基于BAPM估测中国行业经营贝塔的研究

发布时间：2018-01-14 19:00

本文关键词：基于BAPM估测中国行业经营贝塔的研究　出处：《华南理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：行业经营贝塔是度量一个行业经营系统风险的重要指标，反映在该行业从事经营活动所承担的系统风险；同时，它也是决定行业资本成本的重要参数，行业资本成本对于国有企业业绩考核、项目资本成本的确定、非上市公司资本成本的确定都有着重要的参考意义。传统的行业经营贝塔估测是在资本资产定价模型的理论框架下进行的，该模型以“资本市场有效”为假设前提，但现实市场和新兴的行为金融理论均表明：资本市场并非有效，因此，利用传统方法估测得到的行业经营贝塔并不符合现实情况。本文首先剖析传统的行业经营贝塔估测方法的理论缺陷，并将行为资本资产定价模型（BehavioralAsset Pricing Model，简称BAPM）引入到传统的行业经营贝塔估测过程之中，形成以BAPM为理论框架的估测方法；然后针对BAPM中动量组合的参数选择问题，构建了18种不同的参数方案，并对这些方案进行实证比较，以模型的调整可决系数为决策标准选取最优的参数方案；接着针对沪深A股1303家行业样本公司，从聚源数据库导出2008年1月1日至2012年12月31日样本公司股票月收盘价数据和财务数据，利用改进后的行业经营贝塔估测方法估测得到中国22个行业的经营贝塔；最后对估测结果进行比较与分析。在实证检验动量组合的参数方案时发现，，以“噪声500、五年、月收益率”这一方案来构建动量组合能够使BAPM的拟合效果达到最好。基于BAPM估测得到中国22个行业的经营贝塔，其分布区间为[0.38，0.68]，远小于自然数1，这是因为经营贝塔与股票贝塔不同，股票贝塔具有趋1性（即在自然数1附近上下波动），而经营贝塔是在股票贝塔的基础上剔除了噪声交易者风险和财务杠杆的影响，因此估测得到的行业经营贝塔均小于1。在对行业经营贝塔比较与分析时发现：（1）在显著性水平0.05下，行业间经营贝塔存在显著差异，表明不同行业面临的经营系统风险大小不同；（2）在显著性水平0.01下，利用改进后的方法估测的中国行业经营贝塔显著地小于利用传统估测方法估测得到的行业经营贝塔，表明改进后的方法剔除了噪声交易者风险的影响，估测结果更加符合现实情况；（3）中国22个行业普遍受到噪声交易者风险的影响，受影响最大的行业为金融服务业，受影响最小的行业为医药卫生行业。
[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.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51;F203

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