基于會(huì)計(jì)信息估測(cè)我國(guó)房地產(chǎn)行業(yè)經(jīng)營(yíng)β系數(shù)的研究
發(fā)布時(shí)間：2018-10-29 14:05
【摘要】：正確作出項(xiàng)目投資決策，需要計(jì)算項(xiàng)目的評(píng)價(jià)指標(biāo)。大部分評(píng)價(jià)指標(biāo)的計(jì)算均要用到項(xiàng)目的貼現(xiàn)率，即項(xiàng)目的資本成本。估計(jì)資本成本最常用的方法是利用資本資產(chǎn)定價(jià)模型，該模型的利用需要確定投資項(xiàng)目的系統(tǒng)風(fēng)險(xiǎn)，這需要比照可比公司的經(jīng)營(yíng)活動(dòng)的系統(tǒng)風(fēng)險(xiǎn)予以確定。此處可比公司經(jīng)營(yíng)活動(dòng)的系統(tǒng)風(fēng)險(xiǎn)，即本文所研究的經(jīng)營(yíng)貝塔（Beta，β）系數(shù)。 經(jīng)營(yíng)β系數(shù)是指經(jīng)營(yíng)活動(dòng)收益率與市場(chǎng)組合收益率之間的相關(guān)性，用以衡量經(jīng)營(yíng)活動(dòng)的系統(tǒng)風(fēng)險(xiǎn)。目前關(guān)于估測(cè)經(jīng)營(yíng)β系數(shù)的方法主要分為兩大類，第一是基于證券市場(chǎng)信息估測(cè)經(jīng)營(yíng)β的方法，第二則是基于會(huì)計(jì)信息估測(cè)經(jīng)營(yíng)β的方法（本文稱之為“會(huì)計(jì)β值法”）。 第一種估測(cè)方法主要是利用證券市場(chǎng)上公開的歷史數(shù)據(jù)，首先估測(cè)公司的股票β，然后通過投資項(xiàng)目系統(tǒng)風(fēng)險(xiǎn)與股票系統(tǒng)風(fēng)險(xiǎn)的關(guān)系進(jìn)行轉(zhuǎn)換而得。但是這樣應(yīng)用的一個(gè)重要前提是證券市場(chǎng)是一個(gè)有效市場(chǎng)，無論是國(guó)外的證券市場(chǎng)還是國(guó)內(nèi)的證券市場(chǎng)，都無法達(dá)到有效市場(chǎng)的狀態(tài)，因此，利用此方法得出的經(jīng)營(yíng)β實(shí)際上是不準(zhǔn)確的。 本文所研究的第二種估測(cè)方法則基于會(huì)計(jì)信息，用公司會(huì)計(jì)數(shù)據(jù)收益率取代股票的收益率，利用單一指數(shù)模型，將市場(chǎng)組合收益率與公司會(huì)計(jì)數(shù)據(jù)收益率進(jìn)行回歸，回歸所得的斜率即為公司的經(jīng)營(yíng)β系數(shù)值。相對(duì)于第一種估測(cè)方法而言，此方法能很好地避免了噪聲交易的影響，，而且隨著會(huì)計(jì)工作的不斷推進(jìn)，目前對(duì)于會(huì)計(jì)指數(shù)的研究也越來越深入和全面，本文研究的會(huì)計(jì)β值法也正順應(yīng)了會(huì)計(jì)指數(shù)研究的潮流。 根據(jù)國(guó)內(nèi)外學(xué)者的已有研究，本文歸納總結(jié)出應(yīng)用會(huì)計(jì)β值法的一般步驟：○1選取模型的主要參數(shù)，○2選取行業(yè)樣本公司，○3計(jì)算市場(chǎng)收益率，○4計(jì)算會(huì)計(jì)數(shù)據(jù)收益率，○5計(jì)算各樣本公司經(jīng)營(yíng)β系數(shù)，○6計(jì)算行業(yè)經(jīng)營(yíng)β系數(shù)。 在此基礎(chǔ)上，本文估測(cè)了我國(guó)房地產(chǎn)行業(yè)的經(jīng)營(yíng)β系數(shù)并詳細(xì)描述了估測(cè)的具體過程和步驟。在模型參數(shù)選取方面，本文選取了季度為收益率的計(jì)算周期，2002年9月30日至2012年9月30日共10年為回歸時(shí)間段，上證綜指以及深證綜指為市場(chǎng)收益率代表，投入資本報(bào)酬率為會(huì)計(jì)數(shù)據(jù)收益率代表；在樣本公司選取方面，本文根據(jù)了樣本篩選的四個(gè)條件：首發(fā)上市日期、經(jīng)營(yíng)業(yè)務(wù)以及營(yíng)業(yè)成本構(gòu)成、數(shù)據(jù)是否齊全，從126家行業(yè)樣本公司中篩選出22家上市公司作為最終樣本；在確定計(jì)量參數(shù)以及22家樣本公司后，本文根據(jù)2002年9月30日至2012年9月30日每季度的上證綜指、深證綜指以及22家樣本公司調(diào)整后的管理用財(cái)務(wù)報(bào)表計(jì)算得出10年回歸時(shí)間段內(nèi)每季度的市場(chǎng)收益率以及22家樣本公司的ROIC增長(zhǎng)率；并根據(jù)單一指數(shù)模型，將市場(chǎng)收益率以及ROIC增長(zhǎng)率予以回歸，計(jì)算得出22家樣本公司的經(jīng)營(yíng)β系數(shù)，并得到20家有效樣本；最后通過均值模型對(duì)各樣本公司的經(jīng)營(yíng)β系數(shù)進(jìn)行平均后得出我國(guó)房地產(chǎn)行業(yè)的經(jīng)營(yíng)β系數(shù)約為1.4728。 本文還運(yùn)用了基于證券市場(chǎng)信息估測(cè)經(jīng)營(yíng)β的方法對(duì)我國(guó)房地產(chǎn)行業(yè)的經(jīng)營(yíng)β進(jìn)行估測(cè)，收益率的計(jì)算周期、回歸時(shí)間段、市場(chǎng)組合收益率代表以及樣本公司均與會(huì)計(jì)β值法的一致，此方法估測(cè)得出的經(jīng)營(yíng)β系數(shù)為0.9705。房地產(chǎn)行業(yè)屬于系統(tǒng)風(fēng)險(xiǎn)較大的行業(yè)，其估測(cè)得出的經(jīng)營(yíng)β系數(shù)理應(yīng)大于1，因此認(rèn)為利用會(huì)計(jì)β值法估測(cè)的結(jié)果更合理地反映了真實(shí)情況。 本文基于會(huì)計(jì)信息估測(cè)得出我國(guó)房地產(chǎn)行業(yè)經(jīng)營(yíng)β系數(shù)為1.4728后，根據(jù)資本資產(chǎn)定價(jià)模型，估算得出我國(guó)房地產(chǎn)行業(yè)的資本成本為18.52%，應(yīng)用于項(xiàng)目投資決策。
[Abstract]:To make the project investment decision correctly, the evaluation index of the project needs to be calculated. Most of the evaluation indicators are calculated using the discount rate of the project, i.e. the capital cost of the project. The most common way to estimate capital cost is to use the capital asset pricing model, which uses the need to determine the system risk of the investment project, which needs to be determined by comparing the system risk of the operating activities of comparable companies. This is comparable to the system risk of the Company's operating activities, i.e. the rate of operations (Beta, XIX) studied herein. Operating profit coefficient refers to the correlation between the rate of return of business activity and the yield of market portfolio, which is used to measure the department of business activities. At present, there are two main categories: the first is the method based on the stock market information estimation and management method, and the second is the method based on the accounting information estimation and management method (this paper is called "method of value method of accounting" ). The first estimation method is mainly to utilize the historical data disclosed in the securities market, first estimate the stock price of the company, and then pass the risk of the investment project system and the risk of the stock