股权风险溢价在历久股票市场上的应用.pdf

摘要 股权风险溢价(The Risk EquityPremium)即投资于普通股的收益与投资于政府 债券的收益之差。它是标志股市兴衰与否的关键性因素。在这一领域的学术性论 著很多，但至今未见有权威性的结论。大部分的研究主要是从预测股票市场短期 波动，来估计未来股票收益与政府债券的收益之问的关系。本文主要介绍大家(例 如火多数投资者、养老基金经纪人和公司财务人员等)最为关心的基本问题：从 K期来看，股票收益的变化将如何。对未来股权风险溢价进行估计，揭示风险溢 价和股票价格水平的关系，从资本资产定价模型、风险厌恶理论和效用函数理论 等给以严格分析。 关键词：股权风险溢价，收益率，风险，CAPM模型，风险厌恶，效用 Abstract of stocks The RiskPremiumisthedifferencebetweenthereturncommon Equity andthe ofrisk-free is instead it returll treasury bonds(itusually by bonds)，What relates totheweaknessorboomofthe security developsclosely market．Although there been literatureswith totheERP SO no have field is far，there many respect yet one field result research inthis accepted bymajorityacademicians．Manypapers estimatethe thereturn the between ofcommonstocksand generally relationship returnthe bonds theshort-terna of of by volatilitiesthe treasury predicting security market．Whilethisthesis introduceabasic concerned problem by mainly manypeople of the SO as