消费风险与资产收益
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摘要
本文在调整经济结构、扩大消费需求的背景下研究消费对资产收益的影响。财富效应反映的是资产收益对消费的影响；然而,消费的不确定性如何影响资产收益呢?投资者的投资、消费决策行为如何影响资产收益呢?它并没有给出这些问题的答案。因此,我们从消费影响资产收益的视角出发,探索经济基本面对金融市场的影响,换言之,本文研究在不确定的环境中消费的波动怎样影响资产收益,这也是基于消费的资产定价理论(CCAPM)的研究范畴。
消费可以看做一种经济状态的可观测的信号,像资本资产定价模型中市场组合的价格指数一样,在经济繁荣时,消费水平较高,市场指数价格高涨。资本资产定价模型(CAPM)用资产与市场组合收益的协方差即市场贝塔来度量风险,它指出资产的期望收益与市场贝塔线性关系。这样,高贝塔的股票产生高的期望收益。投资者喜欢平滑的消费：同等的条件下,那种能在经济不好时提供收益的资产更被投资者偏爱。高贝塔的证券往往在市场收益高时提供高的收益,此时经济状态和消费水平都很好,会有较低的价格。在边际效用低时提供支付的资产比在边际效用高时提供支付的资产的价格要低。高贝塔的证券与低贝塔的相比,平均来讲会有高的收益。
在研究消费对资产收益的影响时,我们用消费这种可观测的信号来代替市场组合度量风险,资产与市场组合收益的协方差即市场贝塔就变成了资产与消费的协方差,我们称之为消费贝塔。基于消费的资产定价研究用消费度量的风险对资产收益的影响,此处将风险定义为投资者消费增长对证券收益变化反应的敏感程度,在均衡状态下,资产的预期超额收益与它们的消费贝塔成比例。她的出现是金融经济学的一次重大飞跃,近三十年来金融经济学家为丰富和完善CCAPM做出了不懈的努力,至今仍是金融学研究的前沿课题之一,不断有这方面的文献跃于国际顶级学术期刊之上。
但是,CCAPM存在些许不足,在实证中产生了许多难以解释的金融异象,如股权溢价之谜、无风险利率之谜,对规模效应、账面市值比效应解释的无力等。
由此,本文立足于中国经济的实际,分别从有限参与、耐用品消费、消费的调整有一定时间周期性的视角出发,研究了奢侈品消费、耐用品消费和长期消费与资产收益的关系,以弥补标准CCAPM的缺陷,并与基于生产、投资的其它定价模型进行了比较。我们主要做了以下工作：
第一章是导论,先对本文选题的背景、目的与意义进行了说明,接着阐述了本文的研究方法与基本思路,最后简单介绍了本文的主要内容与创新之处。
第二章对基于消费的资产定价理论进行综述,先综述了资产收益对消费的影响即财富效应的文献,再梳理消费对资产收益的影响即CCAPM,我们从消费习惯、市场摩擦、长期风险等角度介绍其近30年的研究进展,然后概括国内这一领域的研究现状,最后进行总结与评析。
第三章是本文研究的逻辑起点,我们说明了研究基于消费的资产定价理论在中国的现实意义,并理论分析了消费、宏观经济和资产收益的内在联系,解释了消费资产定价理论的经济学含义,再指出中国经济的现实状况对本文研究的启发。
第四章是基于奢侈品消费的资产定价,研究了用奢侈品消费度量的风险对收益的影响。首先,我们建立一个基于奢侈品消费的资产定价模型,分析投资者效用函数中的奢侈品消费对资产收益的影响；并以此为基础进行实证分析。我们进一步给出有限参与的微观数据,并回归奢侈品消费、必需品消费与市场收益的关系,分析奢侈品消费对股权溢价之谜的解决,探索各资产横截面收益差异所蕴含的奢侈品消费风险,并与其它代表性模型进行比较。当然,艺术品也是一种奢侈消费,鉴于其特殊的属性,我们专门分析其与股票收益间的关系。笔者认为,有限参与下,奢侈品消费比必需品消费能更好度量风险,奢侈品消费定价模型可以解决股权溢价之谜,奢侈品消费风险可以较好的解释横截面收益差异,尤其在各行业收益上。
第五章是基于耐用品消费的资产定价,研究耐用品消费、非耐用品消费与资产收益的内在联系,探寻有关耐用消费品度量的风险如何影响资产的收益,即基于耐用品消费的资产定价(DCAPM)。在介绍中国耐用品消费的研究现状后,我们分析了基于耐用品消费的资产定价理论,然后是针对上述理论的实证检验,包括了耐用品消费对Fama-French 25个组合和24行业组合的横截面回归结果,并与资本资产定价模型、标准的消费定价模型以及三因子模型的回归结果进行了比较,以及住房消费对市场收益的回归结果。本章认为,耐用品消费相对于非耐用品消费来讲,在解释市场收益时更具有优势,耐用品消费定价模型能解释横截面收益差异的异象,但住房消费对资产收益的影响不显著。
