基于消费习惯与生产的资产定价模型  

Assets Pricing Model Based on Habit Formation and Production

作　　者：朱微亮[1] 刘海龙[1] 史青青[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《上海交通大学学报》2008年第9期1561-1565,共5页Journal of Shanghai Jiaotong University

基　　金：国家自然科学基金资助项目(70471025)

摘　　要：基于一般均衡资产定价模型,研究了存在外生的消费习惯及可调整的生产成本对股票价格的影响,证明了股票的预期收益率是无风险利率、企业绩效定价因子、市值/账面值比率因子以及企业规模因子的线性函数.结果表明:企业的绩效、行业发展前景、企业研发能力与企业股票预期收益率正相关;企业规模及企业的市值/账面值比率与企业股票预期收益率负相关.Based on the general equilibrium assets pricing model, this paper studied the affects of existed exogenous consumption habits and adjustment costs on expected stock returns and showed that the expected stock returns is a linear function of free-risk rate, B/M ratio pricing factor and enterprise size pricing factor. The results prove that the management capacity and industry development prospect are positively related to the expected stock returns, and that the enterprise size and B/M ratio are negatively related to the expected stock returns.

关 键 词：消费习惯 资产定价模型 预期股票收益率 

分 类 号：F830.91[经济管理—金融学]