贝塔系数时变性影响因素——基于451家上市公司股票数据的实证分析  

Impacted Factors of Time-varying Beta Coefficient——Based on 451 Listed Companies' Stocks

作　　者：徐建卫[1] 

机构地区：[1]兰州大学经济学院

出　　处：《经济与管理研究》2015年第10期130-137,共8页Research on Economics and Management

基　　金：教育部人文社会科学研究西部和边疆项目"经济发展的环境承载力研究"(12XJA910002)

摘　　要：本文以中国股票市场沪市中地产、工业、公用以及深市中制造等行业451家公司成分股为样本,采用因子分析法对精选的20个指标进行聚类分析提取公共因子,用状态空间模型估计样本公司的Beta系数,用截面回归法考察各影响因子对Beta系数时变性的影响方向和大小。研究发现,公司规模、财务结构、盈利能力、成长性和市场价值比等因素是造成Beta系数不稳定的重要原因。其中,财务结构、成长性和盈利能力对Beta系数的作用方向和大小具有较强的规律性,要给予充分关注。By selecting 451 companies＇constituent stocks from real estate, industry, utility and manufacturing industries as samples in China＇s stock market and making a cluster analysis for the chosen 20 indicators with factor analysis to estimate the Beta coefficient for each sample company by using the state-space model,this paper analyses the impact of each factor on Beta coefficients with cross-sectional regression.It is found that scale, financial structure, profitability, growth and market value are important reasons for instability of beta coefficient.The financial structure, growth and profitability have a greater impact on the Beta coefficient,which should be given more attention.

关 键 词：BETA系数 时变性 因子分析 公司基本面 

分 类 号：F832.5[经济管理—金融学]