第六章是基于长期消费的资产定价研究,用基于累积消费的长期风险分析股票横截面收益背后蕴含的消费风险特征。我们由标准消费资产定价模型推出基于累积消费风险的长期消费定价理论模型；在实证分析中,先检验了各期的消费风险与市场收益的关系,再比较分析长期风险模型与三因子模型、资本资产定价模型和标准的消费定价模型对横截面收益的解释力。本章认为,长期消费风险可以较好解释市场收益、横截面收益,这种解释力可能与消费对技术创新的延迟反映有关。
第七章是与其它宏观定价模型的比较,主要比较了消费定价模型与生产、投资定价模型的解释力。这章笔者先对基于实体经济的资产定价文献进行梳理,在此基础上给出基于生产、投资资产定价的理论模型,随后构建了便于实证的模型；实证中,笔者先分析市场加权收益与生产、投资增长率的关系,然后用各时期的生产、投资因子对Fama-French 25组合收益进行横截面回归分析,并做了稳健性检验。本章认为,生产、投资定价模型在对中国资本市场解释力上要弱于消费定价模型,中国股市一定程度上具有实体经济的“晴雨表”功能,25组合收益差异的背后有一定的实体经济风险。
第八章是本文的结语,对全文的主要结论与政策含义进行了总结,指出研究的不足之处,同时对今后进一步研究的方向进行了展望。
可能的创新点在于：
第一,从我国有限参与的现实出发,选取奢侈品消费作为股票持有者消费的代理变量,推导出基于奢侈品消费资产定价模型。发现用奢侈品消费能更好地度量市场总体风险,奢侈品消费定价模型更契合我国的现实特征；奢侈品消费风险与资本资产定价模型和标准的消费的定价模型相比能较好的解释规模效应和账面市值比效应,而且在解释行业横截面收益差异上,奢侈品消费定价模型比资本资产定价模型、标准的消费定价模型、三因子模型有更强的解释力,传统定价理论眼中的异象能被奢侈品定价模型合理解释；奢侈品消费定价模型中不存在“股权溢价之谜”这种异象。艺术品即是一种投资工具又是一种奢侈性消费品,本文研究了艺术品消费与股票收益的关系。
第二,理论分析了耐用品消费在解释股票收益的内在机理。基于耐用消费的定价模型在解释横截面收益差异上,认为拥有高的耐用消费品风险的资产会有高的期望收益,股票横截面收益的差异反映在股票所蕴含的不同的消费风险上来。通过运用宏观耐用品消费数据和微观调查的耐用品消费数据,实证分析了耐用品消费风险在度量我国股市Fama-French 25组合和24个行业组合资产收益中的作用。住房消费对资产收益的解释不显著。
第三,在消费对资产收益的反映缓慢的假设下,研究长期视角下消费与资产收益的内在联系。实证发现消费对资产收益的反映缓慢,大约有4年的周期,消费风险能较好地解释市场收益；中国股市中Fama-French 25组合收益的差异与其所蕴含的消费风险相吻合,从4年的时间周期看,4年视角的消费风险能解释25组合不同收益的78%。长期消费风险这种解释力可能与消费对技术创新的延迟反映有关。
第四,通过对基于消费的资产定价模型与基于生产、投资的资产定价模型在对中国资本市场解释力上的比较发现,后者要弱于基于消费的资产定价模型。中国股市一定程度上具有实体经济的“晴雨表”功能。私人投资增长率不能解释市场收益,固定资产投资增长可以解释股票收益。中国股市25组合收益差异的背后有一定的实体经济风险。
Based on the adjustment of economic structure and expansion of consumption demand, this paper discusses how consumption affect asset returns.In a standard consumption based asset pricing model, the quantity of stock market risk is measured by the covariance of the excess stock return with consumption growth, while the price of risk is the coefficient of relative risk aversion of a representative investor. However, CCAPM has some shortage, in the empirical analysis there are a number of difficulties to explain a lot of financial anomalies, such as the equity premium puzzle, risk-free rate puzzle,size effect, and book to market effect.
