Beta系数跨期时变与公司估值  

Time-varying Beta Coefficient and Business Valuation

作　　者：陈蕾[1,2] 王敬琦[3] 

机构地区：[1]首都经济贸易大学财政税务学院 [2]中央财经大学博士后科研流动站 [3]国家外汇管理局中央外汇业务中心

出　　处：《统计研究》2016年第8期37-46,共10页Statistical Research

基　　金：国家社会科学基金项目"混合所有制改革中周期性公司估值模型的理论修正与实践调整研究"(15CGL013);中国博士后科学基金特别资助项目"周期性公司DCF估值模型的框架重建及实证研究"(2014T70206)资助

摘　　要：本文从理论上剖析Beta系数跨期时变、时间要素设定差异对系统性风险度量及公司估值结果的影响,并以2005年1月1日至2014年12月31日为样本周期,以有色、钢铁、石化、房地产、银行等5个周期性行业板块收益率及市场平均收益率的周数据和月数据为研究样本,对理论分析结论进行实证检验。研究发现：1时间要素设定差异会显著影响Beta系数稳定性;2时间要素设定差异对系统性风险度量及公司估值结果影响显著;3审慎设定时间要素,有利于提高Beta系数稳定性,同时降低系统性风险度量及公司估值误差。其中,5~10年是更为可取的Beta系数估计时段,并应优先选择以＂周＂为单位的收益率度量时限。This paper theoretically analyzes how time-varying Beta coefficient and different settings of time element influence systematic risk measurement and business valuation results, and then we conduct an empirical test of the theoretical findings from bond market in China. Owing to this, the weekly data and monthly one of industry yield and market average return from five cyclical industries have been chosen as study sample, including non-ferrous, iron and steel, petrochemical, real estate and banking from Jan. 1st, 2005 to Dec. 31st, 2014. The main result shows： different settings of time element could influence the stability of Beta coefficient significantly; these different settings also have significant impacts on systematic risk measurement and business valuation results; setting time element prudently is beneficial to improve the stability of Beta coefficient and reduce the deviation in systematic risk measurement and business valuation. Among them, the preferable estimate period of Beta coefficient is five to ten years; as the frequency of yield measurement, priority should be given to weekly data rather than to monthly one.

关 键 词：BETA系数 跨期时变 系统性风险 公司估值 周期性行业 

分 类 号：C812[社会学—统计学]