基于BJS方法的股票市场风险溢价影响因素分析  

Influencing factors of stock market risk premium based on BJS method

作　　者：张云辉[1] 朱怀任 ZHANG Yun-hui ZHU Huai-ren(School of Economics, Harbin University of Science and Technology, Harbin 150040, China)

机构地区：[1]哈尔滨理工大学经济学院,黑龙江哈尔滨150040

出　　处：《科技与管理》2017年第2期63-67,共5页Science-Technology and Management

基　　金：教育部人文社会科学研究青年基金项目(13YJCZH262)

摘　　要：通过综合资产定价理论和文献的实证结论,对沪深A股市场从2009年1月到2015年12月风险溢价的横截面因素进行了研究。采用国际上通用的BJS方法进行回归,建立基于工业增长月度变化率、CPI、M2增长率、7日国债回购利率、长短期利差,市场风险溢价、规模的对数、账面市值比、盈利股价比、现金流股价比的十因素模型。研究发现:宏观因素中市场风险溢价、长短期利差、货币供给量表现出显著性;横截面因素中规模、盈利股价比对风险溢价有明显的解释作用;同时与三因素模型相比,十因素模型对股票的风险溢价有更好的解释效力。This paper studies the cross-sectional factors of the risk premium of Shanghai and Shenzhen A-share mar- ket from Jan. 2009 to Dec. 2015 through comprehensive asset pricing theory and empirical conclusions. Based on the international BJS method, this paper establishes regression model based on monthly growth rate of industrial growth, CPI, M2 growth rate, 7-day repo rate, long-term short-term spread, market risk premium, logarithm of scale, book-profit ratio, the cash flow price ratio of the ten factor model. The results show that the market risk pre- mium, long-short-term spread and money supply have significant effects on the macro factors. The cross-sectional factor of scale, the cash flow price ratio, has a significant explanatory effect on the risk premium, while the three- factor model the ten-factor model has better explanatory effect on the risk premium of the stock.

关 键 词：风险溢价 风险因子 多因素模型 无套利均衡 

分 类 号：F830.91[经济管理—金融学]