Based on the actual facts of China's economy, respectively from the limited participation, the importance of durable goods and housing consumption, the slow adjustment of consumption responding to capital gains,We study how luxury consumption, durable goods consumption and long-run consumption risk determine stock returns, to compensate for deficiencies in the standard CCAPM, production and investment-based asset pricing models are also compared. The main conclusions are as follows.
First, from China's realities of limited participation, we use luxury consumption as a proxy variable of share holder, establish luxury consumption-based asset pricing model.We find luxury consumption is a better measure of aggregate market risk, luxury consumption pricing model is more fit our features. Our empirical analysis finds using luxury consumption to evaluate risk could better explain cross-section of stock retutns and can help to solve the equity premium puzzle.To explain Fama-French 25 portfolio returns, luxury consumption risk is better than the capital asset pricing model and consumption-based asset pring model. For 24 industry returns cross-sectional analysis, luxury consumption model is much better than 3 factor model, CCAPM and CAPM. Art is both a kind of investment tools and a kind of luxury goods, this paper studies the relation between art consumption and the stock returns.
Second, this paper also explores durable consumption risk how to affect asset returns.We uses macro durable consumption data and micro survey data to investigate how durable consumption risk affects Fama-French 25 portfolios and 24 industry returns in China stock market. Our research finds Durable consumption-based asset pricing model can explain Fama-French 25 portfolios returns more than 80%, which is far better than CCAPM and CAPM analysis. For 24 industry returns cross-sectional analysis, durable consumption model is much better than 3 factor model, CCAPM and CAPM.Durable consumption risk can better explain different stock cross-sectional returns. Housing consumption on the interpretation of asset returns is not significant.
Third, under the assumption of consumption repond slowly to asset returns,we explore the long-run perspective relation between consumption and asset returns. This chapter evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption growth cumulated over many quarters following the return.We find that consumption is slow to reflect the shocks of asset returns. While contemporaneous consumption risk explains little of the variation in average returns across the 25 Fama-French portfolios, our measure of ultimate consumption risk at a horizon of four years explains a large fraction of this variation. Evidence from the macroeconomic growth and real business cycle literature highlights that consumption and production respond slowly to technology shocks, peaking at 3-to 4-year horizons, which is, perhaps not coincidentally, about the same horizon over which consumption responds fully to asset returns.
Fourth, we compare consumption-based asset pricing model with production and investment asset pricing model in the explanatory power of China's stock market,this paper find the latter is weaker than consumption-based asset pricing model. China's stock market to a certain extent reflect the real economy.Private investment growth can not explain the market returns, but fixed asset investment growth can explain stock returns. The differences between Fama-French 25 portfolio returns have a certain risk of the real economy in China's stock market behind. Moreover, the above conclusions are very robust and reliable.
