基于中国“股权溢价之谜”的再检验以及运用宏观长期风险模型进行解释

发布时间：2018-01-07 18:00

本文关键词：基于中国“股权溢价之谜”的再检验以及运用宏观长期风险模型进行解释　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：该篇论文对中国是否存在“股权溢价之谜”现象进行了再检验,“股权溢价之谜”的本质在于股票收益率远高于无风险利率,必须通过设置很高的相对风险厌恶系数才能解释如此高的溢价,而国内目前对中国是否存在着“股权溢价之谜”定论不一。本文采用两种不同的方法对此进行实证检验,一种基于由传统消费资本资产定价(C-CAPM)模型推导而得出的相对风险厌恶系数估计式；另一种基于Hansen-Jagannathan的最小方差界检验法。第一种方法估计出的中国相对风险厌恶系数远高于合理的理论区间[0,10],第二种方法检验结果发现临界相对风险厌恶系数在任何时间贴现因子之下也都高于理论区间。这两种结果都说明我国确实存在着“股权溢价之谜”,而后在对两种方法的比较分析中发现两者具有经济内涵的一致性,这也使检验结果更具说服力。在检验结果的基础上试图使用国外经典的宏观长期风险模型对中国“股权溢价之谜”进行解释,通过对消费参数、股利参数和偏好参数的校准模拟,发现基于该模型校准出的相对风险厌恶系数在一个可以接受的范围之内,可见宏观长期风险模型对于解释中国的“股权溢价之谜”现象同样具有较满意的结果。
[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.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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