消费波动、收入约束与资产收益

本文利用城镇居民家庭消费支出考察了经济上未受约束消费者的消费模式是否比受约束消费者的消费模式更符合CCAPM，在参与约束的背景下，许多消费者缺乏直接影响均衡消费支出和资产收益率的金融资产，其跨期分配消费能力是有限的，因此，利用总量消费数据来检验消费资本资产定价模型（CCAPM）有可能会导致设定偏差。本文利用广义矩法（GMM）考察了在我国收入差距的背景下，受约束的消费者和不受约束的消费者对于CCAPM的影响。对代表性经济人进行了重新设定。从而拓展了对代表性经济人的假设。利用消费性支出与资产收益率的GMM检验结果是不支持收入约束假说的。将收入约束纳入到消费资本资产定价模型的分析中并未改善该模型在我国资本市场的表现。     

中国居民消费风险与资产收益分析

消费资本资产定价模型（Consumption-based Capital Asset Pricing Model，简称CCAPM）表明，资产风险溢价由代表性经济人的相对风险规避系数与资产收益和消费增长率之间的协方差的乘积决定，这就是消费增长决定的资产收益形成机制。在消费资本资产定价模型中，一项资产的风险能够通过使用其收益与人均消费增长率的协方差进行测量，这表明预期资产收益率的系统风险能够用消费增长率风险来进行解释。由于各资产与人均消费增长率的协方差有所不同，因此各资产的收益会有所区别。     

行为资产定价模型综述

金融资产定价是现代资产定价研究的核心问题.本文对行为资产定价模型进行了综述,行为资产定价研究分为两个方向:一是基于消费资产定价模型(CCAPM),借用不同的效用函数来反映不同的投资者偏好,比如财富偏好,损失厌恶,习惯形成,追赶时髦,嫉妒等等.二是在进行资产定价时直接考虑投资者心理因素,基于行为金融学对投资者分析的过度自信,保守性偏差等认知偏差,用模型量化此类偏差然后利用动态规划方法求解均衡时的资产定价.     

我国居民消费风险与资产收益的关联分析

居民的跨期消费选择会对资本市场带来影响,本文将消费资本资产定价模型应用于我国资本市场,对居民消费、利率与股票收益率的联动进行了广义矩法检验.检验结果对于资产收益率种类以及工具变量具有较大的敏感性,但数据与模型之间的拟合比较好,结果无法拒绝消费资本资产定价模型.因此,不能否认消费增长率与利率、股票收益率之间的联系是存在的,我国居民的消费波动会对利率与股票收益率施加影响.鉴于此,政府应加强对居民消费支出的调控,这将有益于我国资本市场的稳定发展.     

异质性财富偏好和资产定价

Bakshi和Chen(1996)在代表性投资者经济中提出了基于财富偏好的资产定价模型。本文研究了在异质性投资者经济中财富偏好对资产定价的影响。如果风险资产的价格服从几何布朗运动,那么资产市场具有两基金分离现象。本文首先证明了基于风险基金的资产定价模型,然后使用该模型证明了如果定价的基准是单个的投资者的最优消费和财富时,那么基于财富偏好的资产定价模型成立。但是,当定价的基准是总消费和总财富时,基于财富偏好的资产定价模型不能成立。也就是,不能在异质投资者经济中将Breeden(1979)的经典CCAPM模型推广到包含财富偏好的资产定价模型。     

行为资产定价理论综述

如何刻画投资者行为是资产定价理论 50年来发展的主要脉络。在消费资本资产定价模型基础上 ,通过修正投资者的效用函数而发展起来的行为资产定价理论 ,对投资者行为的认识达到了新的高度。本文构造了行为资产定价的一般均衡研究框架 ,指出了此框架与行为金融理论的区别 ,并在此框架下 ,综述了当前流行的行为资产定价模型。文章最后分析了行为资产定价理论的下一步发展方向。     

异质性财富偏好和资产定价

Bakshi和Chen（1996）在代表性投资者经济中提出了基于财富偏好的资产定价模型。本文研究了在异质性投资者经济中财富偏好对资产定价的影响。如果风险资产的价格服从几何布朗运动，那么资产市场具有两基金分离现象。本文首先证明了基于风险基金的资产定价模型，然后使用该模型证明了如果定价的基准是单个的投资者的最优消费和财富时，那么基于财富偏好的资产定价模型成立。但是，当定价的基准是总消费和总财富时，基于财富偏好的资产定价模型不能成立。也就是，不能在异质投资者经济中将Breeden（1979）的经典CCAPM模型推广到包含财富偏好的资产定价模型。     

