摘要
Mehra和Prescott( 1 985 )提出著名的股票溢价之谜 (EquityPremiumPuzzle) :合理的相对风险规避系数 ,不能解释美国S&P5 0 0指数的收益率为什么比无风险债券的收益率高出 6个百分点。本文提出了一个基于相对财富的资产定价模型 ,其中代表性投资者的效用函数不但依赖于消费 ,还依赖于投资者的绝对财富 ,及社会平均财富。本文使用该模型 ,解释了股票溢价之谜。
Mehra and Prescott (1985) have proposed the famous equity premium puzzle and pointed out that investor's plausible relative risk aversion coefficient cannot explain why S&P 500 stock index's return has as high risky premium as 0.06. This paper establishes an asset-pricing model based on relative wealth, in which the representative investor's utility function depends not only on his consumption, but also on his absolute wealth and the social average wealth. This model resolves the equity premium puzzle
出处
《财贸研究》
北大核心
2004年第3期68-72,共5页
Finance and Trade Research
