CCAPM的定价原理是什么？

如果先去对数通过时间序列算出 β和γ，然后的GMM怎么实现呢？   E(mr)=1

先算出参数，再代入距条件

What Does Consumption Capital Asset Pricing Model - CCAPM Mean?
A financial model that extends the concepts of the capital asset pricing model (CAPM) to include the amount that an individual or firm wishes to consume in the future. The CCAPM uses consumption measures, in terms of a consumption beta, in its calculation of a given investment's expected return.  In its simplest form, the CCAPM differs from the CAPM by only the beta coefficient used in the calculation. The beta for consumption attempts to measure the covariance between an investor's ability to consume goods and services from investments, and the return from a market index.In practice, the CCAPM is used less frequently than the CAPM, and should probably only be used on a theoretical basis.  

To illustrate:

翻译成中文的意思就是，消费资本资产计价模型CCAPM是一种金融模型，延伸了资本资产计价模型CAPM，其中包含了个人或公司未来的消费期望。CCAPM在计算投资者期待的收益时运用消耗参数BETA衡量了消耗。在最简单的CCAPM中，BETA衡量了投资者在投资过程中的消费能力和从市场中取得的收益之间的关系。在实际应用中，CCAPM很少被用到，应该只用于理论研究。



希望对你有帮助，不过不知道你到底要问什么，如果能把问题写的清楚些，我想会有很多知识渊博的人愿意为你解答的。

roseyanliu 发表于 2010-8-19 14:08
What Does Consumption Capital Asset Pricing Model - CCAPM Mean?
A financial model that extends the concepts of the capital asset pricing model (CAPM) to include the amount that an individual or firm wishes to consume in the future. The CCAPM uses consumption measures, in terms of a consumption beta, in its calculation of a given investment's expected return.  In its simplest form, the CCAPM differs from the CAPM by only the beta coefficient used in the calculation. The beta for consumption attempts to measure the covariance between an investor's ability to consume goods and services from investments, and the return from a market index.In practice, the CCAPM is used less frequently than the CAPM, and should probably only be used on a theoretical basis.  

To illustrate:

翻译成中文的意思就是，消费资本资产计价模型CCAPM是一种金融模型，延伸了资本资产计价模型CAPM，其中包含了个人或公司未来的消费期望。CCAPM在计算投资者期待的收益时运用消耗参数BETA衡量了消耗。在最简单的CCAPM中，BETA衡量了投资者在投资过程中的消费能力和从市场中取得的收益之间的关系。在实际应用中，CCAPM很少被用到，应该只用于理论研究。



希望对你有帮助，不过不知道你到底要问什么，如果能把问题写的清楚些，我想会有很多知识渊博的人愿意为你解答的。

您好，多谢您的回答。我现在准备做CCAPM的实证，顺便学习一下，但是我看CCAPm的实证都是用GMM。 如果只是核算出消费β的话，那应该和capm模型一致啊？我不懂的是，如果用消费增长率核算β，那么是否每个企业的都一样？（用的数据一样，全国非耐用品消费增长率）。　

upup                        

upup。 设计实证，应该什么步骤呢？

顶！！！！！！！！！！！！！！

我现在也需要做实证，好晕啊，请问你是用eviews还是matlab？可以分享你的软件和code给我吗？跪求回复。。