中国创业板市场beta系数影响因素的研究

发布时间：2018-05-16 12:14

本文选题：系统风险 + beta系数　；参考：《浙江财经学院》2013年硕士论文

【摘要】：本文首先选取创业板第一年上市的36只股票作为研究样本,由于创业板推出时间不长,为了增大样本我们选取日收益率为因变量,以创业板指数作为自变量,从2010年9月到2012年6月为时间段,在CAPM和市场模型进行比较之后,我们选取市场模型,进行估计beta系数。在估计beta系数时,我们估算出季度beta系数,在估计的beta系数中,我们可以看到beta系数基本上都是比较符合实际情形的,最大的只有1.222,最小的只有0.75,基本分布在1的附近,且预测的创业板的beta系数也只有1.02175。然后,我们研究了beta系数的差异性,β系数的差异性研究就是对β系数产生差异的原因进行分析,找出影响的因素。前人的研究中,把影响因素分为三类：行业因素、宏观因素和公司的微观因素,本文主要是研究公司微观因素对beta系数的影响,即会计指标对beta系数的作用。在选取会计变量时,我们选取12个变量,对beta系数和12个变量之间进行回归分析,根据结果进行分析变量对beta系数的影响。由结果可以看出：在多元线性回归分析中,在10%的显著性水平上,有.7个变量对beta系数的影响是显著的,并且在估计出的系数中,有6个指标对beta系数有正向作用,有6个指标具有负的作用系数。作为本文的创新之处,首先运用市场模型对beta系数进行估计时,阅读材料中作者发现在自变量的选取中,国内的研究中主要是用上证指数、深证指数或者是两者取平均数,在笔者的阅读过程中没有发现用创业板指数的,因此,笔者试探性的引入创业板指数作为市场模型的自变量,所以是本文的第一个创新点；其次,在会计变量的选取中,笔者结合前人的研究,先选取了10个会计变量,分别代表公司的盈利能力等8个方面,然后,加入了前人没有涉及的指标：所有者权益比率和利润总额增长率,可以说是本文的第二个创新点。并且在实证结论中我们看到,所有者权益比率对beta系数具有显著的影响。由于创业板的上市时间不是很长,前人对创业板的研究主要是关于政策建议的方面,而对于创业板的实证研究还是很少的,尤其是对创业板市场系统风险的研究。因此,本文通过对beta系数的估计及影响因素的分析对创业板进行研究,可以说是对这一理论空白的填补,具有很强的理论意义和使用价值。对投资者和公司都有很强的借鉴意义。
[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.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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