中国股权溢价之谜的检验——Hansen-Jagannathan方法的应用  

The Test of the China's Equity Premium Puzzle: An Application of the Hansen-Jagannathan Method

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：《上海商学院学报》2005年第2期14-18,共5页Business Economic Review

摘　　要：本文估计的中国投资者的相对风险回避系数远远大于10,远大于Mehra和Prescott(1985)所认可的最高水平,证实了中国股市存在股权溢价之谜,并指出了解释中国股权溢价之谜的潜在研究途径。Regarding China' s investors, the coefficients of relative risk aversion measured by this paper are many times greater than 10, which is the maximum level considered plausible by Mehar and Prescott (1985). It suggests that the equity premium puzzle exists in China's stock market. This paper points out the potential analysis routes of solving this equity premium puzzle.

关 键 词：股权溢价之谜 Hansen-Jagannathan下界 相对风险回避系数 

分 类 号：F832.5[经济管理—金融学]