中国股权溢价之谜的检验──Hansen-Jagannathan方法的应用被引量：16

Test of the China's Equity Premium Puzzle:──An Application of Hansen-Jagannathan Method

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摘要通过对中国证券市场的实证研究,估计的中国投资者的相对风险回避系数远远大于10,即远大于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路径。 The coefficients of China＇ s investor relative risk aversion measured by the paper are many times greater than 10, the maximum level considered.plausible by Mehar and Prescott. It suggests that the equity premium puzzle exists in China＇s stock market. The paper concluded with some potential analyses routes to solve the China＇s equity premium puzzle.

作者刘仁和陈柳钦

机构地区华南农业大学经济管理学院天津社会科学院

出处《财经理论与实践》 CSSCI 北大核心 2005年第5期79-83,共5页 The Theory and Practice of Finance and Economics

关键词股权溢价之谜 Hansen—Jagannathan下界相对风险回避系数 Equity Premium Puzzle Hansen- Jagannathan Bounds Coefficients of Relative Risk Aversion

分类号 F830.91 [经济管理—金融学]

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参考文献17

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