摘要
本文在回顾国内外有关股权风险溢价研究的基础上 ,从投资者的角度 ,构建了中国A股市场投资指数 ,测算中国股票市场近 8年来的风险溢价。在此基础上分析了周期选择、交易成本、股本规模对股权风险溢价的影响。结果表明 ,不同的周期下股权溢价水平大不相同 ;同时 ,中国股票市场交易成本很高 ,忽略交易成本会大大高估溢价水平 ;在市场内部 ,经验分析结果显示股本规模与风险溢价负相关 。
Equity risk premium is the difference between the return on the market portfolio of common stocks and the risk free interest rate. This article focuses on the last eight years (from Feb 1995 to Dec 2002) data and measures China's equity risk premium. The equity risk premium is 2.03 under nominal equity and risk free asset return and 2.11 under the real return. We also discuss the contributing factors. We find that, period is important and can make great influence on equity premium, transaction cost is high in China, we will overrate the equity premium if we don't consider the transaction cost, firm size is in inverse ratio with equity premium. Small firm obtains the highest equity risk premium.
出处
《世界经济》
CSSCI
北大核心
2003年第11期62-70,共9页
The Journal of World Economy
基金
国家社会科学基金资助项目 ( 0 2 BJY13 2 )
国家自然科学基金资助项目 ( 70 2 73 0 16)
