三种度量基准下的无风险利率实证比较  

Empirical Comparison on Risk-free Interest Rate Based on Three Benchmarks

作　　者：秦学志[1] 胡友群[1] 张康[1] 

机构地区：[1]大连理工大学工商管理学院,辽宁大连116024

出　　处：《技术经济》2011年第10期95-98,共4页Journal of Technology Economics

基　　金：国家自然科学基金项目"协调市场扭曲与稳健发展双重效应的存款保险定价研究"(71171032);国家自然科学基金项目"中国老龄化背景下的长寿债券定价研究"(71101015);中央高校基本科研业务费科研专题项目"金融风险管理理论与模型研究"(DUT10RW107);教育部博士点基金资助项目"基于损益关联结构的金融危机传导甄别机理与应对策略研究"(20090041110009)

摘　　要：以上证综指、深圳成指和沪深300指数为研究样本,构建了多因子模型,并利用2003年1月—2009年2月三类指数收益率及各因子的月度数据,用最小二乘法实证反演了上海证券交易市场、深圳证券交易市场以及沪深综合证券交易市场隐含的无风险利率和风险价值。研究发现:股市隐含的风险补偿为负,与传统的风险溢价理论相悖;以短期银行存款利率、7天Shibor利率及7天国债回购利率为度量基准,股市隐含的无风险利率与其存在较大差异,因此在金融衍生品等相关研究中不宜不加选择地将它们作为无风险利率的代理指标。Taking Shanghai Composite Index, Shenzhen Component Index and Shenzhen-Shanghai 300 Index as the samples, this paper constructs a multi-factor model. And based on the monthly data about index return and factors, it studies empirically implied risk-free interest rates and risk values of Shanghai stock market,Shenzhen stock market and the national comprehensive stock market by using the least square method. The results show as follows;the implied risk compensation in stock market is negative, which is contrary to the traditional theory of risk premium;the implied risk-free interest rate is quite different from short-term bank deposit rate, 7-day Shibor rate or 7-day bond repurchase rate. Therefore,these indicators should not be unselectively used as the proxy indicator of risk-free interest rate when studying financial derivative.

关 键 词：无风险利率 风险价值 股市风险 风险补偿 风险溢价 价格发现 

分 类 号：F224[经济管理—国民经济] F832.51