【摘要】 按照传统的消费资本资产定价理论,中国股市的高股权溢价只能由投资者的高相对风险厌恶系数来解释。但是这又会产生所谓的无风险利率之谜,因为投资者相对风险厌恶系数高时,其时间偏好率为负,明显不合情理。更多还原

【Abstract】 Based on consumption-based asset pricing theory, the equity premium in China’s stock market should be explained by a high relative risk aversion coefficient of investor. However, it might generate a so-called risk-free rate puzzle because it isn’t reasonable that investor should have a negative rate of time preference when he has a high relative risk aversion coefficient.更多还原