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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 capital asset pricing model of production capital introduces equilibrium price of assets from the perspective of maximizing the profit of enterprises.Compared with the capital asset pricing model of consumer capital, the capital asset pricing model of production capital can better meet the hypothesis of information completeness and decision-maker’s rationality. Based on the present value model, the systemic risk factor of production, namely the production beta factor, is decomposed into the cash flow beta and the discount rate beta, and the total social investment and stock market data are used for the empirical test.The paper finds that the production - The cash flow beta is an important pricing factor in China’s stock market, which can better explain the cross-section differences of equity premiums. In contrast, consumer capital asset pricing models have weaker explanatory power of risk premiums among different assets.