| Capital asset pricing model has always been an important core problem in the field of finance.With the traditional capital asset pricing model proposed by Sharpe(1964),Lintner(1965)and Mossin(1966),subsequent asset pricing models also improved their assumptions and obtained some asset pricing models more in line with the real world capital market.Among them,Consumption Capital Asset Price Model(CCAPM)is an important development.Compared with the traditional CAPM model,this model mainly liberalizes the assumption of single-period investment return and makes investors’ investment behavior more in line with the realistic inter-period return of current investment.However,the results of the traditional asset pricing model are better than the consumption-based asset pricing model in the subsequent domestic and foreign academic research.In the existing studies,the performance of the capital markets of China and the United States has attracted much attention.Therefore,this article chooses the inter-temporal assumptions,continuous time factor conditions was founded CCAPM model and the traditional CAPM model,respectively,for the period 2000-2018 in the us capital markets,the S&P 500 stock index and the standard & poor’s industry 10 industry index,and shen wan hongyuan in China’s capital market more than 900 stocks and all under the classification of indexes respectively comparing the empirical analysis of 28 industries,got two asset pricing model in the capital market in China and the United States for fitting degree of individual stocks yields,And the consumption habits of consumers reflected in the results of industry index fitting.This paper also compares the above problems reflected in the two capital markets according to the empirical results and draws effective conclusions.The fitting results show that: empirically,the performance of CAPM model is better than that of CCAPM model in both markets.In the empirical aspect of industry data,short selling hypothesis is required for the risk asset portfolios with the largest correlation with consumption data constructed by the CCAPM model in the two markets,indicating that in some industries in the two markets,consumer consumption is negatively correlated with the return on the industry stock index. |
