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股权溢价之谜理论述评 被引量：2

Theoretical Review on Equity Premium Puzzle
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摘要 总结已有的股权溢价之谜理论,在进一步了解目前研究现状的基础上探讨股权溢价之谜的成因,深化所涉及的相关论点,分析未来可能的发展方向。 The paper first summarizes the existing theories on equity premium puzzle, and based on further understanding of the status quo of present studies, the author discusses the causes of the puzzle, deepens relative argumentations, and analyzes possible development trends in the future.
作者 邓学斌
机构地区 广东商学院数学系 中山大学行为金融与金融经济研究所
出处 《云南财经大学学报》 北大核心 2009年第5期9-15,共7页 Journal of Yunnan University of Finance and Economics
基金 教育部人文社科规划基金一般项目(08JA790025)
关键词 股权溢价之谜 资产定价 风险厌恶 Equity Premium Puzzle Asset Pricing Risk Aversion
分类号 F121.26 [经济管理—世界经济]
  • 相关文献

参考文献31

  • 1Mehra, R., and E. Prescott, (1985), "The Equity Premium: A Puzzle," Journal of Monetary Economics, 15, 145-161.
  • 2Lucas, R.E. , (1978), "Asset Prices in an Exchanges Economy," Econometrica, 46, 1429 - 1445.
  • 3Breeden, D., (1979), " An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities," Journal of Financial Economics, 7 (3), 265 - 296.
  • 4Merton, R. C. , (1973), "Intertemporal Capital Asset Pricing Model," Econometrica, 41 (5), 867 - 887.
  • 5Weil, P., (1989), "The Equity Premium Puzzle and the Risk -Free Rate Puzzle," Journal of Monetary Economics, 24, 401 -421.
  • 6Kreps, D. and E. Porteus, (1978), "Temporal Resolution of Uncertainty and Dynamic Choice Theory. " Econometrica, vol. 46, 185-200.
  • 7Epstein L. G. , and S. E. Zin, (1991), "Substitution, Risk Aversion, and the Temporal Behavior of Consumption Growth and Asset Return Ⅱ: An Empirical Analysis," Journal Political Economics, 99 (2), 263 - 286.
  • 8Zhou, C. , (1999), "Information Asymmetry and Market Imperfections: Another Solution to the Equity Premium Puzzle," Journal of Financial and Quantitative Analysis, 34 (4), 445 -464.
  • 9Heaton, J. , and D. Lucas, (1996), "Evaluating the Effect of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, 104, 443 - 487.
  • 10Constantinides, G. M. , (1990), "Habit Formation:"A Resolution of the Equity Premium Puzzle," Journal of Political Economics, 98, 519 - 543.

同被引文献57

  • 1肖俊喜,王庆石.交易成本、基于消费的资产定价与股权溢价之谜:来自中国股市的经验分析[J].管理世界,2004,20(12):3-11. 被引量：40
  • 2汪昌云,汪勇祥.资产定价理论:一个探索股权溢价之谜的视角[J].管理世界,2007,23(7):136-151. 被引量：14
  • 3Almeida, H. and T. Philippon (2007). "The Risk-Adjusted Cost of Financial Distress", Journal of Finance, 62, 2557-2586.
  • 4Arrow, K. J., M. L. Cropper, C. Gollier, B. Groom, G. M. Heal and R. G. Newell, et al. (2012). "How Should Benefits and Costs Be Discounted in an Intergenerational Context. The Views of an Expert Panel". Resource For the Future. Discussion paper No. RFF DP 12-53. Retrieved from http.//www.rff.org/RFF/Documents/RFF-DP-12-53.pdf.
  • 5Atkeson, A. and C. Plelan (1994). "Reconsidering the Costs of Business Cycles with Incomplete Markets". In Fischer, S. and Rotem- berg, J. J. (Eds.), NBER blacroeeonomics Annual 1994 (pp.187-207). Cambridge. MIT Press.
  • 6Bansal, R. and A. Yaron (2004). "Risks for the Long Run. A Potential Resolution of Asset Pricing Puzzles", Journal of Finance, 59, 1481-1509.
  • 7Barro, J. and F. Ursua (2011). "Rare Macroeconomic Disasters". NBER Working Papers. No. 17328.
  • 8Barro, J. (2006). "Rare Disasters and Asset Markets in the Twentieth Century", The Quarterly Journal of Economics, 121,823-866.
  • 9Barro, J. (2009). "Rare Disasters, Asset Prices, and Welfare Costs", The American Economic Review, 99, 243-264.
  • 10Barro, J. and T. Jin (2011). "On the Size Distribution of Macroeconomic Disasters", Econometrica, 79, 1567-1589.

引证文献2

二级引证文献2

云南财经大学学报
2009年 第5期

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