本文關(guān)鍵詞：基于BAPM估測中國行業(yè)經(jīng)營貝塔的研究　出處：《華南理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 經(jīng)營貝塔 行業(yè)經(jīng)營貝塔 行為資本資產(chǎn)定價(jià)模型

【摘要】：行業(yè)經(jīng)營貝塔是度量一個(gè)行業(yè)經(jīng)營系統(tǒng)風(fēng)險(xiǎn)的重要指標(biāo)，反映在該行業(yè)從事經(jīng)營活動所承擔(dān)的系統(tǒng)風(fēng)險(xiǎn)；同時(shí)，它也是決定行業(yè)資本成本的重要參數(shù)，行業(yè)資本成本對于國有企業(yè)業(yè)績考核、項(xiàng)目資本成本的確定、非上市公司資本成本的確定都有著重要的參考意義。傳統(tǒng)的行業(yè)經(jīng)營貝塔估測是在資本資產(chǎn)定價(jià)模型的理論框架下進(jìn)行的，該模型以“資本市場有效”為假設(shè)前提，但現(xiàn)實(shí)市場和新興的行為金融理論均表明：資本市場并非有效，因此，利用傳統(tǒng)方法估測得到的行業(yè)經(jīng)營貝塔并不符合現(xiàn)實(shí)情況。 本文首先剖析傳統(tǒng)的行業(yè)經(jīng)營貝塔估測方法的理論缺陷，并將行為資本資產(chǎn)定價(jià)模型（BehavioralAsset Pricing Model，簡稱BAPM）引入到傳統(tǒng)的行業(yè)經(jīng)營貝塔估測過程之中，形成以BAPM為理論框架的估測方法；然后針對BAPM中動量組合的參數(shù)選擇問題，構(gòu)建了18種不同的參數(shù)方案，并對這些方案進(jìn)行實(shí)證比較，以模型的調(diào)整可決系數(shù)為決策標(biāo)準(zhǔn)選取最優(yōu)的參數(shù)方案；接著針對滬深A(yù)股1303家行業(yè)樣本公司，從聚源數(shù)據(jù)庫導(dǎo)出2008年1月1日至2012年12月31日樣本公司股票月收盤價(jià)數(shù)據(jù)和財(cái)務(wù)數(shù)據(jù)，利用改進(jìn)后的行業(yè)經(jīng)營貝塔估測方法估測得到中國22個(gè)行業(yè)的經(jīng)營貝塔；最后對估測結(jié)果進(jìn)行比較與分析。 在實(shí)證檢驗(yàn)動量組合的參數(shù)方案時(shí)發(fā)現(xiàn)，，以“噪聲500、五年、月收益率”這一方案來構(gòu)建動量組合能夠使BAPM的擬合效果達(dá)到最好�；贐APM估測得到中國22個(gè)行業(yè)的經(jīng)營貝塔，其分布區(qū)間為[0.38，0.68]，遠(yuǎn)小于自然數(shù)1，這是因?yàn)榻?jīng)營貝塔與股票貝塔不同，股票貝塔具有趨1性（即在自然數(shù)1附近上下波動），而經(jīng)營貝塔是在股票貝塔的基礎(chǔ)上剔除了噪聲交易者風(fēng)險(xiǎn)和財(cái)務(wù)杠桿的影響，因此估測得到的行業(yè)經(jīng)營貝塔均小于1。在對行業(yè)經(jīng)營貝塔比較與分析時(shí)發(fā)現(xiàn)：（1）在顯著性水平0.05下，行業(yè)間經(jīng)營貝塔存在顯著差異，表明不同行業(yè)面臨的經(jīng)營系統(tǒng)風(fēng)險(xiǎn)大小不同；（2）在顯著性水平0.01下，利用改進(jìn)后的方法估測的中國行業(yè)經(jīng)營貝塔顯著地小于利用傳統(tǒng)估測方法估測得到的行業(yè)經(jīng)營貝塔，表明改進(jìn)后的方法剔除了噪聲交易者風(fēng)險(xiǎn)的影響，估測結(jié)果更加符合現(xiàn)實(shí)情況；（3）中國22個(gè)行業(yè)普遍受到噪聲交易者風(fēng)險(xiǎn)的影響，受影響最大的行業(yè)為金融服務(wù)業(yè)，受影響最小的行業(yè)為醫(yī)藥衛(wèi)生行業(yè)。
[Abstract]:Beta is an important index to measure the system risk of an industry, which is reflected in the system risk that the industry is engaged in. At the same time, it is also an important parameter to determine the industry capital cost, the industry capital cost for state-owned enterprises performance evaluation, the determination of project capital cost. The determination of capital cost of non-listed companies has important reference significance. The traditional beta estimation of industry management is carried out under the theoretical framework of capital asset pricing model. The model is based on the hypothesis of "capital market efficiency", but the real market and the emerging behavioral finance theory both show that the capital market is not effective, therefore. Using the traditional method to estimate the industry management beta is not in line with the reality. Firstly, this paper analyzes the theoretical defects of the traditional beta estimation method, and puts the behavioral capital asset pricing model into Behavioral Asset Pricing Model. BAPM) is introduced into the traditional industry management beta estimation process to form a theoretical framework based on BAPM estimation method; Then, for the parameter selection of momentum combination in BAPM, 18 different parameter schemes are constructed, and these schemes are compared empirically. The optimal parameter scheme is selected according to the decision criterion of the model. Then for the Shanghai and Shenzhen A shares 1303 industry sample companies, from the source database to export the sample companies from January 1st 2008 to December 31st 2012 monthly closing stock price data and financial data. Using the improved industry management beta estimation method to estimate 22 industries in China; Finally, the estimation results are compared and analyzed. In the empirical test of the momentum combination of the parameter scheme found to "noise 500, five years." The method of monthly rate of return "to construct momentum combination can achieve the best fitting effect of BAPM. Based on BAPM estimation, the operating beta of 22 industries in China is obtained, and the distribution range is as follows." [0.38 / 0.68, which is far less than the natural number 1, because the operating beta is different from the stock beta, and the stock beta has a tendency to 1 (that is, fluctuate up and down near the natural number 1). The management of beta is based on the stock beta excluding the impact of noise trader risk and financial leverage. Therefore, the estimation of the industry management beta is less than 1.When comparing and analyzing the industry management beta, we find that there is significant difference between the industry management beta at the significant level of 0.05. It shows that the risk of management system is different in different industries. (2) at the significant level of 0.01, the Chinese industry management beta estimated by the improved method is significantly lower than that obtained by the traditional estimation method. The results show that the improved method eliminates the influence of noise traders' risk, and the estimation results are more in line with the actual situation. In China, 22 industries are generally affected by the risk of noise traders. The most affected industries are financial services, and the least affected are medical and health industries.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F275;F832.51;F203

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