基于消费的资产价格跨期均衡模型认为 ,资产的风险溢酬决定于资产收益和消费增长之间的协方差。然而 ,这一资产定价机制无法对股票溢酬之迷进行合理解释。中国证券市场也明显存在股票溢酬之迷 ,股票收益与消费增长还呈现出与理论不符的负相关关系 ,这从侧面证明中国证券市场还远未形成反映中国整体资产的有效组合。 Based on the intertemporal equilibrium model of asset prices, the risk premium of assets depends on the covariance between asset return and consumption growth. However, this asset pricing mechanism can not reasonably explain the fancy of stock premiums. China’s stock market is also clearly a fan of stock premiums. The stock returns and consumption growth also show a negative correlation with the theory. This proves that the stock market in China is far from forming an effective portfolio reflecting the overall assets of China.