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Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

邮发代号 80-978

Frontiers of Economics in China  2007, Vol. 2 Issue (2): 275-288   https://doi.org/10.1007/s11459-007-0015-z
  本期目录
Chinese consumption and asset returns: An analysis across income groups
Chinese consumption and asset returns: An analysis across income groups
WANG Liping
School of Economics and City Management, Shandong Economic University, Jinan 250014, China;
 全文: PDF(393 KB)  
Abstract:The equity premium puzzle is found during the test of the Consumption-based Capital Asset Pricing Model (CCAPM) with aggregate consumption data. Because of income disparity, many consumers lack financial assets to intertemporally allocate their consumptions under income constraints. Thus, it is likely to lead to a specification error by employing aggregate consumption data to test the CCAPM. This paper examines the impacts of the economically constrained (low-income) consumers and unconstrained (high-income) consumers on the CCAPM using urban consumption expenditures in China delineated by consumer income, and tests the income constraint hypothesis. The empirical results show that the CCAPM is not more consistent with the consumption pattern of the higher-income consumers. Including the income constraint into the analyses of the consumption and asset returns does not unravel the equity premium puzzle.
出版日期: 2007-06-05
 引用本文:   
. Chinese consumption and asset returns: An analysis across income groups[J]. Frontiers of Economics in China, 2007, 2(2): 275-288.
WANG Liping. Chinese consumption and asset returns: An analysis across income groups. Front. Econ. China, 2007, 2(2): 275-288.
 链接本文:  
https://academic.hep.com.cn/fec/CN/10.1007/s11459-007-0015-z
https://academic.hep.com.cn/fec/CN/Y2007/V2/I2/275
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