【作者】 朱微亮；

【导师】 刘海龙；

【作者基本信息】 上海交通大学 ， 管理科学与工程， 2008， 博士

【摘要】 如何决定资本资产的均衡价格是金融经济学家所一致关注的问题。随着经济的发展,金融产品和金融系统日趋复杂,经济学家们认识到以往的金融理论仅仅考虑套利、均衡等问题而忽略了对经济主体的分析,这使得这些金融理论在解释现实金融市场行为时出现了很多问题。正是由于以往金融理论的局限性,越来越多的学者开始从经济主体出发来解释纷繁复杂的金融现象,居民的消费习惯以及企业投资过程中的资本调整成本对资产收益的影响己经成为重要的研究课题。经典消费理论中,通常假定个体的偏好是时间可分的(time-separable),也就是消费产生的效用水平仅由当期的消费水平决定;而消费习惯则认为个体的偏好是时间不可分的(time-inseparable),即当期的效用水平不仅依赖当前的消费支出状况,还与此前消费支出水平有关(滞后消费有关)。由于在现实世界中,居民消费作为一个纯粹的个体决策行为,很大程度要受到消费决策心理以及行为习惯的制约和影响,甚至在一定条件下这种内在的因素会超过收入对消费的影响。新古典投资理论特别是Tobin的Q理论认为只有当企业的市场价值大于企业的重置成本(或者企业的账面价值)时,企业才会觉得投资是有利可图的。但现实情况并不支持这个结论,企业常常在Tobin的Q大于1时才进行投资。资本调整成本理论对此做出了解释,认为企业投资过程中存在调整成本,一单位投资不能顺利转换为一单位的资本存量,因此只有当企业市场价值超过企业的重置成本以及调整成本总和后,企业才可能进行投资。在学术界日益关注消费习惯以及资本调整成本对股票价格影响的背景下,研究两者与股票价格之间的关系也逐渐得到人们的注意。不过已有的研究文献要么从消费领域出发建立基于消费的资本资产定价模型(CCAPM),要么从生产领域出发建立基于生产的资产定价模型(PCAPM),而没有将两者整合在一起。本文着眼于中国股票市场实践,从一般均衡角度研究消费习惯以及资本调整成本对资产价格的影响,建立了基于消费习惯与调整成本的资产定价模型(Asset Pricing Model Based on Habit Formation and Adjustment Cost,简写为HAM模型),内容包括基于行业市场集中度的HAM模型,基于投资者情绪的HAM模型等多个方面,并利用中国市场实际数据对研究结论进行实证研究。本文的主要工作和结论如下:1、在系统回顾资产定价理论基础上,提出了完全理性完全竞争商品市场的HAM模型,在一般均衡框架下研究企业生产决策、投资者投资消费决策对股票价格的影响,推导出了四因子的资产定价模型,并进行了实证检验以及模型校准。该模型有三个特点:(1)是一个一般均衡的资产定价模型;(2)假定消费者具有外生的消费习惯;(3)本文的生产函数形为yt = At exp(εt )ktφ, k t为资本,εt为企业绩效变量, At为市场结构变量,刻画了市场集中度、规模经济等对企业生产的影响。在检验模型准确性方面,利用中国股票市场上的交易数据,校准了宏观经济状态变动与股票市场收益率、波动率之间关系,实证检验了企业绩效、资本调整成本、消费习惯与资产收益率之间关系。校准结果表明,模型拟合了绝大部分的经济数据;而实证结果表明,本文推导的四因子资产定价模型中,企业绩效定价因子、调整成本定价因子以及BM值定价因子在中国市场上显著不为零,肯定了四因子模型的有效性。2、针对传统资产定价模型未考虑市场结构与股票收益率变动的关系,本文设计出基于行业市场集中度的HAM模型,考虑企业之间战略行为与股票收益率变动关系。引入企业战略行为可以把不同市场结构下,企业的生产决策、定价决策与企业的股票价格联系在一起,说明行业垄断程度越高,预期股票收益率越大。3、本文研究了市场上存在理性交易者以及噪声交易者情形下资产价格变动规律,建立了基于投资者情绪的HAM模型。理性交易者按照股票价值进行投资,当股票的市场价格低于股票价值时买入,在市场价格高于价值时卖出,而噪声交易者根据股票的心理价位进行投资决策,可能高估或者低估股票的价值。因此,理性交易者希望通过套利使得股票价格回复到内在价值水平,而噪声交易者的情绪变动可能使得股票价格波动更大。在均衡状态下,基于噪声交易者的资产定价模型中股票预期收益率为三个部分:第一项为两类投资者预期收益率的加权平均,权重为不同投资者在市场上的定价能力;第二项为套利项,即理性交易者针对噪声交易者预期偏差进行套利的收益率部分;第三项为投资者情绪变动与投资预期收益率差的协方差项,为噪声交易者情绪变动对股票收益率的影响。论文的创新点如下表所示:其主要内容包括:1、建立了完全理性完全竞争商品市场的HAM模型,其四个定价因子分别为:市场组合因子、企业绩效因子、调整成本因子以及账面市值比率(Book-to-Market,下文简写为BM)因子,对应的代理变量为市场组合收益率,每股盈利、企业资本量的账面价值以及企业的BM值,并利用中国股票市场数据对消费习惯,资本调整成本与股票收益率之间关系进行了实证,校准了消费习惯、资本调整成本与宏观经济状况变动的参数。实证结果表明,企业绩效因子、调整成本因子以及BM因子均是影响资产收益率的显著因素。2、在不完全竞争的条件下,研究了行业市场集中度与股票收益率之间关系,强调企业之间的战略行为,特别是企业间的定价行为对股票收益率的影响,推导出基于行业市场集中度的HAM模型。在HAM模型基础上增加了市场结构定价因子,对应的代理变量为HHI指数(赫芬达尔—赫希曼指数)。其次,利用中国市场实际交易数据,检验不同行业下,行业市场集中度与股票收益率的联结关系,发现HHI指数在定价模型中显著不为零。3、假定市场存在理性交易者和噪声交易者,推导出均衡状态下投资者情绪与股票收益率之间关系模型,提出了基于投资者情绪的HAM模型,增加了理性投资者的套利定价因子以及噪音投资者的情绪定价因子。然后,利用中国市场数据对投资者情绪与股票收益率之间关系进行了实证检验,发现新增的两个定价因子对股票收益率有显著影响。更多还原

【Abstract】 It is a key issue to determine the equilibrium price of assets that all financial economists have consistently concerned with. With development of the economy, financial products and the financial system are getting increasingly complex, economists realize that the previous financial theories consider only arbitrage, equilibrium and so on, but neglect issues such as the analysis of the economic entities, which makes a lot of problems occur when they explain market behavior in reality by financial theories. Because of the limitations of the previous financial theories, more and more scholars begin to explain the complicated financial phenomena from the economic behavior, such as consumer habit formation and capital adjustment costs and so on, the effects on capital return have become an important research issue.In the classical consumption theory, the individual preference is usually