system. However, an important prerequisite for such application is that the securities market is an effective market, whether foreign securities market or domestic securities market can not reach the state of the effective market. Therefore, it can be obtained by using this method. The second estimation method studied in this paper is based on the accounting information, replaces the yield of the stock with the company's accounting data rate of return, uses the single index model to combine the market portfolio rate of return with the company. The rate of return of the accounting data is returned and the slope obtained is returned to the obtained slope. Compared with the first estimation method, the method can well avoid the influence of noise trading, The research is becoming more and more thorough and comprehensive, and the value method of accounting value in this paper is also positive. According to the existing research of scholars at home and abroad, this paper sums up the general steps of applying the value method of accounting index: the main parameters of selecting model, selecting the industry sample company, and calculating the market by 3. 3. The rate of return, table 4 calculates the accounting data rate of return, and table 5 calculates the operation of each sample company. Based on this, this paper estimates the operation of real estate industry in China. In terms of model parameter selection, this paper selects the calculation period of quarterly profit rate, from September 30, 2002 to September 30, 2012, 10 years as return period, Shanghai Composite Index and Shenzhen Composite Index as the market rate of return. Table, invested capital turnover rate is represented by the accounting data rate of return; in the selection of sample companies, this paper based on the four conditions of sample screening: the initial listing date, the operating business and the operating cost, whether the data is complete, and from 126 industry samples. 22 listed companies were screened as final samples in the Company; after determining the metering parameters and 22 sample companies, this article is based on September 30, 2002 By September 30, 2012, the Shanghai Composite Index, Shenzhen Composite Index and 22 sample companies adjusted their management financial statements to calculate the quarterly market rate of return for the 10-year return period and the ROIC growth rate of 22 sample companies; and according to a single exponential model, Return the market rate of return and ROIC growth rate, calculate the operating depreciation coefficient of 22 sample companies, and get 20 valid samples; finally, the average value model will be used to average the operating depreciation coefficient of each sample company. In this paper, we estimate the operating income of real estate industry in China based on the information of stock market, calculate cycle, return period and market of the real estate industry. Combination Rate of Return and Sample Company's Equal Value Method with Accounting In accordance with the agreement, the estimated operating depreciation coefficient is 0. 9705. The real estate industry belongs to the industry with larger system risk, and the estimated operating depreciation coefficient should be greater than 1, so it is considered that Based on the estimation of accounting information, the paper estimates that China's real estate industry's operating depreciation coefficient is 1. 4728, and according to the pricing model of capital assets, it is estimated that our country
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F275;F299.233.4
本文編號(hào)：2297904
[Abstract]:To make the project investment decision correctly, the evaluation index of the project needs to be calculated. Most of the evaluation indicators are calculated using the discount rate of the project, i.e. the capital cost of the project. The most common way to estimate capital cost is to use the capital asset pricing model, which uses the need to determine the system risk of the investment project, which needs to be determined by comparing the system risk of the operating activities of comparable companies. This is comparable to the system risk of the Company's operating activities, i.e. the rate of operations (Beta, XIX) studied herein. Operating profit coefficient refers to the correlation