社会变迁、风险规避与股权溢价之谜——来自晚清、民国与当代中国股票市场的经验证据
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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.
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
[1]成九雁和朱武祥,2006,《中国近代股市监管的兴起与演变:1873—1949年》,《经济研究》第12期,第114~123页。
[2]杜恂诚和李晋,2011,《中国经济史“GDP”研究之误区》,《学术月刊》第43卷,10月号,第74~81页。
[3]洪葭管,2012,《金融史的魅力》,上海人民出版社。
[4]李治国和唐国兴,2002,《消费、资产定价与股票溢价之谜》,《经济科学》第6期,第60~65页。
[5]廖理和汪毅慧,2003,《中国股票市场风险溢价研究》,《金融研究》第4期,第23~31页。
[6]林鲁东,2007:《中国的股权溢价之谜:基于Hansen-Jagannathan方差界的实证研究》,《南方经济》第12期,第12-23页。
[7]罗斯基,2009,《战前中国经济的增长》,浙江大学出版社。
[8]刘仁和和陈柳钦,2005,《中国股权溢价之谜的检验——Hansen-Jagannathan方法的应用》,《财经理论与实践》第9期,第79~83页。
[9]刘巍和陈昭,2012:《近代中国50年GDP的估算与经济增长研究》,经济科学出版社。
[10]刘志英,2004,《近代上海华商证券市场》,学林出版社。
[11]麦迪森,2011,《中国经济的长期表现》,上海人民出版社。
[12]麦迪森,2003,《世界千年经济史》,北京大学出版社。
[13]王玉茹,1997,《近代中国的价格结构研究》,陕西人民出版社。
[14]吴毅堂,1947,《中国股票年鉴》,上海中国股票年鉴社。
[15]肖俊喜和王庆石,2004,《交易成本、基于消费的资产定价与股权溢价之谜》,《管理世界》第12期,第1~11页。
[16]燕红忠,2012,《中国的货币金融体系(1600~1949)——基于经济运行与经济近代化的研究》,中国人民大学出版社。
[17]朱世武和郑淳,2003,《中国资本市场股权风险溢价研究》,《世界经济》第11期,第62~70页。
[18]朱旭强,2012,《股权溢价之谜”研究——对资产定价、风险偏好和效用函数的分析》,复旦大学出版社。
[19]朱荫贵,1998:《近代上海证券市场上股票买卖的三次高潮》,《中国经济史研究》第3期,第58~70页。
[20]Abel,A.B.,1990,“Asset Prices under Habit Formation and Catching up with the Joneses”,A.E.R.Papers and Proceedings,80:38~42.
[21]Bansal,Ravi and Amir Yaron,2004,“Risks for the Long Run:A Potential Resolution of Asset Pricing Puzzles”,Journal of Finance,54(4):1481~1509.
[22]Barberis,N.,M.Huang and T.Santos,2001,“Prospect Theory and Asset Prices”,Quarterly Journal of Economics,116:1~53.
[23]Brav,A.,G.M.Constantinides and C.C.Geczy,2002,“Asset Pricing with Heterogeneous Consumers and Limited Participation:Empirical Evidence”,Journal of Political Economy,110:793~824.
[24]Cameron,L.and M.Shah,2010.“Do Natural Disasters Shape Risk Attitudes?”,Working Paper,available at http://paa2011.princeton.edu/abstracts/112001.
[25]Cassar,A.,A.Healy,and C.von Kessler,2011,.“Trust,Risk,and Time Preferences After a Natural Disaster:Experimental Evidence from Thailand,”University of San Francisco Working Paper.
[26]Cochrane,J.H.,2005,“Asset Pricing”,Princeton Press.
[27]Constantinides,G.M.,1990,“Habit formation:A Resolution of the Equity Premium Puzzle”,Journal of Political Economy 98:519~543.
[28]Constantinides,G.M.,and D.Duffie,1996,“Asset Pricing with Heterogeneous Consumers”,Journal of Political Economy,104:219~240
[29]Eeckhoudt,L.,C.Gollier,and H.Schlesinger,1996,“Changes in Background Risk and Risk Taking Behavior,”Econometrica,64:683~689.
[30]Epstein,L.G.,and S.E.Zin,1989,“Substitution,Risk Aversion and the Temporal Behavior of Consumption and Asset Returns:A theoretical Framework”,Econometrica,57:937~969.