异质投资者与资产定价研究评析

传统的资产定价理论通常假设投资者是同质的,即投资者在诸多方面是完全相同的。但实际上,投资者的异质性往往对资产价格产生很大的影响:投资者偏好的异质性,使风险资产的价格行为与代表性投资者框架下的显著不同;投资者所受到的约束的异质性,使得只有部分投资者参与资本市场,从而使基于消费的资产定价模型难以成立;投资者对资本市场未来的预期不同(即具有异质性信念)更是直接影响到投资者的组合——消费行为,从而影响均衡价格。近年来发展起来的行为金融中的资产定价模型大部分都是考虑特定的异质信念及其对资产定价的影响。     

跨境资本流动与宏观周期研究述评

实际经济周期理论(RBC)无法解释国内偏好(Home Bias)和资产异质性(Idiosyncratic Asset)问题,因而无法全面阐释金融危机时期国际资本流动。通过大量文献将投资组合理论引入开放动态随机一般均衡(ODSGE)模型较好地解决了以上问题。与此同时,对国际资本流动的研究从一阶矩扩展到二阶矩,即由单独关注收益因素到关注收益因素并关注风险因素,构建了研究国际资本流动与经济周期波动一般性分析框架。这一新进展对于研究中国实施资本管制和构建国际资本流动管理体系具有较强的理论和现实意义。文章对以上研究成果进行了梳理,重点梳理了跨境资本流动与金融危机、周期波动的相关研究并对之进行述评。     

基于消费的资产定价理论

基于消费的资产定价（comsumptionbased asset pricing)理论是近20年来逐步形成的。一般性和统一性是其显著特点：（1）它将消费选择理论延伸进了不确定性领域，传统的消费选择理论可以被理解为该理论的一个特例；（2）它“统一”了现代资产组合理论（MPT），资本资产定价模型（CAPM），套利定价理论（APT），期权定价理论以及非金融资产的定价理论，从而成为资产定价领域的一个一般性分析框架。     

消费习惯、异质偏好与动态资产定价:纯交换经济情形

本文用Chan和Kogan、Bask和Cuoco等的方法考虑纯交换经济下的定价问题,我们引进了两个投资者:一个具有外在性消费习惯;一个不具有消费习惯。我们重点考察消费习惯对投资者的最优消费规则的影响以及对资产价格的确定。此外,我们还考虑了对数效用函数下,消费习惯以差的形式出现的情形下的消费规则和定价问题。我们发现当两个投资者中一个具有消费习惯而另一个不具有该习惯时,消费习惯同时改变两个投资者的最优消费规则、消费动态和财富动态。此时的动态资产定价受外在性消费习惯的影响,即时Sharpe比为常数,并等于同质量经济下的即时Sharpe比。同时,如果考虑对数效用函数下消费习惯以差的形式出现,则即时Sharpe比是时变的,反周期的。     

An analysis of the consumption risk and asset returns of Chinese residents

The research on the consumption-based asset pricing theory is limited to the developed capital markets. This paper seeks to extend the research to the Chinese developing capital market. It analyzes the dynamic relationship between the Chinese residents’ consumption, stock market returns and interest rates with the CCAPM. According to the analyses of this paper, the IV regression results are mixed. However, the data can fit the model relatively well, and the empirical results fail to reject the model. Thus, the results show that a relationship between the Chinese residents’ consumption growth rates and the asset returns does indeed exist, and that the consumption volatility risk could influence the asset returns.     

异质信念资产定价研究

从随机游走、行为金融到混沌,从现代资产定价理论、行为资产定价理论到异质信念资产定价理论,3种学说和3种定价理论同时存在干当今资本市场的研究中,它们分别从不同方面、不同视角解释了资产价格的波动。本文的研究理清了3种重要定价理论之间的关系：理性与有限理性,线性与非线性,价格波动的外在机制与内在机制,为人们进一步研究资产定价理论提供了清晰的脉络。     

Can Habit Formation Be Reconciled with Business Cycle Facts?

