股权溢价研究

【作者】 陈李；

【导师】 洪文达；

【作者基本信息】 复旦大学 ， 世界经济， 2008， 博士

【副题名】中国证券市场的实践与未来

【摘要】 股权风险溢价(以下也称股权溢价),就是普通股权收益率与无风险证券(政府债券)收益率的差别。英文简称是ERP,即,Equity Risk Premium,或者Equity Premium。最早表达股权风险溢价类似概念的是约翰米勒(John Miller)1848年的经典著作《政治经济学原理》。他这样描写一个决定在土地上进行投资的农民决策:“他可能愿意在土地上追加投资以获得超额利润。这部分超额利润,不论多少小,总是要超过风险的价值,一定的利息(不论从银行借贷的,还是从别人那里借来的)。”(…he willprobably be willing to expand capital on it(for an immediate return)in any manner whichafford him a surplus profit,however small。beyond the value of the risk,and the interestwhich he must pay for the capital if borrowed.Or can get for it elsewhere if it is his own)米勒把利润分成三个部分:其一,借来款项的利息,也可以表述为资金的机会成本。这差不多相当于无风险利率;其二,与这项投资相关风险的价格。这其实类似于股权溢价;第三部分,就是超额利润,用现代金融投资学语言来表示,就是“a”——在完全竞争市场上获取的超额利润。继米勒之后,奈特(Knight)在《风险、不确定性和利润》(Risk,Uncertainty and Profit)。中回顾了1920年之前的全部关于利润构成的经济学文献,分析了其中对风险的论述,指出研究中的不足。那些文献都没有区分可衡量和不可衡量的风险,后者奈特定义为不确定性,这两类风险奈特都认为应该得到经济利益补偿。可衡量的不确定性带来的额外经济利益补偿,奈特已经揭示出股权溢价的本质。在金融市场的长期发展过程中,这种可衡量的不确定性带来的溢价终于显示出其强大的理论意义和现实作用。长期投资回报率向均值回归的迹象非常明显。以美国市场为例,以一年为比较周期,股权风险溢价的波动率为20%;如果以10年为比较周期,股权风险溢价的波动率大幅下降到6%。如果我们观察1900-2005年这105年以来的世界主要股票市场表现。就可以发现他们的股权风险溢价也表现出超乎想象的稳定性。股权溢价研究的意义在于:1,它是资产配置中的重要因素。投资者需要比较各种风险资产、无风险资产的预期收益率和投资风险,才能进行资产配置决策。特别对于一些长期投资者(比如中国的社保基金)而言更是如此。2,股权溢价是项目投资中的关键因素。它是一些现代资产定价模型,如资本资产定价模型(CAPM)基础变量。3,它是股票价格水平的决定性因素,是证券研究员和投资银行人员必须了解的变量,因为任何估计市场合理市盈率,运用DCF或者DDM方法估算股票价格,都需要使用股权溢价。4,股权溢价,特别是短时期的股权溢价,也可能变动。什么样的原因导致它发生变化?经济学研究的成果显示,人口、政策、经济增长方式,这些基础的经济变量都会对金融市场的长期变革产生巨大影响。本文一共分为7个部分。第1部分为导论,阐述股权溢价的由来和研究意义。第2部分阐述计量经济学对股权溢价的研究。