中国居民消费、收入约束与资产收益研究A Research on Residential Consumption,Income Restraint and Asset Returns in China
王立平;
摘要(Abstract)：
基于中国资本市场的发展,考察参与约束对股票溢价的影响。由于资本市场上存在着参与约束,利用全国人均消费数据检验消费资本资产定价模型(CCAPM)可能会导致设定偏差,利用按收入分组的城镇居民家庭消费支出数据考察是否高收入居民的消费模式比低收入居民的消费模式与CCAPM更为一致。结果表明,收入约束假说并未得到支持,将参与约束纳入到CCAPM的研究中未能解释股票溢价之谜。中国居民消费波动对资产收益率的影响有限,中国利率和股票市场的财富效应并不明显。
关键词(KeyWords)： 股票溢价之谜;收入约束假说;实证分析
基金项目(Foundation): 国家社会科学基金青年项目(07CJL013);; 教育部人文社会科学青年项目(06JC790026)
作者(Author): 王立平;
Email:
DOI: 10.16537/j.cnki.jynufe.2010.01.010
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