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首页> 外文期刊>The quarterly review of economics and finance >European equity markets: Who is the truly representative investor?
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European equity markets: Who is the truly representative investor?

机译：欧洲股票市场：谁是真正的代表性投资者？

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摘要

While most asset pricing models assume the perspective of the representative investor, the globalization of financial markets makes it difficult to know who the investors whose marginal utility determines market prices really are. Since the majority of investment in European financial markets comes from European countries, we study the performance of the consumption-capital asset pricing model (CCAPM) in the equity markets of the three largest European economies: France, Germany and the United Kingdom. For each nation, we price 25 portfolios sorted by size and book-to-market equity, 30 industry portfolios and 25 portfolios sorted by ROE and asset growth, using both domestic and foreign consumption growth as factors. In order to account for the variability of the parameters over time, we employ a scaled factor model, with the domestic consumer confidence index (CCI) and the consumption-wealth ratio (cay) as instruments. We show that the multi-CCAPM scaled by the CCI performs significantly better than the classic CCAPM, providing results comparable to those of the Fama-French five-factor model. (C) 2019 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
机译：尽管大多数资产定价模型都是从代表性投资者的角度出发，但金融市场的全球化使人们很难知道谁的边际效用决定了市场价格。由于欧洲金融市场的大部分投资来自欧洲国家，因此我们研究了三个最大的欧洲经济体（法国，德国和英国）的股票市场上的消费资本资产定价模型（CCAPM）的表现。对于每个国家，我们均将国内外消费增长作为因素，对25个投资组合（按规模和账面市价股票排序），30个行业投资组合和25个投资组合（按股本回报率和资产增长排序）定价。为了考虑参数随时间的变化，我们采用了比例因子模型，并以国内消费者信心指数（CCI）和消费财富比率（cay）为工具。我们显示，由CCI缩放的多CCAPM的性能明显优于经典CCAPM，其结果可与Fama-French五因子模型的结果相媲美。 （C）2019年伊利诺伊大学董事会。由Elsevier Inc.出版。保留所有权利。

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