摘要
本文基于中国股票市场数据研究了股权溢价的主要驱动因素及其对股权溢价变动的传导机制问题.我们的主要发现如下:1)产出差、通货膨胀率和投资者情绪冲击对股权溢价有统计显著的动态影响,而利率冲击对股权溢价的影响比较有限;2)这些冲击对股权溢价的变动具有一定的状态依赖效应,产出差冲击在经济衰退时期对股权溢价的影响更大,而CPI、情绪和货币政策冲击在经济扩张时期的影响更大;3)这些因素冲击对股权溢价的解释能力主要来源于对预期收益的解释能力,而来源于对现金流消息和折现率消息的解释能力相对较小;4)市场情绪冲击对股权溢价的变动有最大的解释能力,因此充分发掘投资者情绪变化信息更有可能提高短期股权溢价预测的效果.我们的研究揭示了经济基本面、市场情绪和货币政策冲击对股权溢价的动态影响和传导机制,可以为预测模型的构建和投资决策提供有价值的指导.
Understanding the main driving factors and transmission mechanism of equity premium is of great importance to improve the forecasting performance of equity premium.This paper studies the dynamic effect of the main driving factors of equity premium on equity premium by using data on China’s stock market.Our findings are as follows:1)output gap,CPI and investor sentiment shocks have a significant impact on equity premium,while interest rate shocks have a limited impact;2)State dependent effects of driving factor shocks on equity premium are found.The impact of output gap shocks is greater in the periods of economic recession,while CPI,sentiment and monetary policy shocks have a greater impact in the periods of economic expansion;3)The explanatory power of these factors to the equity premium mainly comes from the explanatory power to the expected return,and relatively small from the explanatory power to cash flow and discount rate news;4)Market sentiment shock has the greatest explanatory power to explain the fluctuation of equity premium.Therefore,fully exploring the information about the change of investor sentiment is more likely to improve short-term forecasting performance of equity premium.Our research reveals the dynamic effects and transmission mechanism of economic fundamentals,market sentiment and monetary policy shocks on equity premium,which can provide valuable guidance for the construction of prediction model and investment decision-making.
作者
闵峰
吴宝辉
文凤华
MIN Feng;WU Baohui;WEN Fenghua(School of Finance,Zhejiang University of Finance&Economics,Hangzhou 310018,China;School of Business,Central South University,Changsha 410083,China)
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2023年第4期1044-1067,共24页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(72131011,71873146,71873147)
国家社科基金重大项目(22&ZD073)
湖南省教育厅优秀青年项目(22B0846)。
关键词
股权溢价
传导机制
经济基本面
投资者情绪
货币政策
equity premium
transmission mechanism
economic fundamentals
investor sentiment
monetary policy
