社会变迁、风险规避与股权溢价之谜——来自晚清、民国与当代中国股票市场的经验证据  

Social Change,Risk Aversion and the Equity Premium Puzzle:Evidence from Modern and Contemporary China

作　　者：周翔翼[1] 杨光明[1] 孔东民[2] 

机构地区：[1]西安交通大学金禾经济研究中心,陕西西安710049 [2]中南财经政法大学金融学院,湖北武汉430073

出　　处：《金融研究》2015年第10期163-180,共18页Journal of Financial Research

基　　金：西安交通大学"985工程"三期项目;国家自然科学基金面上项目(71173078;71372130)的资助

摘　　要：本文在收集和整理近百年中国股市、居民消费、人均GDP、物价指数和利率的数据的基础上,利用近代和现代中国的数据检验中国是否存在"股权溢价之谜"。研究发现:1888-1938年的近代股市投资者的风险规避系数在较为合理的范围之内。而中国当代股市和1939-1947年近代股市投资者的风险规避系数均大于一般合理的水平,即都存在"股权溢价之谜",而且1939-1947年股市投资者的风险规避程度要大大高于当代股市投资者。本文分析认为,以全国战争和恶性通货膨胀为主要表现的社会动荡加大了近代股票投资的"背景风险",从而使得这一时段投资者的风险规避程度和股权溢价都大幅增加。Based on the data of Chinese stock market, household consumption, GDP per capita, price index and interest rate for about 100 years, we test if ＂The Equity Premium Puzzle＂ exists in modern and contempora- ry China. It is found that the risk aversion coefficients for modern investors from 1888 - 1938 are within the rea- sonable levels. But the risk aversion coefficients for modern investors from 1939 - 1947 and contemporary inves- tors are above the reasonable levels, indicating the ＂ The Equity Premium Puzzle ＂ exists in these periods. Moreover, the risk aversion coefficient for modern investors from 1939 - 1947 is much higher than that for contemporary investors. It reveals that the war and hyperinflation in 1939 - 1947 stimulate the ＂Background Risk＂ for stock investment, leading to significantly higher risk aversion coefficients and the equity premium.

关 键 词：股权溢价 近代股市 风险规避程度 

分 类 号：F832.51[经济管理—金融学]