关键词: CCAPM,长期风险理论,国际股票市场,价值溢价

Abstract: Value stock portfolio can get higher return than growth stock, namely the value premium puzzle is a widespread phenomenon in the international stock markets. Based on the assumption of economic integration, this paper adopts the world CCAPM theories, such as the classical CCAPM, habit formation, cointegrated long-term risks and stationary long-term risks, to study the value premium in the major developed countries. The empirical results show that the cause for the appearance of value premium lies in the fact that the value style companies are more exposed to the cointegrated long-term risks and time-varying economic fluctuation risks. The cointegrated long-term risk theory can comprehensively take into consideration the short and long term risk exposure of stocks, thus it is better than other models. This can give some enlightenment to China’s stock markets, which have the same value premium and are under the increasingly open economic conditions.

Key words: CCAPM; long-term risks theory; international stock market; value premium