完全市场框架下的中国股票溢酬之谜

China Equity Premium Puzzle in the Framework of Complete Market

由于在现实经济中并不是所有的消费者都持有风险资产,且长期以来我国持股家庭和个人比例仍处于较低水平,因此,利用实际经济中的总消费数据对"股票溢酬之谜"进行实证分析存在严重的缺陷。利用我国证券市场加权平均每股收益作为完全市场框架下CCAPM中红利和消费增长的代理变量,对"股票溢酬之谜"进行检验发现,相对风险厌恶系数符合前人经验研究,我国市场并不存在"股票溢酬之谜"。

In the real economy,not all the consumers hold risky assets.And the ratio of the household and individual which hold stocks is still lower.So the empirical analysis which used the total consumption data to test ＂the equity premium puzzle＂ has a serious defect.This paper uses the weighted average return per share of China stock market as the proxy variable of dividend and consumption to test ＂the equity premium puzzle＂ in the framework of complete market.The analysis shows that the CRRA is in line with predecessors＇ empirical research and there is not ＂the equity premium puzzle＂ in China market.