assumed to be time-separable, that is, the utility of consumption is only determined by the current level of consumption; while habit preference believes that the individual preference is time-inseparable, that is, the current utility level depends not only on the current state of consumption expenses, but also on the previous consumption expenses level (relavent to lagging consumption). In the real world, as a pure individual decision-making behavior, consumption is subject to and influenced by consumer’s decision-making mentality and behavioral habits to a large extent,under certain conditions, the impact of internal factors even exceeds the impact of income on consumption.Neoclassical investment theories, especially the Tobin’s Q theory thinks that only when the market value is greater than the enterprise’s replacement cost (or book value of the corporation), enterprises would feel that the investment is profitable. But this is not supported in reality, enterprises often engage in an investment when Tobin’s Q is far greater than one. Capital adjustment cost theory gives an explanation to this phenomenon, which believes that enterprises have adjustment cost in the course of investment, one unit investment can not be transformed to one unit of the capital stock smoothly, and therefore only when enterprise’s market value is greater than the sum of the replacement cost and adjustment cost, the investment of the enterprise is profitable.In the academic field, under the background of growing concerns on habit formation as well as capital adjustment cost, studies on the relationship between the two and the stock price is gradually gaining attention. However, the existing literature establishes capital asset pricing model based on consumption or based on production, the two are not integrated. This paper focuses on the Chinese stock market, studies the impact of habits formation and capital adjustment cost on asset prices using a general equilibrium model, which includes asset pricing model based on the market structure and asset pricing model based on investor sentiment. The main contribution and conclusions of this paper are as follows: First, on the basis of systematically reviewing the asset pricing theory, this paper constructs capital asset pricing model based on habit formation and adjusted cost, and uses stock transaction data in the Chinese market, calibrates the relationship between changes in the macroeconomic state and the return rate, volatility in the stock market, analyses the relationship between the return of assets and the market performance, capital adjustment cost, consumption habits. Conclusion shows that: enterprise expected return of stocks is positively correlated to corporate performance, prospects of the industry development, research and development capability, and negatively correlated to scale of the enterprises and the ratio of market / book value.Second, as the classical capital asset pricing model does not take into account the impact of the commodity market structure of the enterprise on the changes of stock return, the paper designs an asset pricing model based on the strategic behavior of enterprises. Introducing enterprise’s strategic behavior can make the enterprise’s production decisions, pricing decisions and the stock price of the enterprise link together under different market structure, this shows that the enterprises in different industries can have different stock