题名

二因子實質消費資本資產訂價模型

并列篇名

A Two-Factor Real Consumption CAPM

作者

張俊評(Chun-Pin Chang)；徐燕山(Yen-Shan Hsu)

关键词

實質消費 ； 共同基金定理 ； 完全規避通膨風險債券資產 ； Real Consumption ； Mutual Fund Theorem ； Inflation-indexed Securities

期刊名称

經濟研究

卷期/出版年月

49卷2期（2013 / 07 / 31）

页次

297 - 356

内容语文

繁體中文
中文摘要

本文以抗通膨資產做為實質投資人評價實質超額報酬的基礎，推導出二因子實質消費資本資產訂價模型，均衡模型中的二個因子分別是通膨風險因子與消費成長風險因子。實證結果顯示，二因子實質消費資本資產訂價模型可以解釋30.23% 橫斷面股票報酬之變異。在本文架構下，本文導出S+2共同基金定理，這些基金可能為（1） 完全規避通膨風險債券資產；（2） 市場投資組合；（3） S個有高度相關性的投資組合。
英文摘要

This paper derives an inter-temporal asset pricing model in a real-term, continuous-time framework. When inflation-indexed securities are available, we are able to derive a two-factor asset pricing model in terms of consumption growth, and inflation rate change. Under the framework of this paper, we demonstrate that the theorem of S+2 funds separation applies. These funds may be chosen to be: (1) an instantaneously inflation-indexed bond, (2) a market portfolio, and (3) S portfolios having the highest correlations, respectively, with the S state variables.
主题分类 社會科學 > 經濟學
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