Equilibrium Asset Pricing Based on the “Real” Consumption

• Main Authors: Chang, Jun-ping, 張俊評
• Other Authors: Hsu, Yen-shan
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/42229760534566356531

博士 === 國立政治大學 === 財務管理研究所 === 96 === This thesis derives an inter-temporal asset pricing model in a real-term, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunity. When the inflation-indexed securities are available, a three-factor asset pricing model is derived in terms of real consumption growth, consumption-habit variation, and inflation rate change (or sentimental inflation expectation). Empirical results suggest that the derived asset pricing model in real framework can explain above a 60% of the variation in asset returns. Under the real framework, we demonstrate that s+4 fund separation applies. These funds may be chosen to be: (1) the instantaneously inflation-indexed bond, (2) the market portfolio, (3) the sentimental inflation-related asset, (4) the consumption habit-related asset, and (5) the s portfolios having the high correlations, respectively, with the s state variables.