An Empirical Investigation Of The Equity Premium On The Chinese Security Market

After the reform of non-tradable shares,the security market in our country turns into a period of rapid development. The market expansion attracts more and more investors to participate in the market, but in the other hand it also brings huge short-term risk. Correctly to measure the value of the security market, exactly to determine the equity premium have great significance on the stability of the security market for long-term development and guiding the investors to rational investment.This text is based on the Consumption-based CAPM. On the basis of a deep analysis of the financial market and the asset pricing theory, the difference of consume structure will be led into the asset pricing model. The study of the equity premium is completed through the dates of security market, the bond market as well as the people's consumption in different regions in our country, the main purpose of which is: to reveal how the difference of consume structure, affect asset pricing theory and on this basis the equity premium on the Chinese security market, so as to reflect the Chinese people's consumption, investment and other economic behaviours. The conclusion of the study shows that: with the standard calibration model, the equity premium level on the Chinese security market is 14.163%. Considering whether the stockholding can impact consume behavior, with per capita consumption growth rate of urban residents, the equity premium level on the security market is 8.247%.And with difference of consume structure model, the equity premium level on the Chinese securities market is 7.8362%, in comparison with standard calibration model the premium level decrease, which means the difference of consume structure influents the equity premium.