关键词: 选择偏误,股权溢价之谜,无风险利率之谜,H-J方差界,理性偏好

Abstract: The equity premium puzzle and the risk-free rate puzzle have different performance in different markets. Starting from the three choice dimensions, i.e., time frequency, consumption variable and utility preference, this paper systematically explore the performances of the equity premium puzzle and the risk-free rate puzzle in China’s stock market. The findings show that the selection biases of time frequency can generate an abnormal time discount rate and affect the conclusion of the risk-free rate puzzle; while the selection biases of time frequency and consumption variable can easily lead to the over estimate of the risk aversion degree in China’s stock market, affecting the judgement of the equity premium puzzle. Under the HFU preference and GEU preference, there is no equity premium puzzle or risk-free rate puzzle in China. China as a whole is different from the western mature markets, there is no risk-free rate puzzle. Although there exists the equity premium puzzle in terms of basic sense (CRRA preference), the stability is not enough. Therefore, whether the preference of China’s investors can be accurately depicted has become the key to the stable establishment of the equity premium puzzle in China.

Key words: selection bias; puzzle of equity premium; puzzle of risk-free rate; H-J variance bounds; rational preference