| 基于需求层次理论的资本资产定价模型 |
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| 引用本文： | 欧阳洪,肖东生.基于需求层次理论的资本资产定价模型[J].系统工程,2007,25(2):74-80. |
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| 作者姓名： | 欧阳洪 肖东生 |
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| 作者单位： | 南华大学,经济管理学院,湖南,衡阳,421000 |
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| 摘 要： | 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.
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| 关 键 词： | 需求层次 效用函数 资产定价 |
| 文章编号： | 1001-4098（2007）02-0074-07 |
| 修稿时间： | 2006-06-22 |
A Capital Asset Pricing Model Based on Desire Hierarchy Theory |
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| OU-YANG Hong,XIAO Dong-sheng.A Capital Asset Pricing Model Based on Desire Hierarchy Theory[J].Systems Engineering,2007,25(2):74-80. |
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| Authors: | OU-YANG Hong XIAO Dong-sheng |
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| Abstract: | 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 be CAPM when consumption-investor only satisfies the desire of one specific hierarchy,it is simplificated to be APT when consumption-investor satisfys the desire of many hierarchies.Compare to else asset pricing theories,GCAPM can explain the puzzle of equity premium succinctly. |
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| Keywords: | Desire Hierarchy Utility Function Asset Pricing |
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