CAJ | 학술논문

在封闭经济、经济一体化和经济部分一体化假设下,研究基于消费长期风险的资本资产定价模型对中国股市资产组合的定价能力。结果发现：在封闭经济和经济一体化假设下,长期风险资产定价模型均可以对中国股票资产组合进行定价,但是在经济部分一体化假设下模型的定价能力更好。在不同经济开放度假设下,长期风险模型对中国股市资产组合的定价能力优于CAPM和传统CCAPM模型,其中基于消费与股利协整的长期风险模型表现最好;短期内,长期风险模型的估计不显著,而当估计期限延长时,长期风险模型估计结果的显著性和定价能力都有明显提升。
재봉폐경제、경제일체화화경제부분일체화가설하,연구기우소비장기풍험적자본자산정개모형대중국고시자산조합적정개능력。결과발현：재봉폐경제화경제일체화가설하,장기풍험자산정개모형균가이대중국고표자산조합진행정개,단시재경제부분일체화가설하모형적정개능력경호。재불동경제개방도가설하,장기풍험모형대중국고시자산조합적정개능력우우CAPM화전통CCAPM모형,기중기우소비여고리협정적장기풍험모형표현최호;단기내,장기풍험모형적고계불현저,이당고계기한연장시,장기풍험모형고계결과적현저성화정개능력도유명현제승。
Under the hypothesis of closed economy, economic integration and partial economic integra- tion respectively, this tests the explanatory power of consumption - based long - run risks model for asset pricing in China stock market. The research shows that： The long run risk model can price the stock portfo- lio under the hypothesis of closed economy and economic integration, , but the pricing ability of model is the best under the hypothesis of partial economic integration. Under different assumption of economy open- ness, the performance of long - run risks model is better to explain the value premium than CAPM and clas- sic CCAPM model, while the co - integration LRR model is the best. The estimation of long - run risks model is not significant in the short run, but the longer the periods of stock return when estimated, the more significant and better the estimation result and explanatory power of long - run risks model.