期刊论文

中文

系统工程

1001-4098

2007

25

2

74-80

10.3969/j.issn.1001-4098.2007.02.015

本校为第一机构

将消费-投资者的需求层次心理特征对资产价格的影响纳入考察范围,本文建立了一个基于需求层次理论的资本资产定价模型(GCAPM)。证明了CAPM及APT只是该模型的一个特例。当消费-投资者只满足某一层次的需求时,该模型就简化为CAPM;当消费-投资者满足多重层次需求时,该模型从市场均衡及消费偏好的角度说明APT也是它的特例。与其他资本资产定价模型相比,这个理论能较好地解释红利溢价之迷。

In a framework to study how important consumption-investor＇s desire-hierarchies affect to the change in the return of assets, the paper constructs a general capital asset pricing model based on desire hierarchy theory（GCAPM）. The paper proves that CAPM and APT are specific case of GCAPM. GCAPM is simplificated to he CAPM when consumptioninvestor only satisfies the desire of one specific hierarchy, it is simplificated to he APT when consumption-investor satisfys the desire of many hierarchies. Compare to else asset pricing t...