中国的股权溢价之谜：一种行为金融学的分析视角

发布时间：2018-05-24 23:17

本文选题：股权溢价 + 短视损失厌恶　；参考：《辽宁大学》2013年硕士论文

【摘要】：在对以往股票市场的收益率和无风险利率的研究中发现股票市场的平均收益要大大超过无风险利率，我们把这样一个现象称为股权溢价。当这个超额收益率超过某一个临界值时，用传统的金融理论和模型就无法解释，即产生了“谜”，我们称之为“股权溢价之谜”。国外的研究和实验表明，包括英国，美国，法国在内的一些发达国家的股票市场均存在着“股权溢价之谜”。相应的，中国市场是否存在股权溢价之谜现象自然应该受到关注。在以往的资产定价模型中，都是把投资者假设为同质的，这样得到的结果和实际情况往往是有出入的。本文不再使用经典理论中的典型投资者假定，而是假设市场中的投资者是异质的，这与实际情况更加吻合，然后讨论损失厌恶程度有差别的投资者在不同的参考点下做出的投资决策对股权溢价产生的影响，从短视损失厌恶的角度来解释股权溢价之谜。本文首先阐述了两个前景理论中关于决策的概念：损失厌恶和心理账户，随后将会分析和讨论前景理论下的价值函数的具体形式。然后对中国股票市场的数据进行整理和统计，使用实际无风险利率，实际的股指收益率，并以股权分置改革为分界线对样本数据进行统计性分析。接着在不同的样本期内对价值函数中的关键参数进行估计并得出不同时段的股权溢价状况。实证结果表明，中国的股权溢价之谜表现明显，各样本期的变动较大，这表明中国市场远不够成熟，市场的不稳定主要是因为投资者的短视损失厌恶和缺乏价值中枢造成的。本文虽然对价值函数做了估计，在一定程度上能够对股权溢价现象做出解释，与实际情况吻合较好，但是在对模型的处理上还存在一定纰漏，另外模型本身也不能以偏概全彻底解释股权溢价之谜，，所以深入的探讨数理模型将是今后的研究方向。
[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.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】