中国居民消费波动、城乡分割与股票溢价研究

A Study of the Chinese Residents'Consumption Volatility,Urban-rural Partition and the Equity Premium

股票溢价之谜对标准消费资本资产定价模型(CCAPM)所暗含的跨期均衡关系提出了质疑,该谜的存在表明我们对宏观经济与金融理论的理解还存在许多缺陷。本文的目的是基于我国城乡分割的背景来考察参与约束对股票溢价的影响,从而拓展了股票溢价之谜的研究广度。本文考察了在城乡分割的背景下,在制度上与经济上受约束的消费者(农村居民)和不受约束的消费者(城镇居民)对于标准CCAPM的影响,并提出了城乡约束假说。实证结果表明,相对农村居民而言,城镇居民的消费模式并非与标准CCAPM更为一致,城乡约束假说没有通过实证检验。将城乡约束纳入到标准CCAPM的分析中未能解释股票溢价之谜。

The equity premium puzzle oppugns the implied intertemporal equilibrium relationship of the standard CCAPM.This puzzle shows that there are many drawbacks in the understanding of the macroeconomics and financial theories. This paper aims to consider the influence of the participation constraint on the equity premium based on the Chinese background of the urban-rural partition.This paper examines the implications of the institutionally and economically constrained consumers(rural residents) and unconstrained consumers(urban residents) on the standard CCAPM and puts forward the urban-rural constraint hypothesis.The empirical results show that the consumption patterns of the urban residents are not in more accordance with the standard CCAPM as compared to the rural residents, and the urban-rural constraint hypothesis isn't supported by the test.It doesn't resolve the equity premium puzzle by including the urban-rural constraint into the analyses of the standard CCAPM.