基于效用成本风险异质性的消费资本资产定价模型  

CCAPM BASED ON UTILITY COST HETEROGENEITY FOR HETEROGENEOUS RISK OF ASSET

作　　者：胡召平[1] 

机构地区：[1]中国人民大学财政金融学院,北京100872

出　　处：《经济理论与经济管理》2010年第5期51-58,共8页Economic Theory and Business Management

基　　金：中国人民大学研究生科学研究基金项目"中国股权溢价之谜的探讨"(08XNH004)

摘　　要：资产定价既是现代金融的核心,也是许多困惑之所在,其中最著名的就是股权溢价之谜和无风险利率之谜。本文对消费资本资产定价模型中的效用成本做了重新思考,引入"效用成本风险异质性"的概念,并将效用成本区分为"消费效用成本"和"风险效用成本"。在此基础上,本文提出了消费资本资产定价模型的新形式,并对股权溢价之谜和无风险利率之谜进行解释。Asset pricing is considered as the core of modern finance; it involves puzzles such as the equity premium puzzle and the risk-free rate puzzle, which have attracted an extensive research interest. This paper reconsiders the utility cost, brings in the concept of utility cost heterogeneity for heterogeneous risk of asset, and distinguishes the utility cost into the utility cost of consumption decrease and the utility cost of risk. On this basis, this paper proposes the new forms of CCAPM model, and gives explanations of the equity premium puzzle and the risk-free rate puzzle.

关 键 词：消费资本资产定价模型 效用成本风险异质性 消费效用成本 风险效用成本 

分 类 号：F224[经济管理—国民经济] F830