流动性调整的消费资本资产定价模型——来自中国市场的经验证据  

Pricing Model of Liquidity Adjusted Consumption Capital Asset——Empirical Evidence from Chinese markets

作　　者：储小俊[1] 

机构地区：[1]南京信息工程大学,江苏南京210044

出　　处：《系统工程》2010年第1期33-40,共8页Systems Engineering

基　　金：教育部人文社会科学研究项目(08JC630047);江苏省哲学社会科学研究重大项目(08SJB6300021);南京信息工程大学人文社会科学研究项目(SK20090165)

摘　　要：在流动性调整的消费资本资产定价理论模型的基础上,通过线性和非线性两种方程形式、使用GMM估计方法,实证检验该模型对中国A股市场截面收益的解释力。实证结果发现:样本期内的风险厌恶系数估计值在合理的范围内,表明我国市场不存在"股权溢价"之谜;在解释25个FF组合截面收益时,拒绝以幂效用函数为基础的标准消费资本资产定价模型,递归效用函数的消费资本资产模型具有更强的截面解释能力。流动性是决定资产定价的重要因素之一,流动性风险可以解释FF组合规模效应的76%、账面/市值比效应的49%。Based on liquidity adjusted Consumption Capital Asset Pricing Model, Empirical tests are performed to explain cross-sectional variation of returns in China＇ s A-share markets by using GMM estimation methods under linear and nonlinear equations. The results show that the estimated coefficient of risk aversion is reasonable during sample period, indicating that there does not exist ＂equity premium＂ puzzle in China＇s markets. When interpreting 25 FF portfolio crosssectional returns, power utility function CCAPM is rejected, but recursive utility function has more explanatory power of the cross-section. Liquidity is an important determinant of asset pricing in that liquidity risk can explain 76% of the scale effect of FF portfolio, 49 % of b/m effect.

关 键 词：流动性 递归效用 消费资本资产定价模型 截面收益 

分 类 号：F830[经济管理—金融学]