“房住不炒”政策的股市溢出效应——包含房产要素的动态均衡模型与资产定价研究  

Non-speculative housing policy’s spillover effect on the stock market:Real estate-incorporated dynamic equilibrium model and asset pricing study

作　　者：张云 刘芸 章逸飞 ZHANG Yun;LIU Yun;ZHANG Yifei(School of Finance,Shanghai Lixin University of Accounting and Finance,Shanghai 201209,China;School of Accounting and Finance,Faculty of Business,The Hong Kong Polytechnic University,Hong Kong 999077,China)

机构地区：[1]上海立信会计金融学院金融学院,上海201209 [2]香港理工大学商学院会计及金融学院,中国香港999077

出　　处：《系统工程理论与实践》2022年第4期865-878,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72074150);上海市哲学社会科学规划基金(2021ZJB004);教育部人文社会科学研究青年基金(19YJC790087);上海市浦江人才计划(18PJC086)。

摘　　要：“房住不炒”奠定了我国房地产市场长期调控政策的重要基调,而房地产发展与金融市场关系密切,金融危机和波动关联事件导致“房住不炒”股市溢出效应受到关注.本文将房产要素区别于传统资本要素,构建家庭和企业作为代理人的一般均衡资产定价模型,通过家庭对房地产偏好变化冲击来推导分析“房住不炒”政策对企业股票回报的影响及作用机制.仿真模拟发现,在受到“房住不炒”冲击后房产价格增速下降,资本收益增长幅度小于房产收益下降幅度,导致企业股权收益下降,“房住不炒”政策抑制企业股价.此外,本文构建企业房产资产权重函数,采用短期事件分析法和双重差分法开展实证检验,发现“房住不炒”政策对企业股票短期和长期回报均有较为显著的抑制作用.政府对房市发出负向信号后,企业房产资产权重每增加1%,企业股票日度回报下跌:1.04%,年度回报下跌约13%.本文最后对“房住不炒”政策对股票市场影响效应及风险敞口提出政策建议.The principle that"houses are for living in and not for speculative investment"sets the critical tone for China’s long-term real estate market regulations.Bound to the financial system,real estate market regulations would spill over to the stock market due to the close association between financial crisis and real estate fluctuations.This paper distinguishes real estate from traditional capital and constructs a general equilibrium asset pricing model with households and firms.Taking the"non-speculative housing policy"as an exogenous shock to households’housing preferences,we analyze the mechanism and study the policy’s impact on firms’stock returns.Our simulation results find negative responses of land price growth and stock returns to the housing policy.Using the short-term event analysis and difference-in-differences methods,we empirically find a negative effect of the policy on firms’short-and long-run stock returns.Specifically,with a one percentage point increase in firms’real estate ratio,the daily return decreases by1.04%,and the annual return reduces by 13%.Policy suggestions are put forward on the spillover effect and the risk exposure.

关 键 词：“房住不炒”政策 股票市场 溢出效应 

分 类 号：F83[经济管理—金融学]