消费可以看做一种经济状态的可观测的信号,像资本资产定价模型中市场组合的价格指数一样,在经济繁荣时,消费水平较高,市场指数价格高涨。资本资产定价模型(CAPM)用资产与市场组合收益的协方差即市场贝塔来度量风险,它指出资产的期望收益与市场贝塔线性关系。这样,高贝塔的股票产生高的期望收益。投资者喜欢平滑的消费：同等的条件下,那种能在经济不好时提供收益的资产更被投资者偏爱。高贝塔的证券往往在市场收益高时提供高的收益,此时经济状态和消费水平都很好,会有较低的价格。在边际效用低时提供支付的资产比在边际效用高时提供支付的资产的价格要低。高贝塔的证券与低贝塔的相比,平均来讲会有高的收益。
在研究消费对资产收益的影响时,我们用消费这种可观测的信号来代替市场组合度量风险,资产与市场组合收益的协方差即市场贝塔就变成了资产与消费的协方差,我们称之为消费贝塔。基于消费的资产定价研究用消费度量的风险对资产收益的影响,此处将风险定义为投资者消费增长对证券收益变化反应的敏感程度,在均衡状态下,资产的预期超额收益与它们的消费贝塔成比例。她的出现是金融经济学的一次重大飞跃,近三十年来金融经济学家为丰富和完善CCAPM做出了不懈的努力,至今仍是金融学研究的前沿课题之一,不断有这方面的文献跃于国际顶级学术期刊之上。
但是,CCAPM存在些许不足,在实证中产生了许多难以解释的金融异象,如股权溢价之谜、无风险利率之谜,对规模效应、账面市值比效应解释的无力等。
由此,本文立足于中国经济的实际,分别从有限参与、耐用品消费、消费的调整有一定时间周期性的视角出发,研究了奢侈品消费、耐用品消费和长期消费与资产收益的关系,以弥补标准CCAPM的缺陷,并与基于生产、投资的其它定价模型进行了比较。我们主要做了以下工作：
第一章是导论,先对本文选题的背景、目的与意义进行了说明,接着阐述了本文的研究方法与基本思路,最后简单介绍了本文的主要内容与创新之处。
第二章对基于消费的资产定价理论进行综述,先综述了资产收益对消费的影响即财富效应的文献,再梳理消费对资产收益的影响即CCAPM,我们从消费习惯、市场摩擦、长期风险等角度介绍其近30年的研究进展,然后概括国内这一领域的研究现状,最后进行总结与评析。
第三章是本文研究的逻辑起点,我们说明了研究基于消费的资产定价理论在中国的现实意义,并理论分析了消费、宏观经济和资产收益的内在联系,解释了消费资产定价理论的经济学含义,再指出中国经济的现实状况对本文研究的启发。
第四章是基于奢侈品消费的资产定价,研究了用奢侈品消费度量的风险对收益的影响。首先,我们建立一个基于奢侈品消费的资产定价模型,分析投资者效用函数中的奢侈品消费对资产收益的影响；并以此为基础进行实证分析。我们进一步给出有限参与的微观数据,并回归奢侈品消费、必需品消费与市场收益的关系,分析奢侈品消费对股权溢价之谜的解决,探索各资产横截面收益差异所蕴含的奢侈品消费风险,并与其它代表性模型进行比较。当然,艺术品也是一种奢侈消费,鉴于其特殊的属性,我们专门分析其与股票收益间的关系。笔者认为,有限参与下,奢侈品消费比必需品消费能更好度量风险,奢侈品消费定价模型可以解决股权溢价之谜,奢侈品消费风险可以较好的解释横截面收益差异,尤其在各行业收益上。
第五章是基于耐用品消费的资产定价,研究耐用品消费、非耐用品消费与资产收益的内在联系,探寻有关耐用消费品度量的风险如何影响资产的收益,即基于耐用品消费的资产定价(DCAPM)。在介绍中国耐用品消费的研究现状后,我们分析了基于耐用品消费的资产定价理论,然后是针对上述理论的实证检验,包括了耐用品消费对Fama-French 25个组合和24行业组合的横截面回归结果,并与资本资产定价模型、标准的消费定价模型以及三因子模型的回归结果进行了比较,以及住房消费对市场收益的回归结果。本章认为,耐用品消费相对于非耐用品消费来讲,在解释市场收益时更具有优势,耐用品消费定价模型能解释横截面收益差异的异象,但住房消费对资产收益的影响不显著。
第六章是基于长期消费的资产定价研究,用基于累积消费的长期风险分析股票横截面收益背后蕴含的消费风险特征。我们由标准消费资产定价模型推出基于累积消费风险的长期消费定价理论模型；在实证分析中,先检验了各期的消费风险与市场收益的关系,再比较分析长期风险模型与三因子模型、资本资产定价模型和标准的消费定价模型对横截面收益的解释力。本章认为,长期消费风险可以较好解释市场收益、横截面收益,这种解释力可能与消费对技术创新的延迟反映有关。
第七章是与其它宏观定价模型的比较,主要比较了消费定价模型与生产、投资定价模型的解释力。这章笔者先对基于实体经济的资产定价文献进行梳理,在此基础上给出基于生产、投资资产定价的理论模型,随后构建了便于实证的模型；实证中,笔者先分析市场加权收益与生产、投资增长率的关系,然后用各时期的生产、投资因子对Fama-French 25组合收益进行横截面回归分析,并做了稳健性检验。本章认为,生产、投资定价模型在对中国资本市场解释力上要弱于消费定价模型,中国股市一定程度上具有实体经济的“晴雨表”功能,25组合收益差异的背后有一定的实体经济风险。
第八章是本文的结语,对全文的主要结论与政策含义进行了总结,指出研究的不足之处,同时对今后进一步研究的方向进行了展望。
可能的创新点在于：
第一,从我国有限参与的现实出发,选取奢侈品消费作为股票持有者消费的代理变量,推导出基于奢侈品消费资产定价模型。发现用奢侈品消费能更好地度量市场总体风险,奢侈品消费定价模型更契合我国的现实特征；奢侈品消费风险与资本资产定价模型和标准的消费的定价模型相比能较好的解释规模效应和账面市值比效应,而且在解释行业横截面收益差异上,奢侈品消费定价模型比资本资产定价模型、标准的消费定价模型、三因子模型有更强的解释力,传统定价理论眼中的异象能被奢侈品定价模型合理解释；奢侈品消费定价模型中不存在“股权溢价之谜”这种异象。艺术品即是一种投资工具又是一种奢侈性消费品,本文研究了艺术品消费与股票收益的关系。
第二,理论分析了耐用品消费在解释股票收益的内在机理。基于耐用消费的定价模型在解释横截面收益差异上,认为拥有高的耐用消费品风险的资产会有高的期望收益,股票横截面收益的差异反映在股票所蕴含的不同的消费风险上来。通过运用宏观耐用品消费数据和微观调查的耐用品消费数据,实证分析了耐用品消费风险在度量我国股市Fama-French 25组合和24个行业组合资产收益中的作用。住房消费对资产收益的解释不显著。
第三,在消费对资产收益的反映缓慢的假设下,研究长期视角下消费与资产收益的内在联系。实证发现消费对资产收益的反映缓慢,大约有4年的周期,消费风险能较好地解释市场收益；中国股市中Fama-French 25组合收益的差异与其所蕴含的消费风险相吻合,从4年的时间周期看,4年视角的消费风险能解释25组合不同收益的78%。长期消费风险这种解释力可能与消费对技术创新的延迟反映有关。
第四,通过对基于消费的资产定价模型与基于生产、投资的资产定价模型在对中国资本市场解释力上的比较发现,后者要弱于基于消费的资产定价模型。中国股市一定程度上具有实体经济的“晴雨表”功能。私人投资增长率不能解释市场收益,固定资产投资增长可以解释股票收益。中国股市25组合收益差异的背后有一定的实体经济风险。