[31]Fan,W.Z,2003,“Construction Methods for the Shanghai Stock Exchange Indexes:1870-1940”,available at http://som.yale.edu/sites/default/files/files/SSE-CC.pdf.
[32]Goetzmann,William N.,Roger G.Ibbotson,Liang Peng.2001,“A new historical database for the NYSE 1815 to 1925:Performance and predictablility”,Journal of Financial Markets 4:1~32.
[33]Gollier,Christian and John W.Pratt,1996,“Risk Vulnerability and the Tempering Effect of Background Risk,”Econometrica,64(5):1109~1123.
[34]Kim,Young-I1 and Jungmin Lee.2012,“Long Run Impact of Traumatic Experience on Attitudes toward Risk:Study of Korean War and Its Impact on Risk Aversion”,working paper,available at http://www.iza.org/conference_files/riskonomics2012/kim_a7700.pdf.
[35]Mehra,R.,and E.C.Prescott,1985,“The equity Premium:a Puzzle”,Journal of Monetary Economy,15:145~161.
[36]Mehra,R,and E.C.Prescott,2008,“The Equity Premium:ABCs”,R.Mehra(Ed.),Handbook of the Equity Risk Premium,Elsevier,Amsterdam.
[37]Sacco,K.,V.Galletto,and E.Blanzieri,2003,.“How has the 9/11 terrorist attack influenced decision making?”Applied Cognitive Psychology,17:1113~1127.
[38]Schwert,G.William.1990,“Indexes of U.S.Stock Prices from 1802 to 1987,”.The Journal of Business,63(3):399~426.
[39]Siegel,J.,1992,“The Equity Premium:Stock and Bond Returns Since 1802”,Financial Analysts’Journal,4:28~46.
[40]Telmer,C.I.,1993,“Asset-pricing Puzzles and Incomplete Markets”,Journal of Finance,49:1803~1832.
[41]Weil,P.,1992,“Equilibrium Asset Prices with Undiversifiable Labor Income Risk”,Journal of Economic Dynamics and Control,16:769~790.
[42]Yeh,K.C..1977,“China’s National Income,1931-1936”.Conference on Modern Chinese Economic History,Taipei.
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。
[2]杜恂诚和李晋,2011,《中国经济史“GDP”研究之误区》,《学术月刊》第43卷,10月号,第74~81页。
[3]洪葭管,2012,《金融史的魅力》,上海人民出版社。
[4]李治国和唐国兴,2002,《消费、资产定价与股票溢价之谜》,《经济科学》第6期,第60~65页。
[5]廖理和汪毅慧,2003,《中国股票市场风险溢价研究》,《金融研究》第4期,第23~31页。
[6]林鲁东,2007:《中国的股权溢价之谜:基于Hansen-Jagannathan方差界的实证研究》,《南方经济》第12期,第12-23页。
[7]罗斯基,2009,《战前中国经济的增长》,浙江大学出版社。
[8]刘仁和和陈柳钦,2005,《中国股权溢价之谜的检验——Hansen-Jagannathan方法的应用》,《财经理论与实践》第9期,第79~83页。
[9]刘巍和陈昭,2012:《近代中国50年GDP的估算与经济增长研究》,经济科学出版社。
[10]刘志英,2004,《近代上海华商证券市场》,学林出版社。
[11]麦迪森,2011,《中国经济的长期表现》,上海人民出版社。
[12]麦迪森,2003,《世界千年经济史》,北京大学出版社。
[13]王玉茹,1997,《近代中国的价格结构研究》,陕西人民出版社。
[14]吴毅堂,1947,《中国股票年鉴》,上海中国股票年鉴社。
[15]肖俊喜和王庆石,2004,《交易成本、基于消费的资产定价与股权溢价之谜》,《管理世界》第12期,第1~11页。
[16]燕红忠,2012,《中国的货币金融体系(1600~1949)——基于经济运行与经济近代化的研究》,中国人民大学出版社。
[17]朱世武和郑淳,2003,《中国资本市场股权风险溢价研究》,《世界经济》第11期,第62~70页。
[18]朱旭强,2012,《股权溢价之谜”研究——对资产定价、风险偏好和效用函数的分析》,复旦大学出版社。
[19]朱荫贵,1998:《近代上海证券市场上股票买卖的三次高潮》,《中国经济史研究》第3期,第58~70页。
[20]Abel,A.B.,1990,“Asset Prices under Habit Formation and Catching up with the Joneses”,A.E.R.Papers and Proceedings,80:38~42.
