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我们将政府资本引入企业生产函数,拓展了基于厂商的资产定价模型(PCAPM)。实证结果显示,我国地方政府投资的增加将导致股权溢价的下降,其传导机制是通过产出资本比,即地方政府投资的增加引起产出资本比的下降,产出资本比的下降进一步导致股权溢价的减少。地方政府资本比重高的省份、行业以及国有企业,政府投资的增加会引起产出资本比更大程度的下降,并且通过产出资本比引起股权溢价更大程度的减少。模型能够在合理的参数水平下拟合我国股票市场股权溢价的均值,利用模拟数据可以产生与实证研究相似的结果。
We have introduced government capital into the firm production function and expanded the vendor-based asset pricing model (PCAPM). The empirical results show that the increase of local government investment in our country will lead to the decline of equity premium. The conduction mechanism is to reduce the ratio of output to capital through the increase of the ratio of output to capital, that is, the increase of local government investment. The decrease of output capital ratio further leads to the equity Reduce the premium. The increase in government investment in provinces, industries and state-owned enterprises with a high proportion of local government capital will lead to a greater reduction in output-capital ratio and a greater reduction in equity premium through output-capital ratio. The model can fit the mean value of equity premiums of China’s stock market at a reasonable parameter level. Using simulation data can produce results similar to the empirical studies.