发展中金融市场上的资产定价问题研究  

Research on Asset Pricing Theory in Developing Financial Markets

作　　者：于春海[1] 

机构地区：[1]中国人民大学经济学院

出　　处：《政治经济学评论》2004年第1期147-166,共20页China Review of Political Economy

摘　　要：本文通过分析西方主流资产定价理论——新古典主义资产定价理论——的产生和发展过程,对西方资产定价理论的理论逻辑和发展脉络进行简要的梳理,并在此基础上,结合发展中金融市场所存在的利率刚性、市场分割等因素,对新古典主义资产定价理论与发展中金融市场相结合时出现的异常现象进行了分析。从市场参与者行为的变化出发,对发展中金融市场上价格机制的"异化"现象提出初步解释。The first part of this paper reviews the history of the evolution of western mainstream asset pricing theory,neoclassical asset pricing theory,to find the general analytical logic and framework of it;the second part,based on the existing research results,mainly studies the issues of asset pricing in developing financial market by incorporating the concrete features of developing financial market,interest rate rigidity and market segmentation.Based on the change of market participants' behavior in a specifically set circumstance,this paper brings forward an initial explanation for the 'pricing anomaly' in developing financial markets.

关 键 词：资产定价理论 新古典主义 金融市场 经济个体 资本资产定价模型 问题研究 无风险收益率 效用函数 跨时期 风险溢价 

分 类 号：F830[经济管理—金融学]