| 相对风险规避系数与中国股权溢价之谜 |
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| 引用本文： | 梁莹,袁毅贤.相对风险规避系数与中国股权溢价之谜[J].特区经济,2007(2):109-111. |
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| 作者姓名： | 梁莹 袁毅贤 |
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| 作者单位： | 1. 西南财经大学,金融学院,四川,成都,610074
2. 浙江财经学院,信息学院,浙江,杭州,310028 |
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| 摘 要： | 本文通过基于消费的资本资产定价模型利用消费与个人财富弹性、股票收益与消费增长协方差以及股权溢价来计算中国的相对风险规避系数,认为中国证券市场明显存在股权溢价之迷,股票收益与消费增长还呈现出与理论不符的负相关关系,这从侧面证明中国股票市场的财富效用传导机制并不畅通,基于消费的资本资产定价模型在中国缺乏解释力。
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| 关 键 词： | 资产定价 股权溢价之谜 实证分析 |
Relative risk elusion coefficient and the secret of China shares price overflow |
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| Liang Ying,Yuan Yi Xian.Relative risk elusion coefficient and the secret of China shares price overflow[J].Special Zone Economy,2007(2):109-111. |
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| Authors: | Liang Ying Yuan Yi Xian |
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| Abstract: | The paper calculates the coefficient of China's investor relative risk aversion considering elasticity of consumption to individual wealth,equity premium and covariance of equity premium and consumption.The results support the conclusion of China's equity premium puzzle.Contrary to the CCAPM model,the covariance of equity premium and consumption is negative.This result implicates that so far China's wealth conduct mechanism is far from forming. |
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| Keywords: | Equity Premium Puzzle Coefficient s of Relative Risk Aversion |
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