【作者】 周猛；

【导师】 张宗成；

【作者基本信息】 华中科技大学 ， 数量经济学， 2004， 硕士

【摘要】 研究股票溢价有非常重要的现实意义:可促进资本市场的发展、预测宏观经济、发现股票价格、医疗保险基金与社会保险基金的使用决定、指导投资者投资、指导企业融资等等。但中国股票市场建立的时间不长,还是一个新兴的市场,对我国的资本市场进行股票溢价研究有诸多难点。美国有一个成熟的资本市场,研究其股票溢价现象对中国有非常重要的借鉴意义。本文先分析了美国的消费增长与资产收益,发现总消费结构随时间而改变;股票收益的波动要比债券收益的波动大得多。然后通过假定市场完全、无摩擦,利用一个时间不可分的离散动态模型分析了股票溢价。它采用差异习惯模型,习惯水平产生于一个体现消费时间价值的非线性过程,通过求代表性消费者的效用最大化,得到一个形式简单的资产定价模型和一个随时间变化的无风险利率水平。对于实证,利用美国1948-2000年的数据,用参数校准和动态比较的方法得到适当的参数值,使风险厌恶系数和无风险利率在一个适当的范围内,从而比较合理的解释了股票溢价难题和无风险利率难题。最后,本文认为:股票溢价与消费增长、股票收益两者的协方差有正比关系,当消费增长与收益之间的协方差越大时,投资者必然要求更高的收益,得到更高的风险溢价;无风险利率随时间变化小幅度波动,这和美国财政部三个月债券的实际收益率吻合。更多还原

【Abstract】 It is very important to study the equity premium, promoting the development of capital market, predicting the macroeconomic trend, finding the level of stock price, judging how to use the hospitalization Insurance fund and social Insurance fund, instructing investors how to make the investment, guiding enterprise’s financing etc. But the stock market of China, a new developing market, set up for more than ten years. There is a lot of difficulty to study the equity premium of the China’s capital market. The capital market in U.S.A is comparatively perfect, so there is very important reference value for China to study American the equity premium.At first, the article analyses the consumption growth and the assets return, and finds out that the total consumption structure changes with time; the volatility of the stock return is much higher than the volatility of the bond return. Assuming that the market is complete, the article makes use of time-sepatable discrete-time dynamic model to analyse the equity premium. It adopts the habit formation model, in which the habit level results from a non-linear course which reflects value of consuming time. Maximizing the representative agent’ utility, we receive a simple CCAPM and the riskless interest rate with time. As for demonstration analysis, by the data from 1948 to 2000, we use calibrating and dynamic comparing method and get proper parameter value, which make the relative risk aversion coefficient and the riskless interest rate keep in a proper range. Thus we resolve the equity premium puzzle and the riskless interest rate puzzle to a certain extent.Finally, this article draws two conclusions: there is negative relation between the equity premium and the covariance of consumption growth & stock returns, therefore the investors must expect higher returns for higher risk premium when the covariance of consumption growth and stock returns is bigger; the riskless interest rate has little range volatility over time, which accords with the real yield of 3 months bond of Ministry of Finance.更多还原