基于习惯形成的Epstein-Zin效用函数模型与股权溢价之谜——来自中国A股市场的证据

Based on the Habit Formation of Epstein-Zin Utility Model and Equity Premium Puzzle:From the China’s A Stock market Evidence

美国资本市场历史数据显示股票收益远远高于债券收益,不能用基于消费的资产定价模型解释,Mehra and Prescott提出了所谓的股权溢价之谜,而Campbell and Cochrane的习惯形成模型在用HJ方差界检验股权溢价之谜时受到局限。对Epstein and Zin(1991)的广义期望效用模型进行修正,使用随机贴现因子的HJ方差界来检验中国股票市场是否存在股权溢价之谜,并比较CRRA模型、Epstein and Zin的模型及修正模型的定价能力。实证分析发现:(1)修正后的模型要求消费者的相对风险厌恶系数为2左右就可以解释中国的高股权溢价现象,而且中国股票市场不存在股权溢价之谜,也不存在无风险利率之谜;(2)同CRRA模型、Epstein and Zin的模型相比,修正后的模型具有更强的定价能力。

The consumption capital asset pricing model can’t explain between the different of theoretical value of U.S equity premium and historical data,Mehra and Prescott propose the equity premium puzzle.Campbell and Cochrane power utility model with habit formation,limited in Hansen-Jagannathan volatility bound test the equity premium puzzle.In this paper,we modify the Epstein and Zin(1991) generalized expected utility model,investigate the equity premium puzzle in China with the Hansen-Jagannathan volatility bound,also compare the pricing ability of different model such as CRRA model、Epstein and Zin generalized expected utility model.Our main findings are:(1) There is neither equity premium puzzle,nor riskfree rate puzzle in China;(2) Compared with CRRA model、Epstein and Zin model,we incorporate the habit formation will increase the pricing ability of our model.