股权风险溢价与投资者交易行为--基于1992年至2012年中国资本市场的国际比较

摘要

采用历史法分阶段、分样本测算了中国资本市场1992年至2012年的股权风险溢价，并将测算结果与成熟市场国家组以及新兴市场国家组的溢价进行了横向比较。结果显示：中国资本市场体现出一个典型新兴国家市场的特质，就平均水平而言市场高溢价和高波动性并存。一方面体现出中国市场在短期暴涨区间对投资者有着巨大的吸引力，另一方面也代表着中国的市场投资者与成熟市场国家投资者相比，既承担着更多的风险，也存在着更为急功近利的投资交易行为。%This paper measures the equity premium of Chinese capital market from 1992 to2012 , and conducts a comparative study .The result unfolds that , as a emerging market representative , Chinese capital market shows vol-atility and its equity premium is high , which presents high attractiveness to investors during its short term period . This implies that the Chinese investors were experiencing more risks and possessed different investment behavior comparing with the western world .