选择偏差与股权溢价之谜——中国股票市场的风险厌恶程度测算  

Selection Biases and the Equity Premium Puzzle:Estimating Calculation of Risk Aversion in China's Stock Market

作　　者：刘俊玮[1] 王一鸣[1] 宁叶[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《证券市场导报》2017年第7期25-33,共9页Securities Market Herald

摘　　要：针对以往在我国股权溢价之谜研究中结论迥异的现象,本文创新性地从时间、消费和偏好3个选择维度,探讨了我国股权溢价之谜问题,并且解释了选择偏差对结论的影响,其中还包括构造了一种不包含耐用品的消费指代变量。研究发现,由于我国市场发展过程中的独特性,选择偏差不仅会导致我国投资者风险厌恶程度的高估,也会影响溢价之谜存在性的判断。整体上看,我国虽然存在基础意义下的股权溢价之谜,但稳定性有限,市场整体的风险厌恶程度比以往想象的要更低。与西方成熟市场相比,投资者追逐高风险高收益的偏好较为明显。Past researches have reached very different conclusions on the equity premium puzzle in China＇s stock market. To solve the puzzle, we construct a new indicator variable for consumption that excludes the durable goods and analyzes the influences of selection biases on the equity premium puzzle in china based on the three aspects of time, consumption and preference. Not only will the impacts of time and selection biases overestimate the degree of investor risk aversion in China＇s stock market, but they also make the final conclusion biased. In general, although there exists the equity premium puzzle in China＇s stock market in basic sense and the risk aversion is lower, the stability of the conclusion is also limited. In contrast to mature western markets, investors prefer chasing high proceeds with high risks in China.

关 键 词：选择偏差 股权溢价之谜 风险厌恶 H-J方差界 

分 类 号：F830.9[经济管理—金融学]