考虑消费与投资者情绪的股票市场资产定价

首先基于现有相关研究成果从理论上建立了考虑消费与投资者情绪的资产定价模型，然后选取2005年5月~2018年4月期间的中国A股上市公司数据以及消费和投资者情绪数据，分别对构建的考虑消费与投资者情绪的模型以及CAPM、Fama-French三因子和五因子模型进行实证检验和比较分析.研究结果表明:1)在资产定价模型中引入消费和投资者情绪因子能够在理论上对CAPM、Fama-French三因子和五因子模型进行合理拓展和修正.2)从总体定价效率看，用消费和投资者情绪因子分别替代Fama-French三因子模型中的规模和账面市值比因子、Fama-French五因子模型中的盈利和投资因子，都能够提高资产定价效率;在考虑消费和投资者情绪因子后，Fama-French五因子模型中的盈利和投资因子不再能提高资产定价效率.本文研究结果基于消费和投资者情绪改善了Fama-French模型定价效率，在一定程度上丰富和完善了资产定价理论.

Asset pricing in the stock market with consumption and investor sentiment

This paper establishes an asset pricing model considering consumption and investor sentiment factors based on current research literature. Then the data of A-share listed companies in China, as well as the data of consumption and investor sentiment, from May 2005 to April 2018, is selected to empirically test and comparatively analyze our new model considering consumption and investor sentiment factors, CAPM, Fama-French three-factor model and five-factor model. The results show that the introduction of consumption and investor sentiment factors in asset pricing model can rationally modify and expand CAPM, Fama-French three-factor and five-factor models in theory. Moreover, in terms of overall pricing efficiency, using consumption and investor sentiment factors to replace the scale and book-to-market ratio factors in the Fama-French three-factor model, and the profit and investment factors in the Fama-French five-factor model, respectively, can improve asset pricing efficiency. Considering consumption and investor sentiment factors, the profit and investment factors in Fama-French five-factor model can no longer improve the efficiency of asset pricing. Our asset pricing model based on consumption and investor sentiment factors improves the asset pricing efficiency of the Fama-French models, enriches and improves the asset pricing theory to a certain extent.