The Research On Asset Pricing Mechanism Of A Share Market

Asset Pricing study the Present value of contingent claim in uncertain conditions.Asan old and modern fields,it,11 develoPing and evolving with human economic activitiesnecessarily.This PaPer has three main objectives.firstly,throw light on macroeconomic assetPricing by systematic analysis of asset Pricing esPecially on the basic PrinciPle of generalequilibrium,and sum uP of sPan Period equilibrium asset Pricing most esPecially on theemPirical works of consumPtion一based asset Pricing;Secondly,analyse themacro一background ofA一share market,reveal the unique characteristics about economics,institutions and behaviors ofA一share market Price,50 we are able to grasP the internal andexternal factors more scientific and reasonable;thirdly,through emPirical test to comPareconsumPtion一based asset Pricing and unexPected inflation related time一varying riskaversion with current mainstream of asset Pricing model,find causes and mechanism ofAshare market asset Pricing.This PaPer give China,5 caPital markets an emPirical test based on ProPerunderstanding of general equilibrium Pricing theory.In the feasible range of data andeconometrics,this PaPer use time series and cross一sectional insPection,comPare theregression RZ or di价rent models,di价rent time samples,dirrerent benchmark portrolios,and understand characteristics and internal mechanisms ofA share from multi一levels.For time series test,according to general equilibrium,this PaPer take relative changeas habit formation and asset returns as the source of risk Premiums,and unexPectedinflation as factor of time varying risk averse using condition heteroscedastic model to testhabit formation consumPtion一based asset Pricing .The conclusion 15 habits formation andtime一varying risk averse of CCAPM model can obtain good result,and the method oftime一varying exPectation return 15 effective and feasible.Chinese PeoPle usually havesyears habit formation,the habit formation correlated with business cycle in China.Due tocounteraction between innovation of consumPtion develoPment and innovation of unexPected inflation that disturbance time一varying risk aversion,our country residentshave higher risk Preference,and The Equity Premium Puzzle does not exist in habitforlllation CCAPM.For cross一sectional test,by construct Fama一French 25 Portfolio,this PaPer test CAPM,Fama一French three factors model,habit formation CCAPM model with Portfolio return,beta sequence regression,cross一section regression,showed that size and value effect aresignificant totality,but Performance of size effect will reverse in bear market andsignificant of value effect will decreased dramatically in bull market.Therefore,assetPricing through the size effect and value effect does not stability.w亡can see that,sizefactor and value factor only reflect the market factor,rather than the characteristics of riskPremium source of real assets.Habit formation CCAPM greatiy imProved significance,and factor always Positive,reflecting the influence in the asset Pricing 15 more stable.Inaddition,this PaPer also found that habit formation 15 time varying,and have relation withmaCfoeCOnO1llCS.General equilibrium asset Pricing 15 not only a Positivism research Paradigm,but alsoa normativism standard.The rational economic and comPlete market assumPtions are ouridealism target.But,in the real world,the rePresentative agent does not necessarily keePsober state,when he occasionally"drinks"too much,will cause great fluctuations,systematic financial risk,50 we should not only interPrete the Price but also undertake thesuPervision resPonsibility.