基于会计信息估测我国房地产行业经营β系数的研究
发布时间：2018-10-29 14:05
【摘要】：正确作出项目投资决策，需要计算项目的评价指标。大部分评价指标的计算均要用到项目的贴现率，即项目的资本成本。估计资本成本最常用的方法是利用资本资产定价模型，该模型的利用需要确定投资项目的系统风险，这需要比照可比公司的经营活动的系统风险予以确定。此处可比公司经营活动的系统风险，即本文所研究的经营贝塔（Beta，β）系数。 经营β系数是指经营活动收益率与市场组合收益率之间的相关性，用以衡量经营活动的系统风险。目前关于估测经营β系数的方法主要分为两大类，第一是基于证券市场信息估测经营β的方法，第二则是基于会计信息估测经营β的方法（本文称之为“会计β值法”）。 第一种估测方法主要是利用证券市场上公开的历史数据，首先估测公司的股票β，然后通过投资项目系统风险与股票系统风险的关系进行转换而得。但是这样应用的一个重要前提是证券市场是一个有效市场，无论是国外的证券市场还是国内的证券市场，都无法达到有效市场的状态，因此，利用此方法得出的经营β实际上是不准确的。 本文所研究的第二种估测方法则基于会计信息，用公司会计数据收益率取代股票的收益率，利用单一指数模型，将市场组合收益率与公司会计数据收益率进行回归，回归所得的斜率即为公司的经营β系数值。相对于第一种估测方法而言，此方法能很好地避免了噪声交易的影响，，而且随着会计工作的不断推进，目前对于会计指数的研究也越来越深入和全面，本文研究的会计β值法也正顺应了会计指数研究的潮流。 根据国内外学者的已有研究，本文归纳总结出应用会计β值法的一般步骤：○1选取模型的主要参数，○2选取行业样本公司，○3计算市场收益率，○4计算会计数据收益率，○5计算各样本公司经营β系数，○6计算行业经营β系数。 在此基础上，本文估测了我国房地产行业的经营β系数并详细描述了估测的具体过程和步骤。在模型参数选取方面，本文选取了季度为收益率的计算周期，2002年9月30日至2012年9月30日共10年为回归时间段，上证综指以及深证综指为市场收益率代表，投入资本报酬率为会计数据收益率代表；在样本公司选取方面，本文根据了样本筛选的四个条件：首发上市日期、经营业务以及营业成本构成、数据是否齐全，从126家行业样本公司中筛选出22家上市公司作为最终样本；在确定计量参数以及22家样本公司后，本文根据2002年9月30日至2012年9月30日每季度的上证综指、深证综指以及22家样本公司调整后的管理用财务报表计算得出10年回归时间段内每季度的市场收益率以及22家样本公司的ROIC增长率；并根据单一指数模型，将市场收益率以及ROIC增长率予以回归，计算得出22家样本公司的经营β系数，并得到20家有效样本；最后通过均值模型对各样本公司的经营β系数进行平均后得出我国房地产行业的经营β系数约为1.4728。 本文还运用了基于证券市场信息估测经营β的方法对我国房地产行业的经营β进行估测，收益率的计算周期、回归时间段、市场组合收益率代表以及样本公司均与会计β值法的一致，此方法估测得出的经营β系数为0.9705。房地产行业属于系统风险较大的行业，其估测得出的经营β系数理应大于1，因此认为利用会计β值法估测的结果更合理地反映了真实情况。 本文基于会计信息估测得出我国房地产行业经营β系数为1.4728后，根据资本资产定价模型，估算得出我国房地产行业的资本成本为18.52%，应用于项目投资决策。
[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
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F299.233.4
本文编号：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
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F299.233.4
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