Based on the adjustment of economic structure and expansion of consumption demand, this paper discusses how consumption affect asset returns.In a standard consumption based asset pricing model, the quantity of stock market risk is measured by the covariance of the excess stock return with consumption growth, while the price of risk is the coefficient of relative risk aversion of a representative investor. However, CCAPM has some shortage, in the empirical analysis there are a number of difficulties to explain a lot of financial anomalies, such as the equity premium puzzle, risk-free rate puzzle,size effect, and book to market effect.
Based on the actual facts of China's economy, respectively from the limited participation, the importance of durable goods and housing consumption, the slow adjustment of consumption responding to capital gains,We study how luxury consumption, durable goods consumption and long-run consumption risk determine stock returns, to compensate for deficiencies in the standard CCAPM, production and investment-based asset pricing models are also compared. The main conclusions are as follows.
First, from China's realities of limited participation, we use luxury consumption as a proxy variable of share holder, establish luxury consumption-based asset pricing model.We find luxury consumption is a better measure of aggregate market risk, luxury consumption pricing model is more fit our features. Our empirical analysis finds using luxury consumption to evaluate risk could better explain cross-section of stock retutns and can help to solve the equity premium puzzle.To explain Fama-French 25 portfolio returns, luxury consumption risk is better than the capital asset pricing model and consumption-based asset pring model. For 24 industry returns cross-sectional analysis, luxury consumption model is much better than 3 factor model, CCAPM and CAPM. Art is both a kind of investment tools and a kind of luxury goods, this paper studies the relation between art consumption and the stock returns.
Second, this paper also explores durable consumption risk how to affect asset returns.We uses macro durable consumption data and micro survey data to investigate how durable consumption risk affects Fama-French 25 portfolios and 24 industry returns in China stock market. Our research finds Durable consumption-based asset pricing model can explain Fama-French 25 portfolios returns more than 80%, which is far better than CCAPM and CAPM analysis. For 24 industry returns cross-sectional analysis, durable consumption model is much better than 3 factor model, CCAPM and CAPM.Durable consumption risk can better explain different stock cross-sectional returns. Housing consumption on the interpretation of asset returns is not significant.
Third, under the assumption of consumption repond slowly to asset returns,we explore the long-run perspective relation between consumption and asset returns. This chapter evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption growth cumulated over many quarters following the return.We find that consumption is slow to reflect the shocks of asset returns. While contemporaneous consumption risk explains little of the variation in average returns across the 25 Fama-French portfolios, our measure of ultimate consumption risk at a horizon of four years explains a large fraction of this variation. Evidence from the macroeconomic growth and real business cycle literature highlights that consumption and production respond slowly to technology shocks, peaking at 3-to 4-year horizons, which is, perhaps not coincidentally, about the same horizon over which consumption responds fully to asset returns.
