习惯形成和股权风险溢价之谜:基于中国数据的实证研究

Habit Formation and Equity Risk Premium Puzzle:An Empirical Study Based on China's Data

文章对Campbell和Cochrane的习惯形成模型进行修正,使用HJ方差界检验中国的股权溢价之谜,并比较CRRA模型和修正模型的定价能力。实证分析发现:中国不存在股权溢价之谜,也不存在无风险利率之谜;与CRRA模型相比,文章采用的模型有更强的定价能力。

In this paper,we modify the Campbell and Cochrane model,investigate the equity premium puzzle in China with the Hansen Jagannathan volatility bound,and compare the pricing ability of different models such as CRRA.Our main findings are：（1） There is neither equity premium puzzle,nor risk-free rate puzzle in China;（2） Incorporating the habit formation will increase the pricing ability of our model.