高股权溢价、短视性损失厌恶与失望厌恶  

High Equity Premium,Myopic Loss Aversion and Disappointment Aversion

作　　者：胡昌生[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《预测》2009年第5期15-19,26,共6页Forecasting

基　　金：教育部人文社会科学研究规划资助项目(05JA790063);武汉大学985资助项目

摘　　要：高股权溢价,作为金融市场上的诸多异象之一,自被提出之时起就引起了众多学者的广泛关注,他们试图从理性理论的角度对股权溢价之谜进行解释,但结果却无法令人满意。行为金融则从行为人的短视性损失厌恶和失望厌恶的心理规律出发,对投资者的目标效用函数进行了修正,为我们理解高股权溢价现象的成因提供了新的分析思路。本文则进一步引入行为金融理论对高股权溢价评价周期的研究,并以此为基础对我国高股权溢价与评价周期的关系进行了实证研究。通过与美国相关结果的对比,本文证实了我国股票投资者具有高损失厌恶和失望厌恶的心理特征,这一结果为投资者教育提供了重要的理论依据和经验支持。Being one of the anomalies in the financial market, the equity premium has attracted numerous attentions since its being raised. Though researchers tried to explain this puzzle from different perspectives, hardly anyone is satisfying. Starting from myopic loss aversion and disappointment aversion, behavioral researchers revised investors＇ utility func- tion, thus successfully explain the equity premium puzzle. This paper steps further to introduce the newest research focu- sing on the role time horizon plays in those behavioral explanations. Based on the empirical analysis about time horizon in China＇ s stock market, this paper further analyzes comparatively to those results in the U. S stock market. Finall）, we conclude that Chinese investors display greater loss aversion and disappointment aversion than U.S. investors, thus provide an explanation to the high-level equity premium in our country.

关 键 词：股权溢价 损失厌恶 失望厌恶 评价周期 

分 类 号：F830.91[经济管理—金融学]