中国股票市场风险溢价研究
发布时间：2018-08-25 13:38
【摘要】：本文通过综合资产定价理论和实证文献研究结论,对1997年到2009年中国股市A股股票的风险溢价的截面差异作了详尽的实证研究。我们构造25个投资组合作为检验资产,进行Fama-MacBeth两步回归法,建立了基于市场风险溢价,账面市值比,盈利股价比,现金流股价比,投资资本比,工业增加值变化率以及回购利率和期限利差的八因素模型。我们的主要发现有以下三点:一是相对于Fama-French三因素模型,我们模型的实证解释力有显著提高;二是与过去的文献不同,我们发现回购利率和期限利差等债市指标对股市风险溢价的截面数据有显著解释能力;三是与基于投资的资产定价理论一致,我们发现投资比率和现金流股价比能显著反映我国股市的风险溢价。
[Abstract]:Based on the comprehensive asset pricing theory and empirical literature, this paper makes a detailed empirical study on the cross-section differences of risk premium between 1997 and 2009. We construct 25 portfolios as a test asset, carry out Fama-MacBeth two-step regression method, and establish a ratio based on market risk premium, book to market value, profit to stock price, cash flow to stock price, investment to capital ratio. The change rate of industrial added value and the eight factor model of repo interest rate and term spread. Our main findings are as follows: first, compared with the Fama-French three-factor model, the empirical explanatory power of our model is significantly improved; second, it is different from the past literature. We find that bond market indicators, such as repo rate and term spread, can explain the cross-section data of risk premium of stock market significantly. Third, it is consistent with investment-based asset pricing theory. We find that the investment ratio and the cash flow price ratio can significantly reflect the risk premium of China's stock market.
【作者单位】： 清华大学经济管理学院;
【分类号】：F224;F832.51
[Abstract]:Based on the comprehensive asset pricing theory and empirical literature, this paper makes a detailed empirical study on the cross-section differences of risk premium between 1997 and 2009. We construct 25 portfolios as a test asset, carry out Fama-MacBeth two-step regression method, and establish a ratio based on market risk premium, book to market value, profit to stock price, cash flow to stock price, investment to capital ratio. The change rate of industrial added value and the eight factor model of repo interest rate and term spread. Our main findings are as follows: first, compared with the Fama-French three-factor model, the empirical explanatory power of our model is significantly improved; second, it is different from the past literature. We find that bond market indicators, such as repo rate and term spread, can explain the cross-section data of risk premium of stock market significantly. Third, it is consistent with investment-based asset pricing theory. We find that the investment ratio and the cash flow price ratio can significantly reflect the risk premium of China's stock market.
【作者单位】： 清华大学经济管理学院;
【分类号】：F224;F832.51
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