奢侈性消费与股票风险溢价——来自中国的证据

发布时间：2018-09-01 13:38

【摘要】：股票风险溢价,即股票市场整体收益率与无风险利率之差。对发达资本市场的研究表明,它是标准的基于消费的资产定价理论所无法解释的。文章用中国数据对这一问题进行研究,指出:第一,中国市场存在高的股票风险溢价,按照传统的检验方法,中国市场存在股票风险溢价之谜。第二,运用奢侈性消费品方法,成功解释了中国股票市场风险溢价。第三,中国股票市场风险溢价偏高,是对中国股票市场高风险的反映,建议政府采取相应措施降低股票市场风险。
[Abstract]:Equity risk premium, that is, the difference between the stock market overall yield and the risk-free interest rate. The study of developed capital markets shows that it is inexplicable by standard consumption-based asset pricing theory. This paper uses Chinese data to study this problem and points out: first, there is a high stock risk premium in Chinese market. According to the traditional test method, there is a mystery of stock risk premium in Chinese market. Secondly, the method of luxury consumer goods is used to explain the risk premium of Chinese stock market successfully. Third, the high risk premium in China's stock market is a reflection of the high risk in China's stock market, suggesting that the government should take appropriate measures to reduce the risk in the stock market.
【作者单位】：北京大学光华管理学院;
【分类号】：F832.51

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