中国居民消费、收入约束与资产收益研究  

A Research on Residential Consumption,Income Restraint and Asset Returns in China

作　　者：王立平[1] 

机构地区：[1]山东经济学院经济与城市管理学院,济南250014

出　　处：《云南财经大学学报》2010年第1期67-72,共6页Journal of Yunnan University of Finance and Economics

基　　金：国家社会科学基金青年项目(07CJL013);教育部人文社会科学青年项目(06JC790026)

摘　　要：基于中国资本市场的发展,考察参与约束对股票溢价的影响。由于资本市场上存在着参与约束,利用全国人均消费数据检验消费资本资产定价模型(CCAPM)可能会导致设定偏差,利用按收入分组的城镇居民家庭消费支出数据考察是否高收入居民的消费模式比低收入居民的消费模式与CCAPM更为一致。结果表明,收入约束假说并未得到支持,将参与约束纳入到CCAPM的研究中未能解释股票溢价之谜。中国居民消费波动对资产收益率的影响有限,中国利率和股票市场的财富效应并不明显。Based on the development of China＇ s capital market, the paper studies the influence of participation constraint on equity premium. Because participation constraint exists in the capital market, it may lead to setting deviation if we use per capital consumption data in China to test the consumption capital asset pricing model （CCAPM）. Therefore, the author utilizes the urban residents＇ consumption expenditure delineated by income to test whether the high -come residents＇ consumption pattern is more consistent with the CCAPM as compared to the low - income residents. The results show that the income constraint hypothesis is not supported, and to include participation constraint into the CCAPM research does not explain the puzzle of equity premium. The impact of the fluctuation of residential consumption in China on the asset return rate is limited, and the wealth effects of Chinese interests and the stock market are not obvious.

关 键 词：股票溢价之谜 收入约束假说 实证分析 

分 类 号：F047.3[经济管理—政治经济学]