异质投资者结构下的股权溢价研究  

The Research of Equity Premium Puzzle under Investors'Heterogeneity

作　　者：唐伟敏[1] 唐雨潇 杨灏野 TANG Wei-min;TANG Yu-xiao;YANG Hao-ye(School of Accounting and Finance,Zhongnan University of Economics and Law,Wuhan 430073,China;Huatai Security (Shanghai) Asset Management Corporation,Shanghai 200122,China;International School of Business and Finance,Sun Yat-sen University,Zhuhai 519082,China)

机构地区：[1]中南财经政法大学会计学院,湖北武汉430073 [2]华泰证券(上海)资产管理有限公司,上海200120 [3]中山大学国际金融学院,广东珠海519082

出　　处：《统计与信息论坛》2020年第8期64-72,共9页Journal of Statistics and Information

基　　金：国家社会科学基金项目“基于房地产泡沫管理的货币政策研究”(17CJY059)。

摘　　要：股权溢价之谜是金融经济学和资产定价理论的重要前沿课题。假定投资者是异质的,市场中存在两类不同的投资者:动量交易者和消息观察者,投资者的异质性由两类投资者对信息的不同处理方式所决定。市场中的信息禀赋为股票的历史价格和它的红利流,信息是对称的和完全的。在上述经济设置下建立了一个均衡资产定价模型,求出了模型的均衡解并进行了模型解的静态分析。股权风险溢价由三部分组成:投资者的风险补偿、投资者对红利的不同处理方式所引致的价差和由价格动量的偏差所引起的溢价。研究发现风险及股票的基本面对股权溢价的贡献也随着投资者结构的改变而改变。然而上述贡献是有限的,模型能给出这两部分的一个上界估计,该上界估计与投资者结构无关。对价格动量偏差的研究发现:产生严重股权溢价的重要原因是市场中存在大量的动量交易者。The"equity premium puzzle"has been a central issue in financial economics and asset pricing theory.Suppose that the investors are heterogeneous,there are two kinds of investors in security market:momentum trader and information watcher and describe the heterogeneity among the investors by their different information-treating pattern.The common knowledge is the stock's history price and its dividend.The information is asymmetry and complete.Construct an asset pricing model,obtain the equilibrium solution of the model and make a static analysis of the solution.It shows that,equity risk premium consists of three parts.First is the risk compensation due to investors'risk aversion;Second is the price difference caused by two kinds of investors'separate ways of dealing with dividend flow;The third part is the premium caused by two kinds of investors'separate ways of dealing with historical price momentum.It shows that different investor's construction and different pattern leads different"equity premium"extent.The contribution to equity premium is bounded in the first two part and the upper-bounded estimation is give.Focus on the third part,It is found that the main reason which leads to heavy equity premium extent is because that there exist large amount momentum traders in the security market.

关 键 词：股权溢价 投资者结构 消息观察者 动量交易者 

分 类 号：C60[社会学]