中国居民消费与资产收益:基于收入群体的分析 |
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摘 要: |
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收稿时间: | 29 December 2006 |
Chinese consumption and asset returns: An analysis across income groups |
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Authors: | Liping Wang |
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Institution: | (1) School of Economics and City Management, Shandong Economic University, Jinan, 250014, China |
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Abstract: | The equity premium puzzle is found during the test of the Consumption-based Capital Asset Pricing Model (CCAPM) with aggregate
consumption data. Because of income disparity, many consumers lack financial assets to intertemporally allocate their consumptions
under income constraints. Thus, it is likely to lead to a specification error by employing aggregate consumption data to test
the CCAPM. This paper examines the impacts of the economically constrained (low-income) consumers and unconstrained (high-income)
consumers on the CCAPM using urban consumption expenditures in China delineated by consumer income, and tests the income constraint
hypothesis. The empirical results show that the CCAPM is not more consistent with the consumption pattern of the higher-income
consumers. Including the income constraint into the analyses of the consumption and asset returns does not unravel the equity
premium puzzle.
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Keywords: | consumption asset returns income constraint |
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