我国上市公司资本结构与贝塔系数关系研究
发布时间：2018-08-22 14:08
【摘要】：在资本市场理论研究的发展过程中,如何正确地度量投资风险一直是金融研究的核心问题。通过风险研究,一方面要了解公司财务决策或投资决策中应考虑的风险是什么,以及承担这种风险在市场中应要求什么样的风险报酬；另一方面通过这种研究,探究在对公司经营或投资项目的现金流量进行估值时,应如何确定合理的贴现率,即公司的预期收益率。 自20世纪50年代起,关于资产风险管理的量化分析逐渐发展起来,Williams Sharpe, John Lintner和Jan Mossin建立了著名的资本资产定价模型(Capital Asset Pricing Model,简称CAPM模型),该模型将资产风险分为系统性风险和非系统性风险,并用贝塔系数作为系统性风险的衡量指标。贝塔系数越大,意味着资产的系统性风险越大。长期以来,贝塔系数一直被广泛应用于公司金融、投资和资产组合管理、投资基金的业绩评价以及事件研究中,投资者通过观察和比较各类资产的贝塔系数,可根据自己的风险偏好程度,来选择资产组合的具体资产项目。 关于贝塔系数的计算比较困难,目前比较广泛应用的是基于历史数据的估算方法,但其所需要的数据量较大,同时基于历史数据的计算出的结果也会与未来数据的估计产生一定的偏差。但实际上,许多投资者并不需要知道具体的贝塔值,只需要知道影响贝塔值的因素有那些。很多学者纷纷投入到公司系统性风险的影响因素的研究当中,尤其是公司基本特征对贝塔系数影响的研究。 公司的系统性风险是由两部分组成的,即经营风险和财务风险。经营风险主要取决于公司经营活动的性质,不受资本结构变动的影响。在公司经营风险既定和债务资本成本(利率)不变的情况下,财务风险的大小完全取决于资本结构政策。 企业资本结构理论也是现代公司财务理论的重要内容之一,主要研究在企业经营过程中,如何合理的安排其融资结构。而衡量企业资本结构是否理想主要有两个标准：一是企业价值是否最大；二是综合资本成本是否最低、风险是否适度。资本结构是公司系统性风险的重要影响因素之一 那么对于我国上市公司来说,资本结构到底与贝塔系数有怎样的关系?对于不同行业来讲,上市公司的资本结构的变化是否有效地反映在贝塔系数的变化上?资本结构的不同对公司贝塔系数的影响有多大?以上问题即是本文研究的重点。 本文样本范围为2009年和2010年持续经营的沪深两市发行A股的上市公司,以其中12个行业(除金融行业)上市公司相关财务数据作为研究样本。选取上市公司年度贝塔系数作为模型因变量,选取的自变量为上市公司的资本结构,同时为了排除其他影响因素的干扰,我们在对样本进行行业分类的基础上,引入具有代表性的其他系统性风险影响因素作为控制变量,包括资产规模(N)、总资产增长率(g)、净资产收益率(ROE)、每股收益(EPS)、净利润增长率(NPG)、流动比率(CR),以使我们关于资本结构与贝塔系数相关性研究结果更加准确。 在对样本进行相关性分析、回归分析的基础上,本文得出结论认为：从整体来看,上市公司贝塔系数与资本结构水平表现出较差的相关性,只有制造业,电力、煤气及水的生产和供应业,房地产业及交通运输、仓储业的资本结构水平指标与贝塔系数显著相关,其中电力、煤气及水的生产和供应业的资本结构与贝塔系数表现出负相关水平。还有部分行业表现出资本结构水平与贝塔系数的相关性方向不稳定的特征,这些异常特征均与传统的财务理论得出的结论不符,这显示出我国上市公司贝塔系数未能及时反映公司基本面信息的变化,市场有效性较差。从资本结构来看,行业间资本结构有所差别,但总体股权融资水平偏高。 根据研究结论,本文提出相关政策建议：1、提高上市公司信息披露质量；2、进行中小投资者风险教育；3、发展和完善机构投资者；4、大力发展债券市场,优化融资结构；5、改善市场环境,优化上市公司资本结构,扭转股权融资偏好。
[Abstract]:In the development of capital market theory, how to measure investment risk correctly is always the core issue of financial research. This study explores how to determine a reasonable discount rate, i.e. the expected rate of return, when evaluating the cash flow of a company's business or investment projects.
Since the 1950s, quantitative analysis of asset risk management has gradually developed. Williams Sharpe, John Lintner and Jan Mossin have established the famous Capital Asset Pricing Model (CAPM), which divides asset risk into systemic risk and non-systemic risk and uses beta coefficient. As a measure of systemic risk, the bigger the beta coefficient, the greater the systemic risk of assets. For a long time, beta coefficient has been widely used in corporate finance, investment and portfolio management, performance evaluation of investment funds and event studies. Investors observe and compare beta coefficient of all kinds of assets. Choose the specific asset items of portfolio according to their risk preference.
It is difficult to calculate the Beta coefficient. At present, it is widely used to estimate the Beta coefficient based on historical data, but the amount of data it needs is large. At the same time, the calculated results based on historical data will also produce some deviation from the estimates of future data. But in fact, many investors do not need to know the specific Beta value. Many scholars have devoted themselves to the study of the influencing factors of the company's systemic risk, especially the influence of the company's basic characteristics on the beta coefficient.
The systemic risk of a company consists of two parts, namely operating risk and financial risk. Operating risk mainly depends on the nature of the company's operating activities and is not affected by changes in capital structure.
