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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/4136


    Title: 台灣股票市場的權益溢酬(1/2)
    Authors: 周行一
    Date: 2003
    Issue Date: 2007-04-18 16:41:48 (UTC+8)
    Publisher: 臺北市:國立政治大學財務管理學系
    Abstract: With the assumption that the expected-utility maximizing investors with standard additively separable state preferences and constant relative risk aversion (CRRA), standard financial economic theory predicts the level of risk premium a risky asset would offer. Locus (1978) and Breeden (1979) examine equilibrium stochastic pattern of a risky asset`s return in a pure single-good exchange economy. With homogeneous belief and CRRA, each individual maximizes his intertemporal expected utility of consumption by acquiring the claim of a risky asset that implies the risk level he can afford. In the famous consumption-based CAPM model (CCAPM model), the covariance of the return on the risky asset with the per capita consumption measures the risk of this risky asset. Using the covariance, one can get a theoretically expected risk premium based on the relation similar to that of CAPM. Based on a standard equilibrium model, with individuals maximizing an additively separable CRRA utility function, Mehra and Prescott (1985) calculate the coefficient of relative risk aversion needed to justify the US historical equity risk premium and conclude that it is too high to be reasonable. It took Mehra and Prescott almost six years to convince a skeptical profession for their paper (1985) to be published and attended by financial economists. Table 1 shows the estimates of Mehra (2002) on the long-term real rate of return of the US stock market, yields of a relatively riskless asset, and the risk premium derived from the two estimates. From 1889-1978, a period that does not include the recent bull period, the annual real rate of return on equities was about 7%. For the 1889-2000 period, the annual rate of return was 7.9 %. The standard deviation of annual rate of return was about 20%. In addition, as Table 2 shows, other countries have similar returns. The US T-bills have returned about 1% with a 4% standard deviation.
    Description: 核定金額:615900元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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