[论文解读] Exact Value Solution to the Equity Premium Puzzle

Atilla Aras|arXiv (Cornell University)|Feb 12, 2026

Financial Reporting and Valuation Research被引用 0

一句话总结

该论文通过从四个方程中推导出四个模型参数，得到时间折现因子为0.9581、CRRA为1.0319，从而给出对冲击溢价难题的精确解，并显示CCAPM在不进行参数标定的情况下也可工作。

ABSTRACT

This article's aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3 different equations. Furthermore, calculated values and risk behavior determination of my prior models were compatible with empirical literature. 4 unknown variables are now calculated from 4 different equations in the new derived model in this article. Subjective time discount factor and coefficient of relative risk aversion are found 0.9581 and 1.0319, respectively from the system of equations which are compatible with empirical studies. Micro and macro studies about CRRA value affirm each other for the first time in the literature. Furthermore, equity and risk-free asset investors are pinned down to be insufficient risk-loving, which can be considered a type of risk-averse behavior. Hence it can be said that calculated values and risk attitude determination align with empirical literature. This shows that derived model is valid and make CCAPM work without calibration.

研究动机与目标

• 在不依赖标定参数的情况下，激励解决对冲击溢价难题。
• 用四个独立的方程求解四个未知量，以确保内部一致性。
• 证明所得的风险态度与经验文献相符。
• 表明CCAPM在不标定的情况下也可工作。

提出的方法

• 设定四个方程以确定四个未知参数。
• 解出主观时间折现因子和相对风险厌恶（CRRA）分别为0.9581和1.0319。
• 证明微观和宏观CRRA值与经验研究的一致性。
• 分析风险态度，得出投资者并非单纯的风险偏好者，而在总体上表现出风险规避行为。

实验结果

研究问题

• RQ1 在不进行标定参数的情况下，是否可以解决对冲击溢价难题？
• RQ2 满足模型四个方程的时间折现因子和CRRA的严格数值是什么？
• RQ3 所推导的数值是否与关于CRRA和风险行为的经验文献一致？
• RQ4 在新的四方程解下，CCAPM是否在不标定的情况下成立？

主要发现

• 新模型中四个方程确定了四个未知量。
• 主观时间折现因子=0.9581；CRRA=1.0319。
• 微观与宏观CRRA值在文献中首次互相印证。
• 股权投资者与无风险资产投资者被描述为风险偏好不足，表明模型中存在某种形式的风险规避行为。
• 所推导的模型在不需要标定的情况下验证了CCAPM。