prices, which accords with the fact that PE in different sectors and the dynamic PE are significantly different currently in the Chinese market.Third, taking into account that the Chinese market has not yet been an efficiency market, this paper also studies the stock prices when the market exists rational investors and sentimental investors, rational investors invest according to the fundamental value of the stock, they buy stocks when the stock price is lower than the fundamental value, and sell them when the market price is higher than the fundamental value, while the sentimental investors set a psychological price to each stock, which is different from the fundamental value, so the sentimental investors may overestimate or underestimate the value of stocks in equilibrium, rational investors hope that the stock price reverts to the fundamental value by making arbitrage, and changes of sentimental investors’sentiment may make the stock prices have greater volatility. Conclusion shows that in equilibrium, the expected the stock return considering sentimental investors consists of three parts: the first item is the expected weighted average return of the two types of investors, where weight is the pricing capacity of investors, second is arbitrage item, and another one is the covariance item of market sentiment and expected return of the investment.The innovations of this paper show as following: The main ideas include the following:First, this paper establishes asset pricing model in general equilibrium based on habit preference and capital adjustment cost(HAM in abbreviation), the four pricing factors are: market portfolio, enterprise’s performance, adjustment cost and ratio of book value and market value, representative variables are the stock return of market portfolio, earning per share, book value of enterprise’s equity and the ratio of book and market value, and does empirical research on the relationship between the stock return, habit preference and capital adjustment cost using Chinese stock market data, and calibrates the parameters of habit preference, capital adjustment cost and changes of the macroeconomic status.Second, this paper studies the relationship of industries’concentrated degree and stock return under incompletely competitive conditions to establish a HAM based on market concentration, emphasizes on different enterprises’strategic behavior, especially the impact of the pricing behavior of different enterprises on stock return, educes five-factor capital asset pricing model. This model includes market structure factor on the basis of consumption habit and capital adjustment cost model, the representative variable of market structure is HHI index. Also using market transaction data, this paper tests the linkage of industry’s market concentrated and stock return, and finds HHI index in the pricing model is significantly not zero.Third, this paper derives the relationship between investor sentiment and the stock return in equilibrium and establishes a HAM based on investor sentiment, assuming there are rational investors and sentiment investors in the market. Six-factor asset pricing model is put forward, this model includes arbitrage pricing factor and setiment pricing factor. Thereafter, this paper does empirical research on the rationship of investors’sentiment and stock return, using Chinese market data. This paper finds the two pricing factors have significant effect on stock return.更多还原