跨期资产定价理论及其在中国股票市场上的应用研究

【作者】 肖俊喜；

【导师】 王庆石；

【作者基本信息】 东北财经大学 ， 数量经济学， 2005， 博士

【摘要】 资本资产定价模型(CAPM)是现代金融经济学中较为经典的理论模型之一，但近年来资本资产定价模型的经验证据却令人失望——资本资产定价模型无法解释资产或组合的期望收益率的截面变化。这可能是由多种原因造成的，其中一个重要原因是它的静态设定中没有考虑时变投资机会集(即时变的风险和时变的风险溢价)的作用。跨期资产定价模型(IAPM)能够弥补资本资产定价模型这一理论缺陷。而且，跨期资产定价模型还可以潜在地回答决定风险溢价的因素是什么及其水平大小，解决资产收益率可预测性问题，刻画投资者行为特征(风险偏好性质和跨期偏好特性)。但在国外，跨期资产定价模型、尤其标准的基于消费资本资产定价模型应用起来没有获得与其理论相得益彰的经验结论。例如，存在股权溢价之谜和欧拉方程经常被拒绝。那么，跨期资产定价模型在中国股票市场上的应用又会如何呢? 中国股市已度过十多个风雨历程，也初具一定的规模。但由于上市公司质量不高，可投资的金融产品少，中国股市上投资者并不像美国等发达资本市场上投资者那样获得了丰厚的风险回报。尤其自2001年6月以来，中国股市持续低迷，股市流通市值蒸发，资产严重缩水，投资者亏损严重。投资者已对中国股市丧失了信心。这导致了一种恶性循环，即股市低迷，导致投资者信心丧失；投资者信心丧失，导致股市持续低迷。在此情形下，投资者行为特征(风险偏好性质和跨期偏好特性)是怎么样的?以及由其所决定的资产的价格(或收益率)特征又如何?中国股市经验上是否也存在股权溢价之谜?当将跨期资产定价模型应用于中国股市时，在通常的显著性水平下欧拉方程是否也会被拒绝呢? 国内现有的文献对上述中国股市上的诸多疑问都有所涉及，但不够深入，未能完全解决。于是，笔者带着上述诸多疑问，在随机贴现因子框架下，以中国股市为主要的研究对象，以跨期资产定价模型(IAPM)联合定价风险资产和相对无风险资产的能力为研究主线，围绕着中国股市上是否存在股权溢价之谜、欧拉方程在通常的显著性水平下是否被拒绝、以及条件资产定价模型解释资产更多还原

【Abstract】 The capital asset pricing model (CAPM) is one of the classical theoretical models in modern financial economics, but recent empirical evidence of the capital asset pricing model is disappointing—the capital asset pricing model fails to explain the cross-sectional variation of asset expected returns. This may be caused by many reasons. One crucial reason of them is that its static specification fails to take into account the effects of time-varying investment opportunity (time-varying risk and time-varying risk premia) set. Intertemporal asset pricing models (IAPM) can remedy this theoretical defect of the capital asset pricing model. Moreover, the intertemporal asset pricing models can also potentially answer what forces determine risk premia and its levels, and account for predictability in asset returns, and characterize the properties of investors’ behavior (the investors’ properties of risk preference and intertemporal preference). But empirical results supporting the intertemporal asset pricing theory are rarely obtained in developed capital markets. For instance, there does exist the equity premium puzzle, and Euler’s Equations are often rejected at conventional significant levels. Then, what is the situation of the intertemporal asset pricing models applied in China’s stock market?China’s stock market has experienced more than ten years and has reached a certain scale. But unlike investors in American stock market, investors in Chinese stock market didn’t get enough rewards for bearing risk. This is because listed companies in China’s stock market are of low quality, and investible financial products are rare. Especially since June, 2001, downturn in China’s stock market has persisted, and outstanding market value has evaporated, and the investors have suffered lots of losses and have lost their confidence in China’s stock market. This leads to a vicious spiral, i.e., downturn in stock market induces investors to lose their confidence, and vice versa. Under this circumstance, what is the investors’ behavior (the investors’ properties of risk preference and intertemporal preference)? How does更多还原