基于CAPM模型对能源行业企业资产预期收益率的测算研究  

Research on the calculat ion of expected return on assets of enterprises in energy industry based on CAPM model

作　　者：孙敏 Sun Min(Department of Economics in Xi'an Mingde Institute of Technology,Xi'an 710124,China)

机构地区：[1]西安明德理工学院经济与管理学院,陕西西安710124

出　　处：《煤炭经济研究》2022年第6期12-17,共6页Coal Economic Research

基　　金：陕西省教育厅科研课题(19JK0867)。

摘　　要：能源行业发展对于社会经济发展至关重要,而能源行业企业资产预期收益率测算是能源行业企业面临的一大难题。利用无风险收益率、风险系数与能源市场组合的收益率3个参数,构建标准CAPM模型,对能源行业企业资产预期收益率进行测算行之有效。根据国家的国债与存款利率确定无风险收益率;利用能源市场组合在不同时刻的收盘指数,确定能源市场组合的收益率;通过单一能源行业企业资产,同能源市场投资组合的斜方差与市场方差的比值,确定风险系数,由此利用CAPM模型计算预期收益率。以某省域能源行业企业为目标,分析目标资产预期收益率,结果显示:能源行业风险系数值同不同企业的资产预期收益率间具有显著的正相关性;能源行业中部分企业的资产预期收益的风险与能源市场组合风险相比较高;预期收益率产生差异的主要原因为不同能源销售对象的能源销售价格具有差异性。The development of the energy industry is crucial to the social and economic development,and the calculation of the expected return on assets of enterprises in the energy industry is a major problem faced by enterprises in the energy industry.Therefore,the calculation method of the expected return on assets of enterprises in the energy industry based on CAPM model is studied.The standard CAPM model is constructed by using three parameters:risk-free return rate,risk coefficient and return rate of energy market combination.Determine the risk-free rate of return according to the national treasury bonds and deposit interest rate;Using the closing index of the energy market portfolio at different times to determine the yield of the energy market portfolio;The risk coefficient is determined by the ratio of the oblique variance and market variance of the single energy industry enterprise assets to the energy market portfolio,and the expected rate of return is calculated by using the CAPM model.Take a provincial energy industry enterprise as the target,analyze the expected return on target assets.The results show that there is a significant positive correlation between the value of risk coefficient of energy industry and the expected rate of return of assets of different enterprises;The risk of expected return on assets of some enterprises in the energy industry is higher than that of energy market portfolio;The main reason for the difference in the expected rate of return is that the energy sales prices of different energy sales objects are different.

关 键 词：CAPM模型 能源行业 企业资产 预期收益率 组合收益率 风险系数 

分 类 号：F416.16[经济管理—产业经济] F224.5