国际股票市场价值溢价——基于世界长期风险模型的解释  

Value Premium in International Stock Markets: An Interpretation Based on the World Long Term Risk Model

作　　者：陈国进[1,2] 黄伟斌[2] 

机构地区：[1]厦门大学王亚南经济研究院,福建厦门361005 [2]厦门大学经济学院,福建厦门361005

出　　处：《当代财经》2014年第1期56-68,共13页Contemporary Finance and Economics

摘　　要：价值型公司组合总体收益高于成长型公司组合,即价值溢价之谜在国际股票市场上普遍存在。在经济一体化假设下,采用传统消费的资本资产定价模型、习惯形成、协整的长期风险和平稳的长期风险等CCAPM理论来研究主要发达国家和地区的价值溢价现象,实证结果发现价值溢价产生的原因在于价值型公司对于协整风险和时变经济波动风险的暴露更大;协整的长期风险理论综合考虑了股票的短期和长期风险暴露,较其他模型优胜。这对于同样存在价值溢价,又处在越来越开放的经济条件下的中国股票市场具有一定的启示作用。Value stock portfolio can get higher return than growth stock, namely the value premi- um puzzle is a widespread phenomenon in the international stock markets. Based on the assumption of economic integration, this paper adopts the world CCAPM theories, such as the classical CCAPM, habit formation, cointegrated long-term risks and stationary long-term risks, to study the value premi- um in the major developed countries. The empirical results show that the cause for the appearance of t value premium lies in the fact that the value style companies are more exposed to the cointegrated long-term risks and time-varying economic fluctuation risks. The cointegrated long-term risk theory can comprehensively take into consideration the short and long term risk exposure of stocks, thus it is better than other models. This can give some enlightenment to China＇s stock markets, which have the same value premium and are under the increasingly open economic conditions.

关 键 词：CCAPM 长期风险理论 国际股票市场 价值溢价 

分 类 号：F830.91[经济管理—金融学]