Stochastic Discount Factor Variance Bounds and Equity Premium Puzzle: Empirical Analysis from Chinas Stocks Market

摘要：

The paper simulates and analyzes the standard consumption-based asset pricing model with the time-additive expected utility and the consumption-based asset pricing model with the recursive non-expected utility by utilizing the stochastic discount factor variance bounds in the absence/ present of market frictions and in the un-conditioning/ conditioning information,and finds (1) that unlike the developed capital markets (e.g., U.S.’s capital market), the equity premium puzzle doesn’t exist in China’s stocks market; (2) that the consumption-based asset pricing model with the recursive non-expected utility dominates the standard consumption-based asset pricing model in verifying and explaining no puzzle of the equity premium in China’s stocks market; (3) that the typical investor/ consumer in China’s stocks market prefers the early resolution of uncertainty in the conditioning information, but the resolution of the preference uncertainty is mixed in the un-conditioning information.

关键词： Stochastic Discount Factor Variance Bounds Equity Premium Puzzle Consumption-Based Capital Asset Pricing Model Constant RelativeRisk-aversion Coefficient

作者: 肖俊喜 王庆石

作者单位: 辽宁大连东北财经大学数量经济系 辽宁大连东北财经大学国际商学院

会议类型: 国际会议

会议名称: 2005年中国国际金融年会

会议地点: 昆明

会议语种:英文

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）