The Research On The Random Discount Factors Asset Pricing Model Of Wealth-based

The characteristics for the operation law of asset prices is very hard for us to grasp,so it attracts more and more researchers to engage in this popular field,and there has many research results.Encouraged by these studies,this paper will try to make some studies in the asset pricing.Firstly,it discusses the formation and development of stochastic discount factor in detail,and states the change of stochastic discount factor in the study of asset pricing,and so on.Secondly,introducing the wealth factor to utility function,deduces the wealth-based stochastic discount factor model.And according to the wealth-based power law utility function,obtains the explicit expressions of the stochastic discount factor and asset pricing model with wealth.Finally,the article will use the models of based-wealth stochastic discount factor and asset pricing model,to classify the chinese capital market.And using the related consumption and wealth data in January 2002-December 2015 into the based-wealth stochastic discount factor model,constructs the data of stochastic discount factor.Then gets the data of random discount factor under different parameters by using Hansen's derivative test.And according to the constructed datas,analysis the linear relationship between wealth and the stochastic factor,and the results show that there is a linear relationship of wealth and stochastic discount factor.This next section chooses 10 representative stocks' data in the shanghai stock exchange,and takes them into the wealth-based asset pricing model.It turns out that this asset pricing model is suitable for the price fluctuation of some stocks.