股权溢价之谜

消费CAPM的模型将风险资产定价理论与经济学当中的一般均衡结合起来，但是股权溢价之谜的提出，对模型的解释力提出了挑战。

Consumption CAPM built up a connection between asset pricing theory and the general equilibrium Economics . However ," the equity premium puzzle " poses a challenge to the explanatory power of the model .

股权溢价之谜

The Equity Premium Puzzle

但是，在国外的文献中他们并没有找到统一的用于解释股权溢价之谜的理论和方法。

However , there are not universal theories and methods to explain the puzzle among foreign studies .

本文将试图从古典经济学和行为金融学两个方面对理论学界对股权溢价之谜的解释进行综述。

This paper tries to narrate the explanations of the equity premium puzzle from classical economics and behavioral finance .

通过这一模型，对股权溢价之谜、规模效应等实证金融中的反常现象进行了分析。

Based on this model , we try to interpret the abnormal performances of stock prices such as equity premium puzzle , size effect .

但有效市场假说在实践中，无法解释股票价格过度波动、股权溢价之谜、日历效应等各种异象。

However , efficient market hypothesis has failed to explain anomalies like the equity premium puzzle , calendar effect , acute fluctuation of stock price , ect .

交易成本、基于消费的资产定价与股权溢价之谜：来自中国股市的经验分析

The Transaction Cost , Assets Pricing Based on Consumption , and the Puzzle in Share Ownership Premium : an Analysis of the Experiences from China 's Stock Market

习惯形成有内生与外生习惯形成之分，各自都有经典的定价模型，且能较好的解释股权溢价之谜的现象。

There are endogenous and exogenous habit formation and There exist corresponded classical pricing models . And the models can explain the equity premium phenomenon in some extent .

在此基础上，本文提出了消费资本资产定价模型的新形式，并对股权溢价之谜和无风险利率之谜进行解释。

On this basis , this paper proposes the new forms of CCAPM model , and gives explanations of the equity premium puzzle and the risk-free rate puzzle .

行为金融学的出现为股权溢价之谜的解决带来了曙光，其代表性的理论&短视性损失厌恶理论，对股权溢价之谜提供了一个较为合理的解释。

The emergence of behavioral finance is bright to the puzzle . Its representative theory-myopic loss aversion theory can offer a relatively reasonable explanation to the equity premium puzzle .

资产定价既是现代金融的核心，也是许多困惑之所在，其中最著名的就是股权溢价之谜和无风险利率之谜。

Asset pricing is considered as the core of modern finance ; it involves puzzles such as the equity premium puzzle and the risk-free rate puzzle , which have attracted an extensive research interest .

股权溢价之谜自提出以来至今仍是资产定价领域的重要课题，它揭示了资产定价理论与现实的巨大差距。

The puzzle of equity premium is a main study object within asset pricing area since it has been raised . It discloses the great discrepancy between theoretical price and the de facto price of an asset .

作为金融市场上的异象之一，股权溢价之谜自被提出之时就引起了金融经济学术界的广泛关注，大量的研究人员试图以不同的方式对传统模型进行修正来解释股权溢价之谜。

Being one of the anomalies in the financial market , the equity premium puzzle has attracted numerous attentions in the financial economics since its first being raised , many researchers tried to explain the puzzle by modifying the traditional model in various ways .

行为金融学者们以更逼近真实市场行为的理论分析洞悉了资产价格反映过度和反应不足、动量效应、股权溢价之谜以及日历效应等等市场异象，并取得了一定的成果。

Behavioral finance scholars has been developing a new theory by better approaching the real insight into the theory of market anomaly , such as asset prices reflect the over-reaction and under-reaction , momentum effect , the equity premium puzzle and calendar effects , and so on .