中国居民消费、习惯偏好与资产收益研究

习惯模型是行为资产定价理论的重要组成部分,该模型将经济主体的习惯因素纳入到资产定价之中,由此推进了消费资本资产定价理论的发展。习惯模型已经在欧美等国家和地区得到了广泛研究,而在资本市场蓬勃发展的中国则处于被人遗忘的尴尬境地。本文利用外在习惯偏好模型对我国居民消费、习惯偏好与资产收益进行分析。GMM结果是混合性的,模型可以较好地拟合数据,GMM结果无法否定外在习惯偏好模型,因而无法否定习惯因素在消费与资产收益分析中的重要性。

An Analysis of the Chinese Residents' Consumption, Habit Preference and Asset Return

The habit model is an important part of the behavioral asset pricing theory.This model includes the economic agent's habit element into the asset pricing,and thus puts forward the development of the consumption-based capital asset pricing theory.The habit model has been studied broadly in Europe and America,but is ignored in China whose capital market is developing very fast.Thus,this paper utilizes the external habit preference model to make deep analyses of the Chinese residents' consumption,habit preference and asset return.The GMM results are mixed.The model could fit the data well,and the GMM results couldn't deny the external habit preference model,and so we couldn't deny the importance of the habit element in the analysis of the consumption and asset returns.