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Empirical Research on Chinese Equity Premium Puzzle

Author: LinChaoQuan
Tutor: LiuJiXian
School: Jiangxi University of Finance
Course: Finance
Keywords: equity premium HJ vriance lower-boundary relative risk avoidance index GMM
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 213
Quote: 0
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Abstract


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. There are two classification of the premium puzzle in foreign studies:the fisrt is retification and perfection of exsiting models according to the reality; the second is to probe the origin and reasons of the puzzle. However, there are not universal theories and methods to explain the puzzle among foreign studies. Naturally, whether the puzzle exists domestically is worth of studying. To give an answer to the above question, this paper uses Chinese stock market data and is based on CAPM(capital asset pricing model) and its derivative theories to do a study. What’s more, this paper compares results obtaied from using different models, which leads to this paper’s conclustion.The paper focuses on models like HJ lower-boundary variance model, relative risk avoidance index model and CAPM with power utility of constant coefficient of relative risk aversion. Taking the above three as the studying objects, this paper examines investors’ behavior in different phrases which are divided according to characteristics of Chinese stock market. The results show that under the same model, the results for different phrases are different; while uder different models, the results of the same phrase are different too. As a result, the paper concludes:due to different methods and different way of processing data, the results about the puzzle are different, which indicates the reason why researches on the myth of equity premium using variate methods have variate conclusions.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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