我国股权风险溢价的长期趋势与短期特征——结合门限自回归模型与B-P多重结构型断点检验的经验研究

Trends and Features of China Equity Risk Premium——An Empirical Study via TAR model and B- P MSC Model

经过20余年的高速扩张,我国证券市场建设在取得可喜成就的同时,市场的发展与改革已进入"深水区"。如何在准确找出问题的基础上有的放矢地推进市场改革,成为监管层与学界关注的焦点。以股权风险溢价为切入点,透视我国证券市场的发展历程,通过定量研究明确我国市场的特征,为找出发展过程中的问题与不足奠定基础。研究发现:从整体来看,我国溢价的算术均值较高,但各年度的溢价水平起伏不定。在多数年份,我国证券市场金融资产的风险与收益出现错配,市场高溢价与高波动性并存。从溢价的长短期趋势来看,我国的长期股权风险溢价在统计意义上数据序列平稳,存在与西方成熟市场国家相似的均值回归趋势;但影响溢价的结构性突变因素仍显著存在,局部溢价特征与我国宏观经济的稳健增势呈背离之势。

After more than 20 years of rapid expansion, Chinese stock market has gained remarkable achievements while its development and reform have entered ＂ deep water area＂. How to find out the existing problems and promote the market reform becomes the focus of attention of regulators and academics. This paper, taking Equity Risk Premium （ERP） as the starting point, is aimed at analyzing the developing process and features of China stock market in order to locate the problems and defects in its development process. The study finds that on the whole Chinas premium arithmetic average is high with the annual premiums fluctuating while in most years the risks and benefits mismatch with high ERP and high volatility coexisting, and that in terms of short - term and long - term trends in premium the secular trend of ERP is statistically and sequentially smooth with a mean reversion tendency similar to western mature markets while there exist noticeable structural breaks in ERP series with a trend of local premium fea- tures and macro -economy robust growth threatening to depart.