股权溢价之谜理论述评

云南财经大学学报2009年第5期(总第139期):2009-06-08:教育部人文社科规划基金一般项目(08JA790025):邓学斌(1971-),男,湖北人,广东商学院数学系教师,中山大学行为金融与金融经济研究所博士研究生,研究方向为金融经济学股权溢价之谜理论述评邓学斌1,2(1广东商学院数学系,广州510320;2中山大学行为金融与金融经济研究所,广州510275):总结已有的股权溢价之谜理论,在进一步了解目前研究现状的基础上探讨股权溢价之谜的成因,深化所涉及的相关论点,分析未来可能的发展方向:股权溢价之谜;资产定价;风险厌恶:F12126:A:1674-4543(2009)05-0009-07MehraPrescott[1](EquityPremiumPuzzle),18891978()698%,((Treasurybills))08%,618%?,,,,20%,4%,6%?,,()035%,(618%),MehraPrescott,,(),20,2,,(Weil)MehraPrescottMehraPrescott,20,,,,:,/MehraPrescottLucas[2]Breeden[3](CCAPM),LucasBreeden:(1);(2);(3);(4),9云南财经大学学报CCAPM,,,,,,,,,,,,,,,(CCAPM),Markowitz,,:(1);(2);(3);(4);(5),,,,,CAPM,Merton[4],(ICAPM),Lucas,,,Breeden,,,,,(CCAPM)CCAPM,,(percapitaconsumption),,,1,100,,11889~1978698%08%618%MehraandPrescott1802~199870%29%41%Siegel(1998)1926~2001122%38%84%IbbotsonYearbook(2003)1926~200287%07%80%Mehra(2003),CCAPM,:(1),(generalizedexpectedutility)(Habitformation);(2)(heterogeneous);(3)(borrowingconstraint),;(4)(Incompletemarket),,(5),10邓学斌:股权溢价之谜理论述评(lossaversion),,()(GeneralizedExpectedUtility)Weil[5],MehraandPrescottCARA,,,,1%,!∀,!∀,,KrepsPorteus[6],Epstein-Zin[7](generalizedexpectedutility,GEU),EpsteinandZin,(state-non-separable),,,,,Zhou[8],,HeatonLucas[9],()(Habitformation),,,,,,Constantinides[10],(habitpersistence),,,FersonConstantinides[11];Kocherlakota[12]Constantinides,,CampbellCochrane[13],,,Mehra[14],,()(relativeconsumption),,:Abel[15]Gali[16](CatchingupwiththeJoneses);Kocherlakota[12]AbelConstantinides,,,MehraPrescott,,,11云南财经大学学报,()(Heterogeneousconsumers)Mankiwzeldes[17],,10,,ConstantinidesDuffie[18](Household),BLS(BureauofLaborstatistics),(idiosyncratic),,,,,,,,,,,,,()(survivorshipbias)Brown,GoetzmannRoss,,,,,,()(BorrowingConstraints)Constantinidesetal[19],:,,,,,,,Bravetal[20],(SDF),,,(Lucas,HeModest[21],HeatonLucas[9],ConstantinidesDonaldsonMehra[19],()(lossaversion),,BenartziThaler[22],,,,,,,,,!∀(Myopiclossaversion)Barberis,HuangSantos[23],,,,,,,,,,,12邓学斌:股权溢价之谜理论述评,:(1)(Treasury-bill);(2);(3)(3),,,,,Cochrane[24]DerrigEOrr[25]IbbotsonChen[26]:GDP,6%,(1),!(ex-post)∀∀(ex-ante)∀,MehraPrescott,(),,Dimson-Marsh-Staunton[27]FamaFrench[28]50,,,,,:BarroRietz(,),20,,,,,,,,,!∀,AndrewAtkesonChristopherPhelan,,,,Fama[29]:!,,,∀,?,,,,,,,,,,13云南财经大学学报,,:Kubotaetal[30],Salomonsandgrootveld[31],30,,,,,,,:[1]Mehra,R.,andE.Prescot,t(1985),!TheEquityPremium:APuzzle,∀JournalofMonetaryEconomics,15,145-161.[2]Lucas,R.E.,(1978),!AssetPricesinanExchangesEconomy,∀Econometrica,46,1429-1445.