跨期资产定价理论及其在中国股票市场上的应用研究
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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
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
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
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
引文
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1．陈小悦与孙爱军，2000，《CAPM在中国股市的有效性检验》，北京大学学报(哲学版)，第37卷第4期。
2．陈彦斌与周业安，2004，《行为资产定价理论综述》，《经济研究》第6期。
3．高峰与宋逢明，2003，《中国股市理性预期的检验》，《经济研究》第3期。
4．国务院，2004，《国务院关于推进资本市场改革开放和稳定发展的若干意见》，国发[2004]3号。
5．贺京同与霍焰，2004，《投资者行为、资产价格与股市波动》，《南开经济研究》第2期。
6．李心丹，2004，《行为金融学——理论及中国的证据》，上海三联书店。
7．李治国与唐国兴，2002，《消费、资产定价与股票溢酬之谜》，《经济科学》第6期。
8．林海与郑振龙，2003，《动态风险厌恶、随机贴现因子与资产定价》，《当代科学》，第9期。
9．刘晓峰，2003，《资产定价理论：逻辑分析和经验验证》，经济科学出版社。
10．刘志新等，《中国股市预期收益率的横截面研究》，《经济科学》，2000年第3期。
11．陆家骝，2004，《现代金融经济学》，东北财经大学出版社。
12．罗伯特·C·默顿，2005，《连续时间金融》(郭多祚等译)，中国人民出版社。
13．克里斯蒂安 戈利耶，2003，《风险和时间经济学》(徐卫宇译)，中信出版社、辽宁教育出版社。
14．阙紫康与张亚斌，2001，《基于消费的资产定价理论》，《经济学动态》第8期。
15．尚富林，2003，《全面贯彻落实十六大精神，做好证券期货监管工作，推进资本市场的改革开放和稳定发展》，2003年全国证券期货监管会议工作报告。
16．史树中，2004，《金融经济学十讲》，上海人民出版社。
17．苏冬蔚与麦元勋，2004，《流动性与资产定价：基于我国股市资产换手率与预期收益的实证研究》，《经济研究》第2期。
18．孙培源与施东晖，2002，《微观结构、流动性与买卖价差：一个基于上海股市的经验研究》，《世界经济》第4期。
19．杨朝军等，2001，《上海股票市场资本资产定价的横截面研究》，《系统工程理论与实践》第10期。
20．肖俊喜与王庆石，2005，《随机贴现因子方差界与股权溢价之谜——来自中国股市的经验分析》，清华大学第3次国际金融年会(昆明)会议论文。
21．肖俊喜与王庆石，2004a，《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。
22．肖俊喜与王庆石，2004b，《条件资产定价模型及其检验》，中国数量经济学会2004年年会(成都)会议论文。
23．肖俊喜、王庆石与邹吉华，2004，《股票期望收益率的截面研究——来自上海股票市场的经验分析》，《统计与信息论坛》第6期。
24．徐绪松与陈彦斌，2004，《基于相对财富和习惯形成的资本资产定价模型》，《管理科学学报》第3期。
25．瓦里安，1997，《微观经济学高级教程》(周洪等译)，经济科学出版社。
26．汪同三等，2003，《21世纪数量经济学》第3卷，中国科学文献出版社。
27．王海侠，2002，《CCAPM理论及其在中国证券市场应用初探》，上海财经大学博士论文。
28．王庆石与肖俊喜，2001，《风险调整的投资组合绩效测度指标综合评价》，《世界经济》第10期。
29．王庆石与肖俊喜，2005，《习惯形成、局部持久性与基于消费的资本资产定价模型：来自中国股市的经验分析》，《统计研究》第5期。
30．王庆石、肖俊喜与赵彦志，2004，《中国股市存在股权溢价之谜吗?》，中国数量经济学会2004年年会(成都)会议论文．
31．王一鸣，2000，《数理经济学》，北京大学出版社。
32．叶中行与林建忠，1998，《数理金融：资产定价与金融决策理论》，科学出版社。
33．于春海，2003，《发展中金融市场上的资产定价问题研究：个体差异、利率刚性和市场分割》，中国人民大学博士论文。
34．张晓峒，2003，《计量经济学软件EViews使用指南》，南开大学出版社。
35．中华人民共和国国家统计局，2004，《中国统计年鉴2004》，中国统计出版社。
36．中华人民共和国国家统计局，《中国经济景气月报》2000年1月至2003年12月各期，中国统计出版社。
37．周国富，2000，《金融计量学：资产定价实证分析》，北京大学出版社。
38．周洛华，2004，《资产定价学》，上海财经大学出版社。
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