20世纪50年代开始,计量经济学家首先注意到了股权溢价。Roger Ibboston和Rex Sinquefield在1976年发表的论文《股票、国债、国库券和通货膨胀:1926-1974年的历史数据》(Stocks,Bonds,Bills and inflation:Year-by-Year Historical Return 1926-1974)。为计量股权溢价制定了最初的标准。WilliamGoetzmann,Roger Ibbotson和Liang Peng的《对纽约交易所1815-1925年历史数据的新考察》(A New Historical Database for the NYSE 1815 to 1925:Performance andPredicitability)将股权溢价研究的时间范围从之前的49年延伸到了160年。Roger Ibboston和Carol Fall的报告《美国市场财富组合:资本市场价值和收益1947-1978)(The UnitedStates Market Wealth Portfolio:Components of Capital Market Values and Retums。1947-1978),把美国的其他证券,商业地产和农业用地都纳入了考察范围,计算了股票对于各类资产的溢价水平。而Roger Ibboston、Laurence Siegel、Kathryn Love的文献“全球财富:美国和外国资本市场价值与回报”(WorldWealth:U.S and Foreign Market Valuesand Returns)把全世界的资产都纳入考察范围,并且比较了美国和其他各国的回报率差异。第3部分阐述中国经济学界对股权溢价的计量研究。在简单回顾中国股权溢价计算的有关文献后,本文采用全部流通股投资收益作为考察对象,估算股权溢价。以1993-2007年的全部A股为样本数据,中国证券A股市场的股权溢价算术平均数是15.29%,几何平均数是4.59%。接着,我们将证券投资回报率研究进行扩展。计算全面参与各类证券投资业务后的收益率情况,其股权溢价水平有显著的上升。算术平均数达到25.46%,几何平均数达剑13.8%。最后,我们把研究范围扩展到债券、基金和房地产市场。并且将股票投资同报率与这些金融资产回报率进行比较,得到更广意义上股权溢价。第4部分将我们在工作实践中对投资者进行的9次问卷调查进行汇总,并总结出从2004年到2007年期间中国证券市场上投资者的风险偏好,市场隐含的风险溢价变动情况。第5部分,我们从隐含股权溢价(Implied Equity Risk Premium)出发,考察股权溢价的变动影响因素。从金融学基础逻辑出发,我们认为,包括宏观经济、企业盈利、市场制度在内的种种因素都将对股权溢价产生重大影响。这个部分我们定量计算了有关宏观变量、企业盈利增长率等变量对股权溢价的影响。还定性分析了人民币升值预期对短期中国证券市场的影响。第6部分,我们阐述了著名的“股权溢价之谜”(Equity Premium Puzzle)。这个由Mehra,Prescott于1985年提出的的理论之谜,触发了现代金融学一个庞大分支。基于广义的投资.消费的跨期效用最大化的微观经济学,用金融行为学的理论,重新解读宏观意义的金融学,并且发展出一系列的行为资产定价模型。我们还讨论了中国的股权溢价之谜,以及人口因素对这个谜团可能的解释。第7部分,我们专门讨论股权分置改革对股权溢价的影响。定量测算其影响度,定性分析其深远意义。更多还原

