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本文建立了同时包含长期风险和短期风险的资产定价模型,运用1997~2012年上证综指数据,使用参数校准法对中国股票市场股权溢价进行估计。研究表明:中国股票市场历史上的消费和分红特征不支持正的股权溢价的存在,股票市场存在股权溢价之谜;长期风险对股权溢价的贡献为负,短期风险的贡献为正;投资者风险厌恶程度与所要求的回报间的相关性不明显。从模型设定来看,导致上述结果的主要原因是中国股票市场分红不连续的特征,因此政策上确保上市公司连续分红对中国股市长期健康发展有积极意义。
This paper establishes an asset pricing model that includes both long-term and short-term risks. Using the data of Shanghai Composite Index from 1997 to 2012, we use the parameter calibration method to estimate the equity premium of the Chinese stock market. The research shows that the historical consumption and bonus features in Chinese stock market do not support the existence of positive equity premium, the mystery of equity premium exists in the stock market, the contribution of long-term risk to equity premium is negative, the contribution of short-term risk is positive, The correlation between the degree of distress and the required reward is not obvious. From the perspective of model setting, the main reason leading to the above result is the characteristic of non-continuous dividend payout in China’s stock market. Therefore, it is of positive significance to ensure that the continuous dividend payout of listed companies can long-term and healthy development of the Chinese stock market.