摘要
本文在收集和整理近百年中国股市、居民消费、人均GDP、物价指数和利率的数据的基础上,利用近代和现代中国的数据检验中国是否存在"股权溢价之谜"。研究发现:1888-1938年的近代股市投资者的风险规避系数在较为合理的范围之内。而中国当代股市和1939-1947年近代股市投资者的风险规避系数均大于一般合理的水平,即都存在"股权溢价之谜",而且1939-1947年股市投资者的风险规避程度要大大高于当代股市投资者。本文分析认为,以全国战争和恶性通货膨胀为主要表现的社会动荡加大了近代股票投资的"背景风险",从而使得这一时段投资者的风险规避程度和股权溢价都大幅增加。
Based on the data of Chinese stock market,household consumption,GDP per capita,price index and interest rate for about 100 years,we test if"The Equity Premium Puzzle"exists in modern and contemporary China. It is found that the risk aversion coefficients for modern investors from 1888- 1938 are within the reasonable levels. But the risk aversion coefficients for modern investors from 1939- 1947 and contemporary investors are above the reasonable levels, indicating the "The Equity Premium Puzzle " exists in these periods. Moreover,the risk aversion coefficient for modern investors from 1939- 1947 is much higher than that for contemporary investors. It reveals that the war and hyperinflation in 1939- 1947 stimulate the"Background Risk"for stock investment,leading to significantly higher risk aversion coefficients and the equity premium.
引文
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1根据朱旭强(2012),随机折现因子和股市回报的相关系数可以用消费净增长率与股票净收益率的相关系数来表示。