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本文计算了我国1996-2014年平均股权溢价,并通过基于传统效用函数及广义预期效用函数的资产定价模型计算的相对风险规避系数、GMM估计方法及H-J最小方差界验证了我国的确存在股权溢价之谜,以此构建灾难风险模型对我国股权溢价之谜进行解释,结论包括:1)我国1996-2014平均股权溢价为8.64%,股票收益波动性较大;2)我国的确存在股权溢价之谜,仅考虑广义期望效用函数无法合理解释我国股权溢价之谜;3)时变灾难模型可以较好地解释我国股权溢价之谜,尤其股市熊市模型更能体现灾难对投资者行为的影响从而影响资产价格风险溢价;4)我国股票收益率波动较大,而股息增长率波动较小,本文验证了灾难视角下股利价格比可以有效预测股票超额收益,为今后投资决策提供稳定科学指标和研究框架.
In this paper, we calculate the average equity premium in China from 1996 to 2014, and verify the existence of premium in China through the relative risk aversion coefficient, the GMM estimation method and the HJ minimum variance bound based on the traditional utility function and the generalized expected utility function. The conclusion includes: 1) The average share premium of China in 1996-2014 is 8.64%, and the volatility of stock returns is relatively large; 2) The mystery of the equity premium does exist in our country, Only consider the general expectation utility function can not reasonably explain the mystery of the equity premium in our country; 3) the time-varying disaster model can better explain the mystery of the equity premium in China, especially the stock market bear market model to better reflect the impact of disasters on investor behavior and thus affect asset prices Risk premium; 4) the volatility of the stock returns in our country fluctuates greatly while the dividend growth rate fluctuates less. This paper verifies that the dividend price ratio can effectively predict excess stock returns and provides stable scientific indicators and research framework for future investment decisions.