| In this paper, with the characteristics of residents and its capital market in China,combining with the current economic situation, the equity premium level research and quantitative analysis, which continues to the healthy development of China’s securities market has an important significance. At home and abroad to share premium and related areas of economic research paper first reviewed and then introduces the general logic of the model and its theoretical share premium measured.Then it analyzes the factors that influence the level of China’s securities market equity premium. Finally, a combination of Chinese historical data empirical research.Research is focused on the premium level of the stock premium, to see if there is equity premium puzzle. Investor sentiment also analyzed the impact of share premium levels.The main conclusions are:(1) To the Shanghai Stock Exchange, for example, using January 1991 to December 2015 monthly data to calculate the share premium of China’s securities market, the average premium was 2.009%. Then larger installments calculated that the premium level of differences. Description share premium have some time-varying characteristics.(2) The premium level compared with the calculation of the monthly data, a high level annual premium calculated data, reached21.8481%. And when calculated using the standard model found its premium level of13.2%, lower than the actual level of premium, indicating that China’s stock premium puzzle phenomenon evident in the stock market. And the high relative aversion, to26.89. Description CCAPM model can not explain the stock market history of the stock premium.(3) After taking into account differences in consumption of urban and rural residents, urban residents use consumption data, calculated using the standard model and the actual more similar. Explain the situation has improved. Also illustrates the structural differences between the consumption of Chinese investors have a significant impact on the stock market.(4) By H-J test can explain variance lower bound, the explanatory power of the standard C-CAPM model in China securities market equity risk premium is limited, that is not well portray the actual situation of China’s securities market stock premium.(5) After the introduction of investor sentiment indicators, such as stock market turnover, popularity index AR, BR wishes index and other indicators, through regression analysis, the impact of turnover and AR of share premium is significant, and can in certain our interpretation of the equity premium level degree. |
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