摘要
股票市场风险溢价不仅在投资管理和公司财务决策中起着重要的作用 ,而且是很多金融理论模型的输入参数。本文在借鉴国际计算方法的基础上 ,对我国股票市场的风险溢价水平进行了全面的测算。由于我国利率还没有实现市场化 ,因此在无风险利率的确定上我们全面考虑了各种可能的情况 ,基于 1 997年到 2 0 0 1年的数据 ,我们分别计算了以 91天债券回购利率和一年期银行存款利率为无风险利率的风险溢价。
Market risk premium plays an important role not only in asset management, but also in corporate financial decisions, and it is an input parameter of many financial theory models. Based on internationally well-accepted methods, we calculate the market risk premium of China's stock market. As the interest rate is not totally determined by the market, we take into all possible considerations to determine the risk free rate. Using the data from 1997 to 2001, we calculate the market risk premium based on 90-day Treasury Bill repurchase rate and one year commercial bank interest rate as risk free rate respectively.
出处
《金融研究》
CSSCI
北大核心
2003年第4期23-31,共9页
Journal of Financial Research
