本文關(guān)鍵詞：基于中國“股權(quán)溢價之謎”的再檢驗以及運用宏觀長期風(fēng)險模型進行解釋　出處：《廈門大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股權(quán)溢價之謎 相對風(fēng)險厭惡系數(shù) 宏觀長期風(fēng)險模型

【摘要】：該篇論文對中國是否存在“股權(quán)溢價之謎”現(xiàn)象進行了再檢驗,“股權(quán)溢價之謎”的本質(zhì)在于股票收益率遠高于無風(fēng)險利率,必須通過設(shè)置很高的相對風(fēng)險厭惡系數(shù)才能解釋如此高的溢價,而國內(nèi)目前對中國是否存在著“股權(quán)溢價之謎”定論不一。本文采用兩種不同的方法對此進行實證檢驗,一種基于由傳統(tǒng)消費資本資產(chǎn)定價(C-CAPM)模型推導(dǎo)而得出的相對風(fēng)險厭惡系數(shù)估計式；另一種基于Hansen-Jagannathan的最小方差界檢驗法。第一種方法估計出的中國相對風(fēng)險厭惡系數(shù)遠高于合理的理論區(qū)間[0,10],第二種方法檢驗結(jié)果發(fā)現(xiàn)臨界相對風(fēng)險厭惡系數(shù)在任何時間貼現(xiàn)因子之下也都高于理論區(qū)間。這兩種結(jié)果都說明我國確實存在著“股權(quán)溢價之謎”,而后在對兩種方法的比較分析中發(fā)現(xiàn)兩者具有經(jīng)濟內(nèi)涵的一致性,這也使檢驗結(jié)果更具說服力。在檢驗結(jié)果的基礎(chǔ)上試圖使用國外經(jīng)典的宏觀長期風(fēng)險模型對中國“股權(quán)溢價之謎”進行解釋,通過對消費參數(shù)、股利參數(shù)和偏好參數(shù)的校準模擬,發(fā)現(xiàn)基于該模型校準出的相對風(fēng)險厭惡系數(shù)在一個可以接受的范圍之內(nèi),可見宏觀長期風(fēng)險模型對于解釋中國的“股權(quán)溢價之謎”現(xiàn)象同樣具有較滿意的結(jié)果。
[Abstract]:This paper reexamines the existence of the "riddle of equity premium" in China. The essence of "the riddle of equity premium" is that the stock yield is much higher than the risk-free interest rate. Such a premium must be explained by setting a high relative risk aversion factor. At present, there are different conclusions on whether there is a "equity premium puzzle" in China. This paper uses two different methods to test this problem. A relative risk aversion coefficient estimate derived from the C-CAPM-based model of traditional consumer capital asset pricing; Another method based on Hansen-Jagannathan is minimum variance bound test. The first method estimates the relative risk aversion coefficient of China far higher than the reasonable theoretical interval. [0,10]. The results of the second method show that the critical relative risk aversion coefficient is higher than the theoretical range under the discounted factor at any time. Both of these results show that there is a "equity premium puzzle" in China. Then, in the comparative analysis of the two methods, it is found that the two methods have the consistency of economic connotation. This also makes the test results more persuasive. On the basis of the test results, this paper attempts to use the foreign classic macro-long-term risk model to explain the "mystery of equity premium" in China, and through the consumption parameters. The calibration simulation of dividend and preference parameters shows that the relative risk aversion coefficient based on this model is within an acceptable range. It can be seen that the macro-long-term risk model also has satisfactory results for explaining the "equity premium mystery" in China.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

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