Dissertation > Excellent graduate degree dissertation topics show

An Empirical Study about Consumption-based Capital Asset Pricing Model Based on Exogenous Spending Habits

Author: ChengZhiGang
Tutor: SunNingHua
School: Nanjing University
Course: Quantitative Economics
Keywords: Consumption-based capital asset pricing model Exogenous spending habits Generalized method of moment Equity premium
CLC: F224
Type: Master's thesis
Year: 2013
Downloads: 36
Quote: 0
Read: Download Dissertation


After thirty years’ reform and opening up,China has made global attention-focused economic achievements.At the same time, the relationship between the macroeconomic and capital market has becoming increasingly closer,thanks to the considerable development of China’s capital market. In foreign countries,studies upon the combination of macro consumer choice theory and the theory of asset pricing has already accumulated a deep foundation and empirical experience, while lots of problems such as the risk premium puzzle, mystery of the risk-free rate still existed in the well-developed capital market.Domestic study on the consumption capital asset pricing model is also inadequate. This article aims to examine the practicability of the asset pricing model based on exogenous spending habits-Abel model in China,and analyze the dynamic relationship between the consumer risk assets and the risk-free asset,and determine whether the risk premium puzzle existed in China’s capital market as in the developed capitalist countries,through the use China’s capital market and consumer market’s empirical data.Firstly,this paper reviews the existed research on consumption capital asset pricing model and empirical test. We payed special attentions to introduces Hansen-Singleton model,Epstein-Zin model,Abel model, and Constantinides model.We Selected Abel model based on the exogenous spending habits for empirical analysis,in order to examine the behavior of investors, according to the behavioral characteristics of China’s stock market developments and domestic investors. The results show that the non-linear rational expectations model is partially supported by our current capital market experience.Different from the Western developed mature capital market, the risk premium puzzle does not exist in China’s capital market. Meanwhile, the investor’s investment behavior is also different in different time period. In a bull market, the representative investor often exhibit irrational risk preferences; while in a bear market, the representative investor exhibit rational risk aversion instead, and is more inclined to invest in risk-free assets. Representative investor’s exogenous spending habits have different impact on investors’ consumption in different time period,the exogenous spending habits factors have a smaller impact on consumer behavior of the representative investor in a bull market than in a bear market.

Related Dissertations

  1. A Study on the Risk Preference and Asset Choice of China’s Individual Investors,F224
  2. Intertemporal asset pricing theory and its application in the Chinese stock market,F224
  3. The Equity Premium and the Stock Market Volatility,F830.91
  4. Elasticity of Intertemporal Substitution, Habit Formation and the CCAPM Theory,F830
  5. Equity premium studies,F224
  6. The Estimation and Comparison of Dynamic Term Structure Models,F224
  7. A Research on the Equity Premium of Capital Market of China,F832.51
  8. Researches on the Evolution of Capital Asset Pricing Theory,F830
  9. Of the equity premium puzzle Empirical Analysis,F832.51
  10. Analysis on Equity Premium Puzzle of China’s Stock Market,F832.51
  11. Correlation Mechanism between Stock Market Volatility and the Equity Premium in China’s Stock Market,F832.51
  12. Interest-Rate Derivatives Pricing Based on One-Factor HJM Model,F832.51
  13. Empirical Research on Chinese Equity Premium Puzzle,F832.51
  14. Based on RBC 's Chinese economic fluctuations and total assets of,F224
  15. K Company’s Improving Planning and Forecasting for the Reasonable Allocation of Inventory,F224
  16. Empirical Study on the Top Management Turnover and Performance of Listed Companies in China,F224
  17. A Study about the Stock Index Future’s Influence on the Stock Market,F224
  18. The True Estimations of China’s Unemployment and the Re-examination of Okun’s Law,F224
  19. State cigarette sales forecast Influencing Factors,F224
  20. The Survey on Food Enterprise Employee-cognitive Levels and Customer-satisfaction Degrees,F224
  21. An Empirical Analysis on the Changes of China’s Labor Share,F224
  22. Social Security on narrowing the income gap between China's urban residents Mechanism of regulation,F124.7;F224

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile