This paper comprehensively reviews the mainly famous and important literature about equity risk premium(ERP)puzzle.From the long term perspective,most markets show the equity yields surprisingly high return,and the di...This paper comprehensively reviews the mainly famous and important literature about equity risk premium(ERP)puzzle.From the long term perspective,most markets show the equity yields surprisingly high return,and the discrepancy between the return of equity and risk free rate cannot be explained by any classical equilibrium models.The paper is divided into five parts.The first three parts review vast literature about the discovery and development of ERP puzzle.Most literature conducted on the development of quantitative model and qualitative theories briefly point out their failures of explaining ERP puzzle.The fourthpart shows the empirical studies about ERP puzzle among international countries and the robustness of testing methods.The last partis the brief conclusion of the paper and the prospectsof ERP puzzle.展开更多
"风险溢价之谜"在资产定价理论中占有举足轻重的地位,自Mehra and Prescott(1985)提出这个谜以来,尽管已有大量的研究,这个谜却一直没能得到很好的解释。而Rietz-Barro等将罕见灾难引入资产定价模型,不仅完美地解释了高风险..."风险溢价之谜"在资产定价理论中占有举足轻重的地位,自Mehra and Prescott(1985)提出这个谜以来,尽管已有大量的研究,这个谜却一直没能得到很好的解释。而Rietz-Barro等将罕见灾难引入资产定价模型,不仅完美地解释了高风险溢价和低无风险利率之谜,而且学者们进一步引入广义预期效用和可变灾难,同时将灾难的解释范围扩展到股票、债券、期权等金融资产的定价和价格波动之谜,解决了传统金融理论所无法解释的众多宏观金融难题。更为重要的是,通过引入系统性风险,真实经济周期理论和资产定价理论有了新的突破,从而打开了一扇融合现代宏观经济学和金融学的大门。展开更多
文摘This paper comprehensively reviews the mainly famous and important literature about equity risk premium(ERP)puzzle.From the long term perspective,most markets show the equity yields surprisingly high return,and the discrepancy between the return of equity and risk free rate cannot be explained by any classical equilibrium models.The paper is divided into five parts.The first three parts review vast literature about the discovery and development of ERP puzzle.Most literature conducted on the development of quantitative model and qualitative theories briefly point out their failures of explaining ERP puzzle.The fourthpart shows the empirical studies about ERP puzzle among international countries and the robustness of testing methods.The last partis the brief conclusion of the paper and the prospectsof ERP puzzle.
文摘"风险溢价之谜"在资产定价理论中占有举足轻重的地位,自Mehra and Prescott(1985)提出这个谜以来,尽管已有大量的研究,这个谜却一直没能得到很好的解释。而Rietz-Barro等将罕见灾难引入资产定价模型,不仅完美地解释了高风险溢价和低无风险利率之谜,而且学者们进一步引入广义预期效用和可变灾难,同时将灾难的解释范围扩展到股票、债券、期权等金融资产的定价和价格波动之谜,解决了传统金融理论所无法解释的众多宏观金融难题。更为重要的是,通过引入系统性风险,真实经济周期理论和资产定价理论有了新的突破,从而打开了一扇融合现代宏观经济学和金融学的大门。
