我国居民证券投资与消费配置行为研究——基于固定风险厌恶效用函数下的CCAPM模型的推衍
首发时间:2009-05-05
摘要:假定我国居民具有固定风险效用函数,从消费资本资产定价模型的角度分析我国居民资产配置行为,考察居民消费和证券投资行为的特征以及关系。采用固定风险厌恶效用函数推导出风险收益率、无风险收益率以及投资者的风险规避系数的求解公式,并以此作为实证检验的模型基础,对1993年2月至2009年1月的数据进行实证检验。就我国居民的股票投资和消费配置的习惯来说,我国居民投资者消费增长明显受到股票收益率的影响,无风险利率则对其影响不大。总体上来说,CCAPM在我国不成立,1997年之后这种线性关系更加不显著。这与我国不稳定的股票市场本身和未市场化的利率有着重要关系。相对于稳定增长的消费,在投资方面我国居民投资者在熊市表现为风险偏好,在牛市表现为风险规避。
关键词: 消费资本资产定价模型 固定风险厌恶系数 消费 投资
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Research on portfolio investment and consumption behavior——The derivation of CCAPM based on fixed-risk aversion utility function
Abstract:Assumed that Chinese residents have CRRA utility function, this article studies the characteristics of portfolio investment and consumption behavior as well as the functional relations on the base of CCAPM and portfolio investment. Using fixed-risk aversion utility function to derive the yield of risk, risk-free return as well as the coefficient of risk aversion, and as a model for empirical testing based on February 1993 to January 2009 data. The consumption growth had obviously been influenced by stock returns, while risk-free interest rate had little impact. CCAPM was not supported by China’s data, especially after 1997. This was because the instability of stock market and no-market-oriented interest rate. Compared with the steady growth of consumption, China\\\
Keywords: CCAPM CRRA consumption investment
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我国居民证券投资与消费配置行为研究——基于固定风险厌恶效用函数下的CCAPM模型的推衍
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