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| Social Change, Risk Aversion and the Equity Premium Puzzle: Evidence from Modern and Contemporary China |
| ZHOU Xiangyi, YANG Guangming, KONG Dongmin
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Jinhe Center for Economic Research, Xi’an Jiaotong University;
School of Finance, Zhongnan University of Economics and Law |
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Abstract Based on the data of Chinese stock market, household consumption, GDP per capita, price index and interest rate for about 100 years, we test if “The Equity Premium Puzzle” exists in modern and contemporary China. It is found that the risk aversion coefficients for modern investors from 1888-1938 are within the reasonable levels. But the risk aversion coefficients for modern investors from 1939-1947 and contemporary investors are above the reasonable levels, indicating the “The Equity Premium Puzzle” exists in these periods.Moreover, the risk aversion coefficient for modern investors from 1939-1947 is much higher than that for contemporary investors. It reveals that the war and hyperinflation in 1939-1947 stimulate the “Background Risk” for stock investment, leading to significantly higher risk aversion coefficients and the equity premium.
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Received: 31 October 2014
Published: 19 April 2018
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