消費資本資產定價理論的研究——以中國大陸房屋市場和股票市場為例

相較于傳統的CCAPM模型，本研究分離消費者在各期的消費，將其分為非耐用品消費和房屋消費，繼而推導出新的報酬率、資產價格公式，構建了一個基於消費比例的消費資本資產定價模型。在原有的跨期消費風險的基礎上，增加了同期消費品之間的邊際替代效用作為新的風險指標，從理論上嘗試完善了CCAPM。本研究定義所探討的資產包括股票等金融資產與房屋等實物類資產，所採用資料為中國大陸2002年至2012年的年度資料和2013年至2018年的季度資料。歷史資料顯示，大陸的消費比例資料有明顯的地區特徵，農村居民收入越高越傾向於消費居住類產品，而城鎮居民收入越高越傾向於消費非耐久品；另外，各季度的消費比例與提前四季的消費比例有顯著關係。本研究發現，在季度水準和年度水準上，個股的報酬率與消費比例的增長率越具有相關性，則個股的超額報酬率越低。從市場整體而言，大陸股票市場的市場超額報酬與消費比例之間的關係並未表現出顯著特性，但房屋資產的市場超額報酬在近5年內，表現出顯著被消費比例影響的特徵。本研究進而指出，各期的消費比例是重要的觀測指標，反映了社會對經濟的預期，特別地，非耐久品相對居住消費的比例越高，預期的資產報酬率也就越高。此外，考慮消費比例的影響後，本模型相較于CCAPM可以更好地解釋無風險利率和超額報酬率。

關鍵字

定價理論；消費比例；非耐用品消費；資本資產定價；房屋市場；股票市場

並列摘要

Compared with the traditional CCAPM model, this study divides consumer's 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 society's 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.