Many asset pricing puzzles can be explained when habit formation is added to standard preferences. We show that utility functions with a habit then gives rise to a puzzle of consumption volatility in place of the asset pricing puzzles when agents can choose consumption and labor optimally in response to more fundamental shocks. We show that the consumption reaction to technology shocks is too small by an order of magnitude when a utility includes a consumption habit. Moreover, once a habit in leisure is included, labor input is counterfactually smooth over the cycle. In the case of habits in both consumption and leisure, labor input is even countercyclical. Consumption continues to be too smooth. Journal of Economic Literature Classification Numbers: E13, E21, E32.     

Asset-return anomalies in a monetary economy

This paper provides a general equilibrium, choice theoretic, spatial model which explains the preference for holding barren money rather than interest-bearing securities or capital goods. Put somewhat differently, it examines standard asset pricing relationships in the context of a fully articulated monetary economy and delivers various asset-return anomalies. In seeking to integrate the theory of value with the theory of money, a fairly general proof of the existence of a monetary equilibrium is provided.     

Using long-run consumption-return correlations to test asset pricing models

This paper examines a new set of implications for existing asset pricing models regarding the correlation between returns and consumption growth over both the short run and the long run. The findings suggest that external habit formation models face a challenge in producing two robust facts in aggregate data, namely, that stock market returns lead consumption growth, and that the correlation between returns and consumption growth is higher at low frequencies. To reconcile these facts with a consumption-based model, I demonstrate the need for focusing on models that contain a forward-looking consumption component, i.e., models that allow for both trend and cyclical fluctuations in consumption, and that link returns to cyclical fluctuations in consumption. Long-run risk models provide examples of models that contain this consumption component.     

Deep habits in consumption: a spatial panel analysis using scanner data

Using scanner data from a large European retailer, this paper empirically assesses deep habit formation in consumption. Deep habit formation constitutes a possible source of price stickiness and helps to mimic procyclical labour and real wage dynamics that are present in macrodata. To gauge the existence and the extent of deep habits in consumption, we estimate a dynamic time–space simultaneous model for consumption expenditure at different levels of product aggregation. This spatial panel model enables us to test for both internal and external deep habit formation at the same time. The former captures inertia or persistence in consumption and is included in the empirical specification as a time lag. The latter captures preference interdependence across households and is captured by a spatial lag. Our results show mixed evidence with respect to internal habit formation, whereas the external habit effect is almost always positive and significant.     

A unified beta pricing theory

This paper derives Ross's mutual fund separation theory and a new, equilibrium version of Ross's arbitrage pricing theory as special cases of a general theory. The paper also reveals that the two theories are identical in their predictions of asset prices and portfolio returns. The capital asset pricing model (a restricted case of the mutual fund separation theory) receives special treatment.     

Loss aversion and the term structure of interest rates

This article studies how the loss averse behaviour affects the term structure of real interest rates. Since the pro-cyclical conditional expected marginal rate of substitution, implied from the US consumption data, is consistent with the proposition of loss aversion, we incorporate the loss averse behaviour of prospect theory into the consumption-based asset pricing model. Motivated by the similarity between habit formation and the prospect theory utility, habit formation is exploited to determine endogenously the reference point of this behavioural finance utility. The highly curved characteristic of the term structure of real interest rates can thus be captured by the additional consideration of loss aversion. This model also fits the downward sloping volatility of the real yield curve in the data of US Treasury Inflation-Protection Securities (TIPS). Moreover, depending on the effective risk attitude of the representative agent with the loss averse behaviour of prospect theory, our model is capable of generating a normal or an inverted yield curve.     

Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies

This article considers a panel framework to test consumption based asset pricing models driven by a US stock market reference for a number of developed economies. Specifically, we focus on a linearized form of what might be seen as a consumption-based capital asset pricing model in a pooled cross section panel with two-way error components. The empirical findings of this multifactor model using a range of specifications indicate that there is a significant unobserved heterogeneity captured by cross-country fixed effects when consumption growth is treated as a common factor. However, the cross-sectional impact of home consumption growth can vary over the countries, where unobserved heterogeneity in the rate of risk aversion can also be addressed by random effects.