本文選題：股權(quán)溢價(jià) + 短視損失厭惡��； 參考：《遼寧大學(xué)》2013年碩士論文

【摘要】：在對(duì)以往股票市場的收益率和無風(fēng)險(xiǎn)利率的研究中發(fā)現(xiàn)股票市場的平均收益要大大超過無風(fēng)險(xiǎn)利率，我們把這樣一個(gè)現(xiàn)象稱為股權(quán)溢價(jià)。當(dāng)這個(gè)超額收益率超過某一個(gè)臨界值時(shí)，用傳統(tǒng)的金融理論和模型就無法解釋，即產(chǎn)生了“謎”，我們稱之為“股權(quán)溢價(jià)之謎”。國外的研究和實(shí)驗(yàn)表明，包括英國，美國，法國在內(nèi)的一些發(fā)達(dá)國家的股票市場均存在著“股權(quán)溢價(jià)之謎”。相應(yīng)的，中國市場是否存在股權(quán)溢價(jià)之謎現(xiàn)象自然應(yīng)該受到關(guān)注。在以往的資產(chǎn)定價(jià)模型中，都是把投資者假設(shè)為同質(zhì)的，這樣得到的結(jié)果和實(shí)際情況往往是有出入的。本文不再使用經(jīng)典理論中的典型投資者假定，而是假設(shè)市場中的投資者是異質(zhì)的，這與實(shí)際情況更加吻合，然后討論損失厭惡程度有差別的投資者在不同的參考點(diǎn)下做出的投資決策對(duì)股權(quán)溢價(jià)產(chǎn)生的影響，從短視損失厭惡的角度來解釋股權(quán)溢價(jià)之謎。 本文首先闡述了兩個(gè)前景理論中關(guān)于決策的概念：損失厭惡和心理賬戶，隨后將會(huì)分析和討論前景理論下的價(jià)值函數(shù)的具體形式。然后對(duì)中國股票市場的數(shù)據(jù)進(jìn)行整理和統(tǒng)計(jì)，使用實(shí)際無風(fēng)險(xiǎn)利率，實(shí)際的股指收益率，并以股權(quán)分置改革為分界線對(duì)樣本數(shù)據(jù)進(jìn)行統(tǒng)計(jì)性分析。接著在不同的樣本期內(nèi)對(duì)價(jià)值函數(shù)中的關(guān)鍵參數(shù)進(jìn)行估計(jì)并得出不同時(shí)段的股權(quán)溢價(jià)狀況。實(shí)證結(jié)果表明，中國的股權(quán)溢價(jià)之謎表現(xiàn)明顯，各樣本期的變動(dòng)較大，這表明中國市場遠(yuǎn)不夠成熟，市場的不穩(wěn)定主要是因?yàn)橥顿Y者的短視損失厭惡和缺乏價(jià)值中樞造成的。 本文雖然對(duì)價(jià)值函數(shù)做了估計(jì)，在一定程度上能夠?qū)蓹?quán)溢價(jià)現(xiàn)象做出解釋，與實(shí)際情況吻合較好，但是在對(duì)模型的處理上還存在一定紕漏，另外模型本身也不能以偏概全徹底解釋股權(quán)溢價(jià)之謎，，所以深入的探討數(shù)理模型將是今后的研究方向。
[Abstract]:In the study of the rate of return and risk free interest rate in the stock market, it is found that the average income of the stock market is much more than the risk free interest rate. We call such a phenomenon the equity premium. When the excess rate of return exceeds a certain critical value, the traditional financial theory and model can not be explained, that is, the "mystery" is produced. We call it "the mystery of equity premium". Foreign research and experiments show that there are "equity premium riddles" in some developed countries, including Britain, the United States, France, and whether there is a natural concern about the existence of equity premium in the Chinese market. Instead of using the typical investor hypothesis in the classic theory, this paper assumes that the investors in the market are heterogeneous, which is more consistent with the actual situation, and then discusses the investors with different degree of dislikes and dislikes in different reference points. The impact of investment decisions on equity premium is explained from the perspective of short-sighted loss aversion.
This paper first expounds the concept of decision making in the two prospects Theory: loss aversion and psychological account, and then analyzes and discusses the concrete form of value function under the prospect theory. Then it collates and statistics the data of the Chinese stock market, uses the actual risk free rate, the actual stock index return rate, and changes with the share distribution. According to the statistical analysis of the sample data, the key parameters in the value function are estimated in different sample periods and the equity premium in different periods of time is obtained. The empirical results show that the mystery of China's equity premium is obvious and the change of each sample period is larger, which indicates that the Chinese market is far from mature, The instability of the field is mainly due to investors' shortsightedness loss aversion and lack of value centers.
Although the value function is estimated in this paper, it can explain the phenomenon of equity premium to a certain extent, which is in good agreement with the actual situation, but there are still some mistakes in the processing of the model. In addition, the model itself can not explain the mystery of the equity premium completely, so the in-depth study of the mathematical model will be the research of the future. Look at the direction.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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