Fourth, we compare consumption-based asset pricing model with production and investment asset pricing model in the explanatory power of China's stock market,this paper find the latter is weaker than consumption-based asset pricing model. China's stock market to a certain extent reflect the real economy.Private investment growth can not explain the market returns, but fixed asset investment growth can explain stock returns. The differences between Fama-French 25 portfolio returns have a certain risk of the real economy in China's stock market behind. Moreover, the above conclusions are very robust and reliable.
引文
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2杨云红,2006,资产定价理论, 《管理世界》,第3期。
3 Cochrane, John H.,2005, Asset Pricing,Princeton University Press.
4何诚颖,2001,中国股市“板块现象”分析,《经济研究》,第12期。
5朱文晖,2004,股票市场与财富效应：生成脉理、传导机制及其国际比较,复旦大学博士论文。
6理论模型的推导受Campbell, John Y.,2003, Consumption-based asset pricing, in Handbook of the Economics of Finance和Pennacchi,George G.,2008, Theory of Asset Pricing, Pearson Addison Wesley启发,在此基础上由笔者推导出来。
7王立平,2008：《消费、偏好与资产收益——基于中国资本市场的分析》,格致出版社。
8王江,2006,金融经学,第162页,中国人民大学出版社。
9黄宇,2009,我国城镇居民消费行为演变——基于品质升级和跨期选择的实证,山东大学博士论文。
12运用Cochrane, John H.,2005, Asset Pricing,Princeton University Press给出的方法,笔者分析得出。
13调查数据来自李涛等系列论文,参见李涛(2006a、2006b、2007、2009)。
14运用Cochrane, John H.,2005, Asset Pricing,Princeton University Press中的方法。
18吴世农、许年行,2004,资产的理性定价模型和非理性定价模型的比较研究,《经济研究》第6期：杨忻、陈展辉,2003,中国股市三因子资产定价模型实证研究,《数量经济技术经济研究》第12期。
19运用Piazzesi, Monika, Martin Schneider, and Selale Tuzel,2007, Housing, consumption, and asset pricing, Journal of Financial Economics 83,531-569中的思想,从资产定价的角度分析中国住房消费与股票收益的关系。
22 Cochrane, J.H.,2008. Financial markets and the real economy. in Rajnish Mehra ed.:Handbook of the Equity Risk Premium.
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296.郭姵君、苏勇,2007,中国奢侈品消费行为实证研究, 《管理评论》,第9期。
297.国务院发展研究中心课题组,卢中原等,2009,中国：在应对危机中寻求新突破, 《管理世界》,第6期。
298.何诚颖,2001,中国股市“板块现象”分析,《经济研究》,第12期。
299.贺振华、寇宗来,2006,收入分布、厂商定价与耐用品的消费扩张,《南方经济》,第8期。
300.黄飞雪、赵昕、侯铁珊,2007,从中国股价指数与GDP的相关系数看“股经背离”现象,《大连理工大学学报(社会科学版)》,第3期。
301.黄伟,2008,基于耐用消费品的经常项目动态分析,复旦大学博士论文。
302.黄学军,2007,《基于通胀风险的资产定价模型及应用研究》,上海交通大学博士论文。
303.黄宇,2009,我国城镇居民消费行为演变一基于品质升级和跨期选择的实证,山东大学博士论文。
