我国高速公路行业β系数的估算及应用研究

发布时间：2018-10-22 16:42

【摘要】：β系数作为衡量资产系统风险的指标，在国外比较成熟证券市场上的应用较多，在我国证券市场上的应用还处于起步阶段。我国上海证券交易所和中证指数有限公司于2012年8月6日正式发布上证180、上证380高β指数及低β指数和沪深300、中证500高β指数及低β指数,表明了ββ系数可以作为单独的指标来衡量沪市与全市场不同β属性的股票价格变化，为指数化投资提供了新的标的指数。此外，在评估实践中， β系数可以用于确定特定资产的折现率，改进了以往折现率确定过于主观的缺陷。本文基于β系数的相关基本理论和估值方法分析，得出了公路上市公司及高速公路行业在2010—2012年各季度的β系数估计值，并对其结果进行了比较分析，总结了公路上市公司的市场风险特征和自身的风险特征。在此基础上，指出了β系数在我国高速公路行业中的应用和存在的问题。本文的研究内容具有交叉性，涉及金融学、统计学、经济学、产业组织学等的研究领域；基于研究目的，本文在运用规范、定性分析方法的同时，也进行了一些定量分析。按照上述的方法和思路设计，本文内容分为如下几个部分。首先，在第一章，介绍了论文选题的基本问题和国内外学者的研究成果。在此基础上，确定了本文的研究内容和研究框架。其次，在第二章和第三章，分别介绍了我国高速公路行业的风险特征和β系数的相关基本理论，将金融学与经济学相结合，本部分为以后章节的分析做了理论铺垫。再次，在第四章，用单指数模型法（定义法）估算公路上市公司及高速公路行业β系数，并对估值结果进行计算比较，指出了公路上市公司平均风险和系统风险的变化趋势，行业的整体风险和平均风险的变化趋势。在此基础上结合产业组织的相关理论，，总结出了公路上市公司的市场风险特征和自身的风险特征。最后，在第五章，具体阐述了值的应用方面，应注意在我国证券市场上， β系数应用存在一定的局限性，投资者和相关使用方应谨慎利用β系数进行实际业务的操作。
[Abstract]:As an index to measure the risk of asset system, 尾 coefficient is widely used in foreign mature securities markets, and is still in its infancy in our country. On Aug. 6, 2012, Shanghai Stock Exchange and China Stock Exchange Co., Ltd. officially released 180 Shanghai Stock Exchange. The Shanghai Stock Exchange 380 high 尾 index and low 尾 index and CSI 300, CSE 500 high 尾 index and low 尾 index. It is shown that the 尾 coefficient can be used as a single index to measure the change of stock prices with different 尾 attributes in Shanghai stock market and the whole market, which provides a new target index for indexed investment. In addition, in the practice of evaluation, the 尾 coefficient can be used to determine the discount rate of a particular asset, which improves the defects of the former discount rate determination which is too subjective. Based on the analysis of the basic theory and valuation method of 尾 coefficient, this paper obtains the estimated value of 尾 coefficient of highway listed company and expressway industry in each quarter of 2010-2012, and makes a comparative analysis of the results. This paper summarizes the market risk characteristics of highway listed companies and their own risk characteristics. On this basis, the application and problems of 尾-coefficient in expressway industry in China are pointed out. The research contents of this paper are intersecting, involving the research fields of finance, statistics, economics, industrial organization, etc. For the purpose of research, this paper also carries out some quantitative analysis while using the normative and qualitative analysis methods. According to the above methods and ideas design, the content of this paper is divided into the following parts. First, in the first chapter, the paper introduces the basic issues and domestic and foreign scholars' research results. On this basis, the research content and research framework are determined. Secondly, in the second chapter and the third chapter, the author introduces the risk characteristics and the basic theory of 尾 coefficient of expressway industry in China, combining finance with economics, this part is divided into the next chapter of the analysis of the theory. Thirdly, in the fourth chapter, using single index model method (definition method) to estimate the 尾 coefficient of highway listed company and expressway industry, and compare the evaluation results, point out the change trend of average risk and system risk of highway listed company. Trends in overall risk and average risk in the industry. Based on the theory of industrial organization, the market risk characteristics of highway listed companies and their own risk characteristics are summarized. Finally, in the fifth chapter, the application of the value should be explained in detail. We should pay attention to the limitations of the application of the 尾 coefficient in our country's securities market, and investors and relevant users should make careful use of the 尾 coefficient to operate the actual business.
【学位授予单位】：长安大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F542;F224

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