股權溢價之謎文獻探討與評析

A Literature Review on the Equity Premium Puzzle

許惠珠(Hui-Chu Shu) ； 胡惟喻(Wei-Yu Hu)

《中華技術學院學報》 39期 (2008/12) Pp. 153-166

https://doi.org/10.7095/JCIT.200812.0153

摘要

Mehra and Prescott (1985)提出股權溢價之謎(equity premium puzzle)，指出股票報酬與債券報酬之間的差距無法透過消費基礎資本資產定價模型(CCAPM)得到合理解釋。自此，如何解開股權溢價之謎成為財務金融領域探討的重要課題，並帶動資產定價理論的蓬勃發展。本文對過去的相關文獻進行分析與探討，以作為將來進一步理論發展的基礎，並指出未來可行的努力方向。

關鍵字

股權溢價之謎 ； 消費基礎資本資產定價模型 ； 行為資產定價理論

並列摘要

Mehra and Prescott (1985) proposed the ”equity premium puzzle” which referred to the empirical fact that the magnitude of historical U.S. equity premium (the stock return in excess of bond return) was greater than can be rationalized by CCAPM model. From then on, how to solve the puzzle has become a hot topic in financial area, and numerous asset pricing theories have been developed to explain the puzzle away. This paper reviews related literature, comments on the various attempts to solve the puzzle, and points out feasible ways for advanced research.

並列關鍵字

equity premium puzzle ； consumption-based capital asset pricing model CCAPM ； behavior asset pricing theory