关于综合收益的风险相关性研究——基于我国A股上市公司
发布时间：2018-09-06 09:51
【摘要】：以2009~2014年我国A股上市公司数据为研究样本,利用实证分析方法研究综合收益波动性和其他综合收益波动性对企业估值风险的影响。研究表明:综合收益波动性以及其他综合收益波动性与企业股票回报波动性和β值显著正相关,说明综合收益与其他综合收益具有风险相关性,且综合收益波动性和其他综合收益波动性会降低非正常收益的估值作用;进一步研究发现,在较好的地区制度环境下,其他综合收益的风险相关性更强。
[Abstract]:Based on the data of A-share listed companies in China from 2009 to 2014, the empirical analysis method is used to study the impact of the volatility of comprehensive return and other comprehensive returns on the valuation risk of enterprises. The study shows that the volatility of comprehensive return and other comprehensive returns are positively correlated with the volatility of stock return and 尾 value, which indicates that the comprehensive return has a risk correlation with other comprehensive returns. Moreover, the volatility of integrated returns and other comprehensive returns will reduce the valuation of abnormal returns. Further research shows that the risk correlation of other comprehensive returns is stronger in the better regional institutional environment.
【作者单位】： 山东理工大学管理学院;
【基金】：山东省自然科学基金项目(项目编号:ZR2015GL004)
【分类号】：F275;F832.51
[Abstract]:Based on the data of A-share listed companies in China from 2009 to 2014, the empirical analysis method is used to study the impact of the volatility of comprehensive return and other comprehensive returns on the valuation risk of enterprises. The study shows that the volatility of comprehensive return and other comprehensive returns are positively correlated with the volatility of stock return and 尾 value, which indicates that the comprehensive return has a risk correlation with other comprehensive returns. Moreover, the volatility of integrated returns and other comprehensive returns will reduce the valuation of abnormal returns. Further research shows that the risk correlation of other comprehensive returns is stronger in the better regional institutional environment.
【作者单位】： 山东理工大学管理学院;
【基金】：山东省自然科学基金项目(项目编号:ZR2015GL004)
【分类号】：F275;F832.51
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