二因子實質消費資本資產訂價模型__臺灣人文及社會科學引文索引資料庫

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題名：	二因子實質消費資本資產訂價模型
書刊名：	經濟研究. 臺北大學經濟學系
作者：	張俊評／徐燕山
作者(外文)：	Chang, Chun-pin／Hsu, Yen-shan
出版日期：	2013
卷期：	49:2
頁次：	頁297-356
主題關鍵詞：	實質消費；共同基金定理；完全規避通膨風險債券資產；Real consumption；Mutual fund theorem；Inflation-indexed securities
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:12

本文以抗通膨資產做為實質投資人評價實質超額報酬的基礎，推導出二因子實質消費資本資產訂價模型，均衡模型中的二個因子分別是通膨風險因子與消費成長風險因子。實證結果顯示，二因子實質消費資本資產訂價模型可以解釋30.23% 橫斷面股票報酬之變異。在本文架構下，本文導出S+2 共同基金定理，這些基金可能為 (1) 完全規避通膨風險債券資產；(2) 市場投資組合；(3) S 個有高度相關性的投資組合。

以文找文

This paper derives an inter-temporal asset pricing model in a realterm, continuous-time framework. When inflation-indexed securities are available, we are able to derive a two-factor asset pricing model in terms of consumption growth, and inflation rate change. Under the framework of this paper, we demonstrate that the theorem of S+2 funds separation applies. These funds may be chosen to be: (1) an instantaneously inflation-indexed bond, (2) a market portfolio, and (3) S portfolios having the highest correlations, respectively, with the S state variables.

以文找文

期刊論文
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研究報告
1.	Berkelaar, A.、Kouwenberg, R.(1999)。Investing in a Real World with Mean-Reverting Inflation。
2.	Julliard, C.(2007)。Labor Income Risk and Asset Returns (Working Paper)。London School of Economics。

圖書
1.	Fleming, W. H.、Soner, H. M.(2006)。Controlled Markov Processes and Viscosity Solutions。New York：Springer Verlag。
2.	Cochrane, John H.(2001)。Asset Pricing。Princeton University Press。
3.	Campbell, John Y.、Lo, Andrew W.-C.、MacKinlay, A. Craig(1997)。The Econometrics of Financial Markets。Princeton University Press。

其他
1.	(1978)。Datastream，http://ermg.lib.nccu.edu.tw/cgi-bin/er/swlink.cgi。
2.	U. S. Bureau of Economic Analysis Website，http://www.bea.gov/national。

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