股权溢价的宏观经济学解释——源自中国A股市场的证据  

A Macro-Economic Explanation of the Equity Premium:Evidence from China's A-share Market

作　　者：李巍[1] 姚秋萍[1] 

机构地区：[1]华东师范大学商学院,上海200062

出　　处：《华东师范大学学报（哲学社会科学版）》2013年第6期132-139,153,共8页Journal of East China Normal University（Humanities and Social Sciences）

基　　金：国家自然科学基金项目(70873041);教育部人文社科规划后期项目(11JHQ032);上海市教委科研创新项目(11ZS42)的阶段性成果

摘　　要：中国A股市场是否存在股权溢价之谜一直存在争议。在考虑货币流动性、总体税收以及一般物价水平等宏观经济变量对过剩消费比率继而消费行为习惯影响的基础上建构分析框架,其实证估计的投资者相对风险厌恶系数落于合理区间(0,10)之内,修正了因市场收益率与个体消费增长率之间存在负相关而导出的与事实相悖的相对风险厌恶系数,成功解释了A股市场的股权溢价特征,从一特定视角论证了中国证券市场并不存在所谓的股权溢价之谜。上述结论可使投资者对十多年来A股市场的表现和特征有一清晰认识,从而正确把握市场走势。Whether China's A-share market exists'equity premium puzzle'has always been argued with controversy. Based on considering the impact of macroeconomic factors,such as currency liquidity,overall tax revenue and the price level on the surplus consumption ratio,and then consumer behavior habit,we con- struct an analytical framework. It shows that the estimated relative risk aversion coefficient of investor lies in a reasonable range( 0,10). This result revises the implausible value of relative risk aversion coefficient accord- ing to the negative correlation between the market rate of return and individual consumption growth. It also successively explains the equity premium characteristics of the domestic A-share market and hence demon- strates that China stock market does not exist the so-called 'equity premium puzzle'from a particular per- spective.

关 键 词：股权溢价 相对风险厌恶系数 宏观经济变量 中国A股市场 

分 类 号：F832.51[经济管理—金融学] F224