The theory of enterprise capital structure is also one of the important contents of modern corporate finance theory. It mainly studies how to arrange the financing structure reasonably in the course of enterprise operation. There are two main criteria to judge whether the capital structure is ideal: first, whether the enterprise value is the largest; second, whether the comprehensive capital cost is the lowest and whether the risk is appropriate. Capital structure is one of the important factors affecting the systemic risk of a company.
So what is the relationship between capital structure and beta coefficient for Chinese listed companies? For different industries, is the change of capital structure effectively reflected in the change of beta coefficient? How much does the difference of capital structure affect the beta coefficient? These questions are the focus of this paper.
The sample range of this paper is listed companies in Shanghai and Shenzhen stock exchanges which have been operating continuously in 2009 and 2010. The financial data of Listed Companies in 12 industries (excluding financial industry) are taken as the research sample. The annual beta coefficient of listed companies is selected as the model dependent variable, and the independent variable is selected as the capital structure of listed companies. Among other factors, we introduce other representative systemic risk factors as control variables, including asset size (N), total asset growth rate (g), return on equity (ROE), earnings per share (EPS), net profit growth rate (NPG), liquidity ratio (CR), on the basis of industry classification. The correlation between capital structure and beta coefficient is more accurate.
On the basis of correlation analysis and regression analysis, this paper draws the conclusion that: on the whole, the Beta coefficient of listed companies has a poor correlation with the level of capital structure, only manufacturing, electricity, gas and water production and supply, real estate and transportation, warehousing and warehousing capital structure level indicators and There is a significant correlation between the Beta coefficient and the capital structure of the power, gas and water production and supply industries, and there is a negative correlation between the capital structure and the Beta coefficient. The beta coefficient of Listed Companies in China fails to reflect the change of the basic information of the company in time, and the market efficiency is poor.
According to the conclusions of the study, this paper puts forward relevant policy recommendations: 1, improve the quality of information disclosure of listed companies; 2, carry out risk education for small and medium investors; 3, develop and improve institutional investors; 4, vigorously develop the bond market, optimize the financing structure; 5, improve the market environment, optimize the capital structure of listed companies, reverse the equity financing preference.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F275;F224
本文编号：2197333
[Abstract]:In the development of capital market theory, how to measure investment risk correctly is always the core issue of financial research. This study explores how to determine a reasonable discount rate, i.e. the expected rate of return, when evaluating the cash flow of a company's business or investment projects.
Since the 1950s, quantitative analysis of asset risk management has gradually developed. Williams Sharpe, John Lintner and Jan Mossin have established the famous Capital Asset Pricing Model (CAPM), which divides asset risk into systemic risk and non-systemic risk and uses beta coefficient. As a measure of systemic risk, the bigger the beta coefficient, the greater the systemic risk of assets. For a long time, beta coefficient has been widely used in corporate finance, investment and portfolio management, performance evaluation of investment funds and event studies. Investors observe and compare beta coefficient of all kinds of assets. Choose the specific asset items of portfolio according to their risk preference.
It is difficult to calculate the Beta coefficient. At present, it is widely used to estimate the Beta coefficient based on historical data, but the amount of data it needs is large. At the same time, the calculated results based on historical data will also produce some deviation from the estimates of future data. But in fact, many investors do not need to know the specific Beta value. Many scholars have devoted themselves to the study of the influencing factors of the company's systemic risk, especially the influence of the company's basic characteristics on the beta coefficient.
The systemic risk of a company consists of two parts, namely operating risk and financial risk. Operating risk mainly depends on the nature of the company's operating activities and is not affected by changes in capital structure.
The theory of enterprise capital structure is also one of the important contents of modern corporate finance theory. It mainly studies how to arrange the financing structure reasonably in the course of enterprise operation. There are two main criteria to judge whether the capital structure is ideal: first, whether the enterprise value is the largest; second, whether the comprehensive capital cost is the lowest and whether the risk is appropriate. Capital structure is one of the important factors affecting the systemic risk of a company.
So what is the relationship between capital structure and beta coefficient for Chinese listed companies? For different industries, is the change of capital structure effectively reflected in the change of beta coefficient? How much does the difference of capital structure affect the beta coefficient? These questions are the focus of this paper.
The sample range of this paper is listed companies in Shanghai and Shenzhen stock exchanges which have been operating continuously in 2009 and 2010. The financial data of Listed Companies in 12 industries (excluding financial industry) are taken as the research sample. The annual beta coefficient of listed companies is selected as the model dependent variable, and the independent variable is selected as the capital structure of listed companies. Among other factors, we introduce other representative systemic risk factors as control variables, including asset size (N), total asset growth rate (g), return on equity (ROE), earnings per share (EPS), net profit growth rate (NPG), liquidity ratio (CR), on the basis of industry classification. The correlation between capital structure and beta coefficient is more accurate.
On the basis of correlation analysis and regression analysis, this paper draws the conclusion that: on the whole, the Beta coefficient of listed companies has a poor correlation with the level of capital structure, only manufacturing, electricity, gas and water production and supply, real estate and transportation, warehousing and warehousing capital structure level indicators and There is a significant correlation between the Beta coefficient and the capital structure of the power, gas and water production and supply industries, and there is a negative correlation between the capital structure and the Beta coefficient. The beta coefficient of Listed Companies in China fails to reflect the change of the basic information of the company in time, and the market efficiency is poor.
According to the conclusions of the study, this paper puts forward relevant policy recommendations: 1, improve the quality of information disclosure of listed companies; 2, carry out risk education for small and medium investors; 3, develop and improve institutional investors; 4, vigorously develop the bond market, optimize the financing structure; 5, improve the market environment, optimize the capital structure of listed companies, reverse the equity financing preference.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F275;F224
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