| 英文摘要
| Compared with the traditional CCAPM model, this study divides consumeru0027s consumption into non-durable goods consumption and housing consumption in each period, and then derives a new formula of return rate and asset price, building a consumption-ratio-based CAPM. Apart from the traditional intertemporal consumption risk, the marginal substitution between consumption goods in the same period was added as a new risk indicator, thus CCAPM was partially improved. The assets discussed in this study include financial assets such as stocks and real estate assets such as houses. The data used are the annual data from 2002 to 2012 and the quarterly data from 2013 to 2018 of China. Historical data shows that the consumption ratio in mainland has obvious regional characteristics. The higher income rural residents earn, the more they tend to consume housing goods, while the higher income urban residents earn, the more they tend to consume non-durable goods. In addition, the consumption ratio in each quarter has significant relationship with ratios in the four seasons ahead. This study also found that the excess returns of stocks were significantly negatively correlated with the covariance of their rate of return and the growth of consumption ratio at both quarterly and annual levels. From the market as a whole, market excess returns and consumption ratios in stock market did not show significant relationship, but consumption ratio in the past five years showed a significant impact on the market excess returns of housing assets. The study pointed out that the consumption ratio of each period is an important observation indicator, reflecting the societyu0027s expectation of the economy. In particular, the higher the proportion of non-durable goods relative to housing consumption, the higher the expected return on assets. In addition, considering the impact of the consumption ratio, the model can better explain the risk-free rate and excess return rate compared to CCAPM. |