304.黄益平,沈明高,2007,遗失的财富效应,财经网,该文在财经网的网址是：http://www.caijing.com.cn/2007-03-12/100016796.html。
305.胡延平、王成进,2008,对我国“股经背离”现象的再认识,《江西社会科学》,第5期。
306.李稻葵、张双长,2009,V型反弹,资产泡沫与新宏观分析框架,《经济学动态》,第9期。
307.李实、魏众、丁赛,2005,中国居民财产分布不均等及其原因的经验分析,《经济研究》第6期。
308.李学峰,徐辉,2003,中国股票市场财富效应微弱研究,《南开经济研究》第3期。
309.李涛,2006,社会互动、信任与股市参与, 《经济研究》,第1期。
310.李涛,2006,社会互动与投资选择, 《经济研究》,第8期。
311.李涛,2007,参与惯性与投资选择, 《经济研究》,第8期。
312.李涛、郭杰,2009,风险态度与股票投资, 《经济研究》,第2期。
313.李扬,殷剑峰,2007,中国高储蓄率问题探究, 《经济研究》,2007年6 期。
314.李治国、唐国兴,2002,消费、资产定价与股票溢酬之迷,《经济科学》,第6期。
315.廖楚晖、刘鹏,2005,中国公共资本对私人资本替代关系的实证研究,《数量经济技术经济研究》,第7期。
316.廖理、汪毅慧,2003,中国股票市场风险溢价研究,《金融研究》,第4期。
317.林鲁东,2007,中国的股权溢价之谜：基于Hansen-Jagannathan方差界的实证研究,《南方经济》,第12期。
318.刘骏民、伍超明,2004,虚拟经济与实体经济关系模型——对我国当前股市与实体经济关系的一种解释,《经济研究》,第4期。
319.刘丽、刘爱松,2008,居民家庭资产财富效应的实证研究,《学术论坛》,第6期。
320.刘力、张圣平、张峥、熊德华等,2007,《信念、偏好与行为金融学》,北京大学出版社,2007.3。
321.刘仁和、郑爱明,2007,风险厌恶、跨期替代与股权溢价之谜,《上海经济研究》,第8期。
322.娄峰、奉立城、陈素亮,2006,随机折现因子方法与CAPM关于风险溢价的实证比较,《数量经济技术经济研究》第5期。
323.罗文波、张祖国,2008,我国股票市场的财富效应实证研究,《经济与管理研究》,第6期。
324.荣昭、盛来运、姚洋,2002,中国农村耐用消费品需求研究,《经济学季刊》第1卷第3期。
325.骆祚炎,2007,广东省居民资产财富效应的VEC模型分析,’《消费经济》,第1期。
326.尚福林,2010,推进资本市场制度建设加快经济发展方式转变,《求是》,第6期。
327.史青青、朱微亮、刘海龙,2009： 《基于调整成本和消费习惯的资产定价模型研究》, 《中国金融评论》,第3卷第1期。
328.宋军、吴冲锋,2008,金融资产定价异常现象研究综述及其对新资产定 价理论的启示,《经济学季刊》,第7卷第2期。
329.宋振学,2007,转轨经济中的金融市场与居民跨期消费选择研究,山东大学博士论文。
330.唐绍祥,蔡玉程,解梁秋,2008：《我国股市的财富效应——基于动态分布滞后模型和状态空间模型的实证检验》,《数量经济技术经济研究》第6期。
331.汪昌云、汪勇祥,2007,资产定价理论：一个探索股权溢价之谜的视角,《管理世界》,第7期。
332.王虎、周耿、陈峥嵘,2009,股票市场财富效应与消费支出研究,《证券市场导报》,第11期。
333.王江,2006,金融经学,中国人民大学出版社,2006年6月。
334.王立平,2008：《消费、偏好与资产收益——基于中国资本市场的分析》,格致出版社。
335.王庆石、彭宜钟,2007,什么定价模型能够更好地刻画我国A股股价的时间序列特征?,《经济学季刊》,第7卷第1期。
336.王庆石、肖俊喜,2005,习惯形成、局部持久性和基于消费的资本资产定价,《统计研究》,第5期。
337.王晓梅,2007,论中国艺术品市场阶段性发展及其价值价格形成机制,《现代财经》,第9期。
338.王亚鸽、张举钢、李从欣,2008,中国股市财富效应的协整分析,《石家庄经济学院学报》,第2期。
339.吴冲锋、穆启国, 2008,资产定价研究,科学出版社,2008年1月。
340.吴世农、许年行,2004,资产的理性定价模型和非理性定价模型的比较研究,《经济研究》第6期。
341.吴卫星、齐天翔,2007,流动性、生命周期与投资组合相异性,《经济研究》,第2期。
342.吴卫星、汪勇祥、梁衡义,2006,过度自信、有限参与和资产价格泡沫,《经济研究》第4期。
343.吴晓求,2006,实体经济与资产价格变动的相关性分析,《中国社会科学》,第6期。
344.伍志文、周建军,2005,“股经背离”的存在性之争及其实证检验,《财经研究》,第3期。
345.伍志宇、杨忠直,2007,经济增长与股价波动的相关性——基于中国香港的证据,《金融研究》,第3期。
346.肖俊喜、王庆石,2004,交易成本、基于消费的资产定价与股权溢价之谜：来自中国股市的经验分析,《管理世界》,第12期。
