罕见灾难风险与中国股权溢价

本文计算了我国1996-2014年平均股权溢价,并通过基于传统效用函数及广义预期效用函数的资产定价模型计算的相对风险规避系数、GMM估计方法及H-J最小方差界验证了我国的确存在股权溢价之谜,以此构建灾难风险模型对我国股权溢价之谜进行解释,结论包括:1)我国1996-2014平均股权溢价为8.64%,股票收益波动性较大;2)我国的确存在股权溢价之谜,仅考虑广义期望效用函数无法合理解释我国股权溢价之谜;3)时变灾难模型可以较好地解释我国股权溢价之谜,尤其股市熊市模型更能体现灾难对投资者行为的影响从而影响资产价格风险溢价;4)我国股票收益率波动较大,而股息增长率波动较小,本文验证了灾难视角下股利价格比可以有效预测股票超额收益,为今后投资决策提供稳定科学指标和研究框架.

Disaster risk and equity premium in China

This paper calculated the 1996-2014 average equity premium in our country, and based on the traditional utility function and generalized expected utility function of asset pricing model in the H-J variance next and relative risk aversion coefficient under the GMM estimation method is verified in our country there is equity premium puzzle, thus is established considering the disaster risk asset pricing model to explain the equity premium puzzle, the conclusions include:1) 1996-2014 average equity premium of 8.64% in our country, and stock returns volatility is bigger; 2) does exist in our country the equity premium puzzle, the generalized expected utility function is only considered unable to reasonably explain our country equity premium puzzle; 3) under the risk aversion coefficient of reasonable time-varying catastrophe model can well explain the equity premium puzzle in our country, especially the stock market bear market time-varying catastrophe model can reflect the disaster impact on the investors investment behavior and the influence of asset price risk premium; 4) because our country stock return volatility and dividend growth rate volatility smaller, this paper verifies the disaster perspective dividend ratio can effectively predict the stock excess returns, provide stability for the investment decisions in the future scientific indicators and research framework.