本文選題：系統(tǒng)風(fēng)險(xiǎn) + beta系數(shù)�。� 參考：《浙江財(cái)經(jīng)學(xué)院》2013年碩士論文

【摘要】：本文首先選取創(chuàng)業(yè)板第一年上市的36只股票作為研究樣本,由于創(chuàng)業(yè)板推出時(shí)間不長,為了增大樣本我們選取日收益率為因變量,以創(chuàng)業(yè)板指數(shù)作為自變量,從2010年9月到2012年6月為時(shí)間段,在CAPM和市場(chǎng)模型進(jìn)行比較之后,我們選取市場(chǎng)模型,進(jìn)行估計(jì)beta系數(shù)。在估計(jì)beta系數(shù)時(shí),我們估算出季度beta系數(shù),在估計(jì)的beta系數(shù)中,我們可以看到beta系數(shù)基本上都是比較符合實(shí)際情形的,最大的只有1.222,最小的只有0.75,基本分布在1的附近,且預(yù)測(cè)的創(chuàng)業(yè)板的beta系數(shù)也只有1.02175。 然后,我們研究了beta系數(shù)的差異性,β系數(shù)的差異性研究就是對(duì)β系數(shù)產(chǎn)生差異的原因進(jìn)行分析,找出影響的因素。前人的研究中,把影響因素分為三類：行業(yè)因素、宏觀因素和公司的微觀因素,本文主要是研究公司微觀因素對(duì)beta系數(shù)的影響,即會(huì)計(jì)指標(biāo)對(duì)beta系數(shù)的作用。在選取會(huì)計(jì)變量時(shí),我們選取12個(gè)變量,對(duì)beta系數(shù)和12個(gè)變量之間進(jìn)行回歸分析,根據(jù)結(jié)果進(jìn)行分析變量對(duì)beta系數(shù)的影響。 由結(jié)果可以看出：在多元線性回歸分析中,在10%的顯著性水平上,有.7個(gè)變量對(duì)beta系數(shù)的影響是顯著的,并且在估計(jì)出的系數(shù)中,有6個(gè)指標(biāo)對(duì)beta系數(shù)有正向作用,有6個(gè)指標(biāo)具有負(fù)的作用系數(shù)。 作為本文的創(chuàng)新之處,首先運(yùn)用市場(chǎng)模型對(duì)beta系數(shù)進(jìn)行估計(jì)時(shí),閱讀材料中作者發(fā)現(xiàn)在自變量的選取中,國內(nèi)的研究中主要是用上證指數(shù)、深證指數(shù)或者是兩者取平均數(shù),在筆者的閱讀過程中沒有發(fā)現(xiàn)用創(chuàng)業(yè)板指數(shù)的,因此,筆者試探性的引入創(chuàng)業(yè)板指數(shù)作為市場(chǎng)模型的自變量,所以是本文的第一個(gè)創(chuàng)新點(diǎn)； 其次,在會(huì)計(jì)變量的選取中,筆者結(jié)合前人的研究,先選取了10個(gè)會(huì)計(jì)變量,分別代表公司的盈利能力等8個(gè)方面,然后,加入了前人沒有涉及的指標(biāo)：所有者權(quán)益比率和利潤總額增長率,可以說是本文的第二個(gè)創(chuàng)新點(diǎn)。并且在實(shí)證結(jié)論中我們看到,所有者權(quán)益比率對(duì)beta系數(shù)具有顯著的影響。 由于創(chuàng)業(yè)板的上市時(shí)間不是很長,前人對(duì)創(chuàng)業(yè)板的研究主要是關(guān)于政策建議的方面,而對(duì)于創(chuàng)業(yè)板的實(shí)證研究還是很少的,尤其是對(duì)創(chuàng)業(yè)板市場(chǎng)系統(tǒng)風(fēng)險(xiǎn)的研究。因此,本文通過對(duì)beta系數(shù)的估計(jì)及影響因素的分析對(duì)創(chuàng)業(yè)板進(jìn)行研究,可以說是對(duì)這一理論空白的填補(bǔ),具有很強(qiáng)的理論意義和使用價(jià)值。對(duì)投資者和公司都有很強(qiáng)的借鑒意義。
[Abstract]:In this paper, 36 stocks listed in the first year of the gem are selected as the research sample. Because the gem is not introduced for a long time, in order to increase the sample, we select the daily yield as the dependent variable, and take the gem index as the independent variable. From September 2010 to June 2012, after comparing CAPM with market model, we select market model to estimate beta coefficient. When we estimate the beta coefficient, we estimate the quarterly beta coefficient. In the estimated beta coefficient, we can see that the beta coefficient is basically in line with the actual situation, the maximum is only 1.222, the smallest is only 0.75, and the basic distribution is near 1. The predicted beta coefficient of gem is only 1.02175. Then, we study the difference of beta coefficient, and the difference of 尾 coefficient is to analyze the reason of the difference of 尾 coefficient and find out the influencing factors. In previous studies, the influencing factors are divided into three categories: industry factors, macro factors and micro factors of the company. This paper mainly studies the influence of the company micro factors on the beta coefficient, that is, the effect of accounting index on the beta coefficient. In the selection of accounting variables, we select 12 variables, the beta coefficient and 12 variables between the regression analysis, according to the results of the analysis of variables on the impact of beta coefficient. It can be seen from the results that in the multivariate linear regression analysis, there are seven variables that have a significant effect on the beta coefficient at a significant level of 10%, and 6 of the estimated coefficients have a positive effect on the beta coefficient. There are six indexes with negative coefficient of action. As the innovation of this paper, when using the market model to estimate the beta coefficient, the author finds that in the selection of independent variables, the domestic research mainly uses Shanghai Stock Exchange Index, Shenzhen Stock Exchange Index or both to take the average. In the process of reading, I did not find the gem index, therefore, the author tentatively introduced the gem index as the independent variable of the market model, so it is the first innovation point of this paper; Secondly, in the selection of accounting variables, the author first selects 10 accounting variables, representing the profitability of the company and other 8 aspects, combined with previous studies, and then, It is the second innovation point of this paper to add the index of owner's equity ratio and total profit growth rate which has not been mentioned before. And in the empirical conclusion, we find that the owner's equity ratio has a significant impact on the beta coefficient. Because the time of gem listing is not very long, the previous research on gem is mainly about policy recommendations, but the empirical research on gem is still few, especially the research on gem market system risk. Therefore, through the estimation of the beta coefficient and the analysis of the influencing factors, this paper studies the gem, which can be said to be the filling of this theoretical gap, which has a strong theoretical significance and use value. Investors and companies have a strong reference significance.
【學(xué)位授予單位】：浙江財(cái)經(jīng)學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1896769