系统风险β系数可靠性分析  

A Reliability Analysis of the Systematic Risk β Coefficient

作　　者：王兴运[1] 白钦先[2] 

机构地区：[1]辽宁大学经济学院,辽宁沈阳110036 [2]辽宁大学国际金融研究所,辽宁沈阳110036

出　　处：《当代财经》2015年第5期45-56,共12页Contemporary Finance and Economics

基　　金：教育部哲学社会科学研究专项委托项目(09JF001);辽宁大学青年科研基金项目

摘　　要：重新定义β系数的稳定性、时变性并对其进行统计衡量,使用经典CAPM和条件CAPM做两阶段计量检验,都可得出风险β系数不可靠的结论。在加入更多解释变量后的检验结果则是模型显著,风险β系数显著,而其他解释变量的显著性在个股和行业中具有差异性,且这种差异性目前没有发现可以识别的方法。风险β系数不可靠的原因在于当前收益率的决定因素应该是能够反映未来的奈特不确定性,基于历史数据的方法并不能解释当前和未来收益。This paper redefines the stability and time-varying characteristics of risk β-coefficient and conducts a statistic measurement on them. Through a two stage econometric test with both the classic CAPM and the conditional CAPM, a conclusion can be drawn that the risk β-coefficient is not reliable. The test result with more explaining variables shows that both the Model and its risk β coefficient are more significant; while the significance of other explaining variables is different in in- dividual shares and in the industry, and no method has been found to identify this difference. The reason why the risk β coefficient is not reliable is that the decisive factor of the present yield rate should be able to reflect the future Knight Uncertainty, the method based on historic data cannot ex- plain the present and future earnings.

关 键 词：风险β系数 可靠性 条件CAPM 奈特不确定性 

分 类 号：F830.91[经济管理—金融学]