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  本文選題：資本資產(chǎn)定價模型 + DCC-GARCH�。� 參考：《天津大學(xué)》2014年碩士論文

【摘要】：在中國股票市場的系統(tǒng)風(fēng)險所占比例仍居高不下的情況下，，研究用于代表系統(tǒng)風(fēng)險的貝塔系數(shù)的特征勢在必行。到目前為止，國內(nèi)學(xué)者在這一領(lǐng)域已經(jīng)進(jìn)行了一定的研究，取得了一定的理論成果。但通過對國內(nèi)外研究的分析發(fā)現(xiàn)，雖然已有一部分國內(nèi)學(xué)者將計量經(jīng)濟學(xué)模型應(yīng)用于貝塔系數(shù)的估計，但一般采用Bollerslev提出的常相關(guān)系數(shù)模型來估計相關(guān)系數(shù)，該模型并不符合金融市場的實際情況。另一方面，國內(nèi)對于會計變量與系統(tǒng)風(fēng)險的關(guān)系的研究仍沿用貝塔系數(shù)為常數(shù)的假定，這與已有的研究結(jié)論認(rèn)為貝塔系數(shù)具有不穩(wěn)定性相矛盾，由此得到的研究結(jié)論將不可避免的存在一定的爭議。 本文基于計量經(jīng)濟學(xué)的相關(guān)理論，研究了上市公司系統(tǒng)風(fēng)險與財務(wù)指標(biāo)之間的相關(guān)關(guān)系，在實證分析中采用與現(xiàn)實市場情況更貼近的動態(tài)條件相關(guān)多元GARCH模型估計貝塔系數(shù)。同時，用時變貝塔代替常數(shù)貝塔來代表股票的系統(tǒng)風(fēng)險并研究其與代表公司基本特征的財務(wù)指標(biāo)之間的關(guān)系。目前，我國對于DCC-GARCH模型的實現(xiàn)步驟尚未形成完整的體系，因此本文重點解釋了利用該模型估計時變貝塔的具體步驟，并形成了較為規(guī)范的體系。此外，按照時間順序?qū)ο到y(tǒng)風(fēng)險與會計變量關(guān)系的理論模型進(jìn)行了梳理，在總結(jié)已有研究的基礎(chǔ)上引入新的變量作為系統(tǒng)風(fēng)險影響因素的回歸模型。本文證明了用來衡量資產(chǎn)風(fēng)險的貝塔系數(shù)具有不穩(wěn)定性，并且個股對市場的變化較為敏感。通過實證研究得到系統(tǒng)風(fēng)險與財務(wù)指標(biāo)之間的相關(guān)關(guān)系，即對由時變貝塔表示的系統(tǒng)風(fēng)險有顯著正向影響的財務(wù)指標(biāo)包括經(jīng)營杠桿、資本積累率、企業(yè)規(guī)模以及應(yīng)收賬款周轉(zhuǎn)率；有顯著負(fù)向影響的指標(biāo)包括流動比率和現(xiàn)金流量比率；無顯著影響的指標(biāo)為財務(wù)杠桿和凈資產(chǎn)收益率。 本文從貝塔系數(shù)的不穩(wěn)定性的角度入手，研究財務(wù)指標(biāo)對于以時變貝塔為代表的上市公司系統(tǒng)風(fēng)險的影響，為研究系統(tǒng)風(fēng)險的影響因素提供了新的思路，填補了該領(lǐng)域的研究空白。同時為拓展貝塔系數(shù)的理論價值、完善上市公司信息披露制度、改進(jìn)貝塔系數(shù)的估計方法和構(gòu)建上市公司基于系統(tǒng)風(fēng)險的影響因素的風(fēng)險報告體系提供了理論指導(dǎo)。
[Abstract]:Under the situation that the proportion of systematic risk in Chinese stock market is still high, it is imperative to study the characteristics of Beta coefficient which is used to represent the system risk. Up to now, domestic scholars have carried out certain research in this field and obtained certain theoretical results. However, through the analysis of domestic and foreign studies, it is found that although some domestic scholars have applied econometrics model to the estimation of Beta coefficient, the usual correlation coefficient model proposed by Bollerslev is generally used to estimate the correlation coefficient. The model does not accord with the actual situation of the financial market. On the other hand, the domestic research on the relationship between accounting variables and system risk still follows the assumption that Beta coefficient is constant, which contradicts the previous research conclusion that Beta coefficient is unstable. The conclusion will inevitably be controversial. Based on the theory of econometrics, this paper studies the correlation between system risk and financial index of listed companies. In the empirical analysis, the dynamic condition correlation GARCH model, which is closer to the real market situation, is used to estimate Beta coefficient. At the same time, the time-varying beta is used instead of the constant beta to represent the systematic risk of the stock and to study the relationship between the time-varying beta and the financial indexes which represent the basic characteristics of the company. At present, the implementation steps of the DCC-GARCH model in China have not yet formed a complete system, so this paper mainly explains the concrete steps to estimate the time-varying beta using the model, and forms a more standard system. In addition, the theoretical model of the relationship between system risk and accounting variables is sorted out according to the time order, and a new variable is introduced as the regression model of the influencing factors of system risk on the basis of summarizing the existing research. In this paper, it is proved that the beta coefficient used to measure asset risk is unstable and that individual stocks are sensitive to market changes. Through the empirical study, the correlation between system risk and financial indicators is obtained, that is, the financial indicators which have significant positive impact on the system risk expressed by time-varying beta include operating lever, capital accumulation rate, and so on. Enterprise size and turnover rate of accounts receivable; the indicators with significant negative impact include current ratio and cash flow ratio; the indicators with no significant impact are financial leverage and return on net assets. From the point of view of the instability of beta coefficient, this paper studies the influence of financial indexes on the system risk of listed companies represented by time-varying beta, which provides a new way to study the influencing factors of system risk. It fills up the research gap in this field. At the same time, it provides theoretical guidance for expanding the theoretical value of beta coefficient, perfecting the information disclosure system of listed companies, improving the estimation method of beta coefficient and constructing the risk reporting system of listed companies based on the influencing factors of system risk.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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