中国无风险利率之谜与股权溢价  

The Risk-free Rate Puzzle and Equity Premium in China

作　　者：刘仁和[1] 陈柳钦[2] 

机构地区：[1]华南农业大学经济管理学院,广州510642 [2]天津社会科学院,天津300091

出　　处：《上海立信会计学院学报》2005年第1期45-48,共4页Journal of Shanghai Lixin University of Commerce

摘　　要：按照传统的消费资本资产定价理论,中国股市的高股权溢价只能由投资者的高相对风险厌恶系数来解释。但是这又会产生所谓的无风险利率之谜,因为投资者相对风险厌恶系数高时,其时间偏好率为负,明显不合情理。Based on consumption-based asset pricing theory,the equity premium in China’s stock market should be explained by a high relative risk aversion coefficient of investor. However,it might generate a so-called risk-free rate puzzle because it isn’t reasonable that investor should have a negative rate of time preference when he has a high relative risk aversion coefficient.

关 键 词：无风险利率 股权溢价 消费资本资产定价理论 

分 类 号：F406.72[经济管理—产业经济]