沪深市场股权风险溢价研究  

Research on Risk Premium in the Shanghai and Shenzhen Equity Markets

作　　者：陈冠州 CHEN Guan-zhou(School of Economics&Management,Wuyi University,Jiangmen 529020,China)

机构地区：[1]五邑大学经济管理学院,广东江门529020

出　　处：《五邑大学学报（自然科学版）》2022年第3期73-78,共6页Journal of Wuyi University(Natural Science Edition)

摘　　要：利用沪深市场平均市盈率的倒数作为我国股票市场整体预期收益率的替代指标,利用一年期国债到期收益率作为安全资产收益率,计算了2011—2021年的平均股权市场风险溢价.分析表明,本文方法得出的股权风险溢价相对稳定,而且样本期间中没有出现理论上难以解释的负值,平均值和国外成熟资本市场的理论值接近.同时,利用GDP、CPI和人民币汇率为解释变量,构建多元线性回归模型对股权风险溢价进行了分析.This paper calculates the average equity market risk premium of China’s stock market from 2011 to 2021,using the reciprocal of the average P/E ratio of Shanghai and Shenzhen stock markets as the alternative index of the overall expected return,and the maturity yield of one-year treasury bonds as the risk-free rate.The analysis shows that the equity risk premium obtained by this method is relatively stable,and there is no negative value that is difficult to explain in theory during the sample period,and the average value is close to the theoretical value of foreign mature capital markets.At the same time,using GDP,CPI and RMB exchange rate,this paper constructs a multiple linear regression model to analyze the equity risk premium.

关 键 词：股权风险溢价 沪深市场 市盈率 多元线性回归模型 

分 类 号：F832.48[经济管理—金融学]