【Abstract】 Equity Risk Premium,also named as Equity Premium hereinafter,whose abbreviation is ERP,which means the difference of earning ratio between common equity and free-risk securities(i.e.government bonds).John Miller was the first one using the concept of ERP.We can find the expression in his works <Theory of Political Economics> in 1848.Following is how he described a farmer decided to invest on the land:(...he will probably be willing to expand capital on it(for an immediate return) in any manner which afford him a surplus profit,however small,beyond the value of the risk,and the interest which he must pay for the capital if borrowed,or can get for it elsewhere if it is his own)Miller divided the profit into three parts:one was the interest rate of a loan.This can also be named as the opportunity cost of the capital.The part nearly amounted to free-risk interest rate;the second part was price of risks related to the investment.In fact,this is something like equity premium;the third part was surplus profit.To state it in modern finance language,that is "a"——the surplus profit can be got in a wholly competitive market.After Miller,in his article(Risk,Uncertainty and Profit),Kinght reviewed all of the documents before 1920 that discussed about the composition of profit,analyzed the all of the statements of risk,and pointed out the insufficiency of them.None of the documents told us the difference between measurable risk and immeasurable risk.Knight defined the latter as uncertainty and he believed that both risks should be compensated.Moreover, Knight discovered the substance of equity premium——surplus compensation brought by measurable uncertainty.It is obvious that the equity return of long-time invest regressed to the mean value. Taking the US market as an example,and one year as the comparative period,the ERP fluctuation ratio was 20%;if taking ten years as the comparative period,the fluctuation ratio sharply dropped to 6%;if we look into the performance of the main stock markets in the world from 1900 to 2005,we can find the ERP showed great stability during the one-hundred-long period.The significances of ERP research are as followings.1.ERP is the fundamental factor in asset allocation decision.The investors will consider various risk assets,expect profit ratio of free-risk capital and invest risk before the asset allocation decision-making.This is specially important to those long-term investors(like social insurance fund in China). 2.Equity premium is the key factor to the project investment.It is the basic variable of some modern asset-pricing model,like CAPM.3.It decides the stock price.It is must-know variable for security analysts and bankers,because it is necessary to use ERP to estimate the rational PE ratio,to forecast the price when they apply DCF,DDM models.4.Equity premium,especially short-time ERP is changing.Why it changes? The economics research tell us those basic economic variables as population,policy and the growth-way of economy have substantial influence on the transformation of financial market.This thesis is composed of seven chapters.The first chapter is introduction,in which I set forth the origin of ERP and the significance of the research.In the second part,we list the research of econometrics on ERP.From the middle of 19 century,econometricians first notified ERP.Roger Ibboston and Rex Sinquefield published <Stocks,Bonds,Bills and inflation:Year-by-Year Historical Return 1926-1974>. And they set the original standard for calculating ERP.Then,William Goetzmann,Roger Ibbotson and Liang Pang published <A New Historical Database for the NYSE 1815 to 1925:Performance and Predictability>.They expanded the time-span from 46 years to 160 years.Roger Ibboston and Carol Fall published a report named < The United States Market Wealth Portfolio:Components of Capital Market Values and Returns,1947-1978>. They took other U.S.securities,commercial real estate and farm land under survey.They estimated the premium of stock to other assets.Moreover,the article < World Wealth:U.S and Foreign Market Values and Returns > written by Roger Ibboston,Laurence Siegel, Kathryn Love,took the asset all around the world into consideration,and made comparison of the return ratio between the US and other countries.In the third chapter,we recite the quantitative researches of ERP by Chinese economists.After the brief review,we take the investment of all-tradable share as the object to estimate the equity premium.Taking the data from 1993 to 2007 as sample,the arithmetical means of ERP of Chinese A-share market is 15.29%,and geometric mean is 4.59%.Next,we extend the research into all of the security businesses.And we find the ERP has a sharply increase,the arithmetical means rise to 25.46%,and the geometric mean reaches 13.8%.At last,we spread the research scope to bonds,mutual funds and real estate e.t..and compare the return rate of stock with other finance asset,we arrive at a ERP in a broader sense.The fourth chapter is the summarization of nine questionnaire we made in practices, from which we conclude the investors’ risk preference in Chinese stock marker and the changing of implied equity risk premium.In the fifth chapter,we set out from Implied Equity Risk Premium,look into the factors that affect ERP.From the view of finance,we believe factors such as macro economy, industry profit,and market system influence the ERP.In the part,we quantificationally analyze the variables as macro economy and increasing rate of industry profit,and qualitatively explain how the appreciation of RMB affect short-term stock market in China.In the sixth chapter,we state the famous "Equity Premium Puzzle".The Puzzle was put forward by Mehra Prescott in 1985,and it triggered a huge sub-branch.Based on the maximization of trans-period investment-consumption utility,the microeconomics made use of behavior finance theory to re-explain the finance in a macro-way,and developed a serial of behavior capital pricing model.We also discuss the Equity Premium Puzzle in China,and give a possible explanation.In the last chapter,we focus on the effect that none-tradable-share reform have on the ERP,make quantitative analysis on its effect and qualitative analysis on its far-reaching significance.更多还原