| 中国股权溢价之谜的检验--Hansen-Jagannathan方法的应用 |
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| 引用本文： | 刘仁和,陈柳钦. 中国股权溢价之谜的检验--Hansen-Jagannathan方法的应用[J]. 上海商学院学报, 2005, 6(2): 14-18 |
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| 作者姓名： | 刘仁和 陈柳钦 |
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| 作者单位： | 1. 华南农业大学经济管理学院,广州,510642
2. 天津社会科学院,天津,300091 |
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| 摘 要： | 本文估计的中国投资者的相对风险回避系数远远大于10,远大于Mehra和Prescott(1985)所认可的最高水平,证实了中国股市存在股权溢价之谜,并指出了解释中国股权溢价之谜的潜在研究途径。
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| 关 键 词： | 股权溢价之谜 Hansen-Jagannathan下界 相对风险回避系数 |
| 文章编号： | 1009-461x(2005)-02-14-18-05 |
The Test of the China''''s Equity Premium An Application of the Hansen-Jagannathan Method |
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| Liu Renhe,Chen Liuqin. The Test of the China''''s Equity Premium An Application of the Hansen-Jagannathan Method[J]. , 2005, 6(2): 14-18 |
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| Authors: | Liu Renhe Chen Liuqin |
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| Abstract: | Regarding China' s investors, the coefficients of relative risk aversion measured by this paper are many times greater than 10, which is the maximum level considered plausible by Mehar and Prescott (1985). It suggests that the equity premium puzzle exists in China's stock market. This paper points out the potential analysis routes of solving this equity premium puzzle. |
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| Keywords: | equity premium puzzle Hansen-Jagannathan bounds coefficients of relative risk aversion |
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