生产还是消费——中国股市生产资本资产定价模型实证检验

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.

Production or consumption: An empirical test of production-based asset pricing model in the Chinese stock market

The production-based capital asset pricing model (PCAPM) derives asset prices in a general equilibrium 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 investors.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 on the present-value model.The empirical analysis is performed using data on aggregate investment and stock prices.The findings confirm that the cash flow beta from PCAPM is a significant pricing factor and can explain the cross-section variations in risk premium for different stocks in the Chinese stock market,while CCAPM fails to explain such variations.