between the rate of return of business activity and the yield of market portfolio, which is used to measure the department of business activities. At present, there are two main categories: the first is the method based on the stock market information estimation and management method, and the second is the method based on the accounting information estimation and management method (this paper is called "method of value method of accounting" ). The first estimation method is mainly to utilize the historical data disclosed in the securities market, first estimate the stock price of the company, and then pass the risk of the investment project system and the risk of the stock system. However, an important prerequisite for such application is that the securities market is an effective market, whether foreign securities market or domestic securities market can not reach the state of the effective market. Therefore, it can be obtained by using this method. The second estimation method studied in this paper is based on the accounting information, replaces the yield of the stock with the company's accounting data rate of return, uses the single index model to combine the market portfolio rate of return with the company. The rate of return of the accounting data is returned and the slope obtained is returned to the obtained slope. Compared with the first estimation method, the method can well avoid the influence of noise trading, The research is becoming more and more thorough and comprehensive, and the value method of accounting value in this paper is also positive. According to the existing research of scholars at home and abroad, this paper sums up the general steps of applying the value method of accounting index: the main parameters of selecting model, selecting the industry sample company, and calculating the market by 3. 3. The rate of return, table 4 calculates the accounting data rate of return, and table 5 calculates the operation of each sample company. Based on this, this paper estimates the operation of real estate industry in China. In terms of model parameter selection, this paper selects the calculation period of quarterly profit rate, from September 30, 2002 to September 30, 2012, 10 years as return period, Shanghai Composite Index and Shenzhen Composite Index as the market rate of return. Table, invested capital turnover rate is represented by the accounting data rate of return; in the selection of sample companies, this paper based on the four conditions of sample screening: the initial listing date, the operating business and the operating cost, whether the data is complete, and from 126 industry samples. 22 listed companies were screened as final samples in the Company; after determining the metering parameters and 22 sample companies, this article is based on September 30, 2002 By September 30, 2012, the Shanghai Composite Index, Shenzhen Composite Index and 22 sample companies adjusted their management financial statements to calculate the quarterly market rate of return for the 10-year return period and the ROIC growth rate of 22 sample companies; and according to a single exponential model, Return the market rate of return and ROIC growth rate, calculate the operating depreciation coefficient of 22 sample companies, and get 20 valid samples; finally, the average value model will be used to average the operating depreciation coefficient of each sample company. In this paper, we estimate the operating income of real estate industry in China based on the information of stock market, calculate cycle, return period and market of the real estate industry. Combination Rate of Return and Sample Company's Equal Value Method with Accounting In accordance with the agreement, the estimated operating depreciation coefficient is 0. 9705. The real estate industry belongs to the industry with larger system risk, and the estimated operating depreciation coefficient should be greater than 1, so it is considered that Based on the estimation of accounting information, the paper estimates that China's real estate industry's operating depreciation coefficient is 1. 4728, and according to the pricing model of capital assets, it is estimated that our country
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F275;F299.233.4
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