[21]Bansal,Ravi and Amir Yaron,2004,“Risks for the Long Run:A Potential Resolution of Asset Pricing Puzzles”,Journal of Finance,54(4):1481~1509.
[22]Barberis,N.,M.Huang and T.Santos,2001,“Prospect Theory and Asset Prices”,Quarterly Journal of Economics,116:1~53.
[23]Brav,A.,G.M.Constantinides and C.C.Geczy,2002,“Asset Pricing with Heterogeneous Consumers and Limited Participation:Empirical Evidence”,Journal of Political Economy,110:793~824.
[24]Cameron,L.and M.Shah,2010.“Do Natural Disasters Shape Risk Attitudes?”,Working Paper,available at http://paa2011.princeton.edu/abstracts/112001.
[25]Cassar,A.,A.Healy,and C.von Kessler,2011,.“Trust,Risk,and Time Preferences After a Natural Disaster:Experimental Evidence from Thailand,”University of San Francisco Working Paper.
[26]Cochrane,J.H.,2005,“Asset Pricing”,Princeton Press.
[27]Constantinides,G.M.,1990,“Habit formation:A Resolution of the Equity Premium Puzzle”,Journal of Political Economy 98:519~543.
[28]Constantinides,G.M.,and D.Duffie,1996,“Asset Pricing with Heterogeneous Consumers”,Journal of Political Economy,104:219~240
[29]Eeckhoudt,L.,C.Gollier,and H.Schlesinger,1996,“Changes in Background Risk and Risk Taking Behavior,”Econometrica,64:683~689.
[30]Epstein,L.G.,and S.E.Zin,1989,“Substitution,Risk Aversion and the Temporal Behavior of Consumption and Asset Returns:A theoretical Framework”,Econometrica,57:937~969.
[31]Fan,W.Z,2003,“Construction Methods for the Shanghai Stock Exchange Indexes:1870-1940”,available at http://som.yale.edu/sites/default/files/files/SSE-CC.pdf.
[32]Goetzmann,William N.,Roger G.Ibbotson,Liang Peng.2001,“A new historical database for the NYSE 1815 to 1925:Performance and predictablility”,Journal of Financial Markets 4:1~32.
[33]Gollier,Christian and John W.Pratt,1996,“Risk Vulnerability and the Tempering Effect of Background Risk,”Econometrica,64(5):1109~1123.
[34]Kim,Young-I1 and Jungmin Lee.2012,“Long Run Impact of Traumatic Experience on Attitudes toward Risk:Study of Korean War and Its Impact on Risk Aversion”,working paper,available at http://www.iza.org/conference_files/riskonomics2012/kim_a7700.pdf.
[35]Mehra,R.,and E.C.Prescott,1985,“The equity Premium:a Puzzle”,Journal of Monetary Economy,15:145~161.
[36]Mehra,R,and E.C.Prescott,2008,“The Equity Premium:ABCs”,R.Mehra(Ed.),Handbook of the Equity Risk Premium,Elsevier,Amsterdam.
[37]Sacco,K.,V.Galletto,and E.Blanzieri,2003,.“How has the 9/11 terrorist attack influenced decision making?”Applied Cognitive Psychology,17:1113~1127.
[38]Schwert,G.William.1990,“Indexes of U.S.Stock Prices from 1802 to 1987,”.The Journal of Business,63(3):399~426.
[39]Siegel,J.,1992,“The Equity Premium:Stock and Bond Returns Since 1802”,Financial Analysts’Journal,4:28~46.
[40]Telmer,C.I.,1993,“Asset-pricing Puzzles and Incomplete Markets”,Journal of Finance,49:1803~1832.
[41]Weil,P.,1992,“Equilibrium Asset Prices with Undiversifiable Labor Income Risk”,Journal of Economic Dynamics and Control,16:769~790.
[42]Yeh,K.C..1977,“China’s National Income,1931-1936”.Conference on Modern Chinese Economic History,Taipei.
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。