股票风险溢价估算:以大中华区为例

Q2 Economics, Econometrics and Finance Buletin Ekonomi Moneter dan Perbankan Pub Date : 2019-07-31 DOI:10.21098/bemp.v22i2.1088

Jie Zhu

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引用次数: 0

摘要

预期股权风险溢价是金融中许多资产定价模型的关键输入。有许多方法可以估算风险溢价。有充分的证据表明，风险溢价是随时间变化的。本文简要回顾了两种不同的方法。更具体地说，对历史平均值和相对估计进行了更仔细的检查。本文采用rst方法对中国股市从谷底回升时的股票风险溢价进行了估计。然后对经验数据采用相对估计的方法来证明第一篇文章中的结论，该结论考虑了中国投资者由于缺乏投资机会而导致的较低的要求回报率。在进行这些调整后，我们发现中国大陆的风险溢价与香港和台湾市场的风险溢价接近。与美国市场相比，所有这些市场的风险溢价都更高。上海和深圳市场的风险溢价分别约为8%和10%。对于香港和台湾，这两个数字分别为8%和9%，而美国市场的长期前瞻性风险溢价约为4%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA

The expected equity risk premium is a key input of many asset prcing models innance. There exist a number of methods to estimate the risk premium. It is alsowell documented that the risk premium is time-varying. This paper briey reviews twodi¤erent approaches. More specically, the historical average and relative estimationare taken into closer examination. The rst approach is applied to estimate equity riskpremium for stock markets in Greater China when the stock markets were recoveringfrom the bottom. Then the relative estimation approach is also adopted to empiricaldata to justify the ndings in the rst one, which takes into consideration the lowerrequired rate of return for Chinese investors due to lack of investment opportunities.After making these adjustments, we nd that risk premium in mainland China is close torisk premium for Hong Kong and Taiwan markets. All of those markets have higher riskpremium compared to US market. The risk premium for Shanghai and Shenzhen marketare about 8% and 10% respectively. For Hong Kong and Taiwan these numbers become8% and 9%, where the long-term forward-looking risk premium for US market is about4%.

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