An Empirical Study About Consumption-based Capital Asset Pricing Model Based On Exogenous Spending Habits

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.