Title :
Consumption Equilibrium Asset Pricing in China Stock Market
Author_Institution :
Res. Center of Financial Eng., South China Univ. of Technol., Guangzhou, China
Abstract :
We study China stock market using the Consumption-based Capital Asset Pricing Model (CCAPM) of Lucas [Econometrica 46 (1978) 1429]. A cointegration test reveals no long-term relationship between equity prices and dividends in China. The applicability of the CCAPM seems weak in China. The highly volatile dividend growth rates nonetheless cannot rationalize the large equity premia (the equity premium puzzle) in China stock market. We find the mean model-implied risk-free rate is much higher than the historical figure in China.
Keywords :
pricing; stock markets; capital asset pricing model; cointegration test; equity dividends; equity prices; stock market; Closed-form solution; Couplings; Econometrics; Equations; Measurement standards; Pricing; Security; Stochastic processes; Stock markets; Testing;
Conference_Titel :
Computational Intelligence and Software Engineering, 2009. CiSE 2009. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4507-3
Electronic_ISBN :
978-1-4244-4507-3
DOI :
10.1109/CISE.2009.5364939
