不同资金成本下的资本资产定价模型研究——基于中国债券市场  

A Study on Capital Asset Pricing Model with Funding Cost:Evidence from China's Bond Market

作　　者：胡志浩[1,2,3,4] 李晓花 Hu Zhihao;Li Xiaohua

机构地区：[1]中国社会科学院金融研究所 [2]中国社会科学院国家金融与发展实验室 [3]中国社会科学院大学应用经济学院 [4]中国社会科学院金融研究所国际金融与国际经济研究室

出　　处：《中国社会科学院大学学报》2023年第9期64-82,138,139,共21页Journal of University of Chinese Academy of Social Sciences

摘　　要：基于资金稀缺性和投资者风险厌恶性,本文修改了经典资本资产定价模型中的无风险利率融资假设。在考虑不同资产融资成本差异的基础上,本文推导出不同资金成本下的资本资产定价模型,从理论上指出资产的期望收益由资金成本和市场风险共同决定,从而拓展了经典资本资产定价模型,并通过对中国债券市场的实证研究验证了这一新模型在债券市场中的有效性。实证结果表明,考虑到债券信用等级因素导致的资金成本差异,不同资金成本下的资本资产定价模型能够对债券收益率进行有效的解释。同时,从模型推导中还能看到,收益率波动衰减的速率小于期限增加的速率,这正是收益率曲线通常向上倾斜的充分必要条件。Recognizing the limited availability of capital and investor risk aversion,this paper introduces a modification to the traditional assumption of riskfree interest rate financing in the Capital Asset Pricing Model(CAPM).By incorporating the difference in funding costs for assets,the paper develops a new model called the Capital Asset Pricing Model with Funding Cost(FCAPM).The FCAPM theoretically asserts that the expected return of assets is determined by both the funding cost andβvalue,offering an extension to the traditional CAPM.Additionally,an empirical study of China's bond market is conducted to validate the efficacy of this new model.The empirical results demonstrate that the FCAPM effectively explains bond yields by considering the funding cost differences influenced by bond credit ratings.Furthermore,the model derivation indicates that the rate of yield volatility attenuation is lower than the rate of maturity increase,establishing the necessary and sufficient condition for an overall upward slope of the yield curve.

关 键 词：资金成本 资本资产定价模型 信用等级 利率期限结构 

分 类 号：F832.51[经济管理—金融学]