DocumentCode
2843568
Title
Consumption Equilibrium Asset Pricing in China Stock Market
Author
Wang, Guozhi
Author_Institution
Res. Center of Financial Eng., South China Univ. of Technol., Guangzhou, China
fYear
2009
fDate
11-13 Dec. 2009
Firstpage
1
Lastpage
5
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/CISE.2009.5364939
Filename
5364939
Link To Document