实证检验。结果表明:我国投资者的相对风险规避系数在“牛市”和“震荡市”远小于成熟资本市场,在“熊市”出现了不符合模型设定的负值,同时实证结果也不支持我国资本市场上存在“股票溢酬”,投资者在“熊市”中倾向于“踩踏式杀跌”,在“牛市”表现出强烈的风险偏好倾向,而在“震荡市”中会出现无方向性的混沌式投资行为。

To verify the existence of"equity premium"in China's capital market is helpful to perfect the pricing function of financial market.The theoretical analysis of the"equity premium mystery"caused by CCAPM was presented in this paper;then the CCAPM was empirically tested by using monthly data of A-share listed companies from July 1,2013 to June 30,2022,and the capital market was divided into three markets with typical characteristics of Chinese stock market:"Bull market""Bear market"and"Shock market".The results show that the relative risk aversion coefficient of Chinese investors in"Bull market"and"Shock market"is much smaller than that in mature capital market.At the same time,the empirical results do not support the existence of"equity premium"in China's capital market.Investors tend to"trample to kill"in the"Bear market"and show a strong tendency of risk preference in the"Bull market",in the"Shock market"there will be chaotic investment behavior without direction.