تحلیل معمای صرف سهام و بررسی مشکلات تخمین ضریب ریسک‌گریزی در بازار سهام تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشیار دانشگاه سمنان-گکروه اقتصاد

2 دانشگاه سمنان

چکیده

مدلهای استاندارد بر اساس مصرف در قیمت­گذاری بازده­های دارایی موفق ظاهر نشده­اند. در مقاله ای مشهور، مهرا و پرسکات (1985)، با استفاده از مدل مصرف استاندارد، وجود معمای صرف سهام را اثبات کردند. ادبیات اقتصاد مالی تا کنون در تلاش فراهم نمودن راه­حلی قانع­کننده برای این معمای مشهور بوده است. در مقابل این ادبیات که بصورت عمده به ایالت متحده اختصاص دارد، مطالعه حاضر بسادگی این معما را در چارچوب مدل مهرا (2003) برای بازار سهام تهران و دوره زمانی 1371-1393 بصورت فصلی انعکاس می­دهد. از یک سو برآوردهای حاصل از مدل، وجود معما را در بازار سهام تهران تأیید می­کند و منجر به برآوردی جدید و عجیب از ضریب ریسک گریز نسبی در بازار سهام تهران می­شود. از سویی دیگر ادعا شده است، فرضهای اصلی مدل مصرف، انتخاب دارایی بدون ریسک و محدودیت تعداد داده­ها موانعی در استحکام برآورد ضریب ریسک­گریز نسبی ثابت در بازار سهام تهران است. 

کلیدواژه‌ها

عنوان مقاله [English]

Analysis of Equity Premium Puzzle and study of Pitfalls in Estimating the Coefficient of Relative Risk Aversion in Tehran Stock Exchange

چکیده [English]

Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of equity premium puzzle. It has being tried to find an appropriate solution to the well known puzzle in Financial economy literature. In contrast to this literature, which mainly focuses on the United States data, this study is simply intended to examine the existence of the puzzle based on Mehra framework (2003) in Tehran Stock Exchange and the period of 1992-2014. the estimations derived from Model confirm that the puzzle exist and it leads to the new and odd result of relative risk aversion coefficient in Tehran stock market. On the other side, we claim that the key consumption model assumptions, the choice of a proper riskless asset and the lack of data, generate obstacles in finding robustness in the estimations of the CRRA coefficients, in Tehran stock market.

کلیدواژه‌ها [English]

  • CCAPM
  • Equity premium
  • puzzle
  • Tehran

مراجع

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