347.熊和平,2005,消费习惯、异质偏好与动态资产定价：纯交换经济情形,《经济研究》,第10期。
348.闫东鹏、王清容,2009,消费变量预测中国股市回报的实证研究,《中央财经大学学报》,第1期。
349.杨忻、陈展辉,2003,中国股市三因子资产定价模型实证研究,《数量经济技术经济研究》第12期。
350.杨新松,2006,基于VAR模型的中国股市财富效应实证研究,《上海立信会计学院学报》,第3期。
351.杨云红,2006,资产定价理论, 《管理世界》,第3期。
352.杨子晖,2008,财政政策与货币政策对私人投资的影响研究——基于有向无环图的应用分析,《经济研究》,第5期。
353.尹志超、甘犁,2009,中国住房改革对家庭耐用品消费的影响,《经济学季刊》,第9卷第1期。
354.游家兴,2005,理性定价、选择偏差与消费资本资产定价谜团,《经济科学》,第6期。
355.张耿、胡海鸥,2006,消费波动小于产出波动吗?,《经济研究》第11期
356.臧旭恒、王立平,2006,消费资本资产定价理论：回顾与评述,《产业经济评论》,第5卷第2辑。
357.张卫涛、陈杰,2009,居民资产如何影响消费?——基于1998-2007中国城镇的实证研究, 《南方经济》第10期。
358.张峥,刘力,2006：《换手率与股票收益：流动性溢价还是投机性泡沫?》,《经济学季刊》第5卷第3期。
359.赵怡虹、李峰,2008,居民资产、财富效应与我国城镇居民消费,《经济经纬》,第1期。
360.支大林,2008,中国居民资产的财富效应问题研究——基于扩大消费需求的目的,《吉林工商学院学报》第24卷第1期。
361.周建华、周正祥,2009,论农村住户耐用品消费水平的提高,《消费经济》,第1期。
362.朱微亮,2008,基于消费习惯与调整成本的资产定价研究,上海交通大学博士论文。
363.朱微亮、刘海龙、史青青,2008,基于消费习惯与生产的资产定价模型,《上海交通大学学报》,第9期。
364.朱文晖,2004,股票市场与财富效应：生成脉理、传导机制及其国际比较,复旦大学博士论文。
365.朱世武、郑淳,2003,中国资本市场股权风险溢价研究,《世界经济》,第11期。
366.曾康霖、范俏燕,2009,论财产性收入与扩大内需,《经济学动态》,第9期。
367.中国证券监督管理委员会,2008,《中国资本市场发展报告》,中国金融出版社,2008.2。
2杨云红,2006,资产定价理论, 《管理世界》,第3期。
3 Cochrane, John H.,2005, Asset Pricing,Princeton University Press.
4何诚颖,2001,中国股市“板块现象”分析,《经济研究》,第12期。
5朱文晖,2004,股票市场与财富效应：生成脉理、传导机制及其国际比较,复旦大学博士论文。
6理论模型的推导受Campbell, John Y.,2003, Consumption-based asset pricing, in Handbook of the Economics of Finance和Pennacchi,George G.,2008, Theory of Asset Pricing, Pearson Addison Wesley启发,在此基础上由笔者推导出来。
7王立平,2008：《消费、偏好与资产收益——基于中国资本市场的分析》,格致出版社。
8王江,2006,金融经学,第162页,中国人民大学出版社。
9黄宇,2009,我国城镇居民消费行为演变——基于品质升级和跨期选择的实证,山东大学博士论文。
12运用Cochrane, John H.,2005, Asset Pricing,Princeton University Press给出的方法,笔者分析得出。
13调查数据来自李涛等系列论文,参见李涛(2006a、2006b、2007、2009)。
14运用Cochrane, John H.,2005, Asset Pricing,Princeton University Press中的方法。
18吴世农、许年行,2004,资产的理性定价模型和非理性定价模型的比较研究,《经济研究》第6期：杨忻、陈展辉,2003,中国股市三因子资产定价模型实证研究,《数量经济技术经济研究》第12期。
19运用Piazzesi, Monika, Martin Schneider, and Selale Tuzel,2007, Housing, consumption, and asset pricing, Journal of Financial Economics 83,531-569中的思想,从资产定价的角度分析中国住房消费与股票收益的关系。
22 Cochrane, J.H.,2008. Financial markets and the real economy. in Rajnish Mehra ed.:Handbook of the Equity Risk Premium.
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