[3]Breeden,D.,(1979),!AnIntertemporalAssetPricingModelwithStochasticConsumptionandInvestmentOpportunities,∀JournalofFinancialEconomics,7(3),265-296.[4]Merton,R.C.,(1973),!IntertemporalCapitalAssetPricingMode,l∀Econometrica,41(5),867-887.[5]Wei,lP.,(1989),!TheEquityPremiumPuzzleandtheRisk-FreeRatePuzzle,∀JournalofMonetaryEconomics,24,401-421.[6]Kreps,D.andE.Porteus,(1978),!TemporalResolutionofUncertaintyandDynamicChoiceTheory.∀Econometrica,vo.l46,185-200.[7]EpsteinL.G.,andS.E.Zin,(1991),!Substitution,RiskAversion,andtheTemporalBehaviorofConsumptionGrowthandAssetReturnII:AnEmpiricalAnalysis,∀JournalPoliticalEconomics,99(2),263-286.[8]Zhou,C.,(1999),!InformationAsymmetryandMarketImperfections:AnotherSolutiontotheEquityPremiumPuzzle,∀JournalofFinancialandQuantitativeAnalysis,34(4),445-464.[9]Heaton,J.,andD.Lucas,(1996),!EvaluatingtheEffectofIncompleteMarketsonRiskSharingandAssetPricing,∀JournalofPoliticalEconomy,104,443-487[10]Constantinides,G.M.,(1990),!HabitFormation:!AResolutionoftheEquityPremiumPuzzle,∀JournalofPoliticalEconomics,98,519-543.[11]Ferson,W.E.andG.Constantinides,(1991),!HabitPersistenceandDurabilityinAggregateConsumption:EmpiricalTests,∀JournalFinancialEconomics,29(2),199-240.[12]Kocherlakota,N.R.,(1996),!TheEquityPremium:It#sstillapuzzle,∀JournalofEconomicLiterature,34(1),42-71.[13]Campbel,lJ.Y.,andJ.H.Cochrane,(1999),!ByForceofHabi:tAConsumption-BasedExplanationofAggregateStockMarketBehavior,∀JournalofPoliticalEconomics,107,205-251.[14]Mehra,R.,(2003),!TheEquityPremium:Whyisitapuzzle?∀FinancialAnalystsJourna,l59(1),54-69[15]Abe,lA,(1990),AssetPricesunderHabitFormationandCatchingUpwiththeJoneses,AmericanEconomicReview,80(2),38-42[16]Gal,iJ.,(1994),!KeepingUpwiththeJoneses:ConsumptionExternalities,PortfolioChoice,andAssetPrices,∀JournalofMoney,CreditandBanking,26(1),1-8.[17]Mankiw,G.,andS.Zeldes,(1991),!TheConsumptionofStockholdersandNonstockholders,∀JournalofFinancialEconomics,29,97-112.[18]Constantinides,G.M.,andD.Duffie,(1996),!AssetPricingwithHeterogeneousConsumers,∀14邓学斌:股权溢价之谜理论述评JournalofPoliticalEconomy,104(2),219-240.[19]Constantinides,G.M.,J.B.Donaldson,andR.Mehra,(2002),!JuniorCan#tBorrow:ANewPerspectiveontheEquityPremiumPuzzle,∀QuarterlyJournalofEconomics,117,269-296.[20]Brav,A,G.M.Constantinides,andC.C.Geczy,(2002),!AssetPricingwithHeterogeneousConsumersandLimitedParticipation:EmpiricalEvidence,∀JournalofPoliticalEconomics,110(4),793-824.[21]He,H.,andD.M.Modes,t(1995),!MarketFrictionsandConsumption-BasedAssetPricing,∀JournalPoliticalEconomics,103(1),94-117.[22]Benartz,iS.,andR.Th