摘要
生产资本资产定价模型从企业利润最大化角度出发,推出资产的均衡价格.相较于消费资本资产定价模型,生产资本资产定价模型能更好的满足信息完全和决策者理性的假设条件.本文从生产资本资产定价模型出发,利用现值模型将生产的系统性风险因子,即生产的贝塔因子分解为现金流贝塔和折现率贝塔,并采用社会总投资和股市数据进行实证检验.本文发现生产-现金流贝塔是中国股市的重要定价因子,可较好地解释股权溢价的截面差异.相比之下,消费资本资产定价模型对不同资产之间风险溢价的解释能力较弱.
The production-based capital asset pricing model （PCAPM） derives asset prices in a general equi- librium conditional on profit maximization for corporate investors. Compared to the consumption-based capital asset pricing model, PCAPM can better satisfy the assumptions such as perfect information and rational inves- tors. This paper considers asset pricing in a PCAPM framework, and decomposes the production beta into a cash flow beta and a discount rate beta based using data on aggregate investment and stock is a significant pricing factor and can explain on the present-value model. The empirical analysis is performed prices. The findings confirm that the cash fl the cross-section variations in risk premium the Chinese stock market, while CCAPM fails to explain such variations. ow beta from PCAPM for different stocks in
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2017年第8期1-12,共12页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71473281)
关键词
生产资本资产定价模型
现金流贝塔
资产组合
股票收益
production-based capital asset pricing model
cash flow beta
asset portfolios
stock returns
