基于CAPM的企业特定风险量化研究——以房地产行业为例  

Research on Enterprise Specific Risk Quantification Based on CAPM:Taking Real Estate Enterprises as an Example

作　　者：胡晓明[1] 周锴 Hu Xiaoming;Zhou Kai(School of accounting,Nanjing University of Finance and Economics,Nanjing,210023)

机构地区：[1]南京财经大学会计学院,江苏南京210023

出　　处：《中国资产评估》2023年第7期4-16,共13页Appraisal Journal of China

基　　金：江苏省资产评估行业研究课题“基于CAPM模型的企业特定风险量化与应用研究”(苏评协(2023)74号);江苏省研究生实践创新计划项目(编号:SJCX22_0614)。

摘　　要：收益法下,折现率的微小变化都将对企业估值结果产生较大的影响,企业特定风险作为企业预期收益折现率的重要组成部分,其量化和确定是收益法估值的工作重点之一。而房地产作为典型的“高风险,高收益”的周期性行业之一,股权投资风险的识别与量化也成为房地产企业亟需解决的问题。本文以房地产行业为例,结合客观赋权、逐步回归和GA-BP神经网络对企业特定风险的量化进行探讨。研究发现:企业的特定风险与影响因素之间存在非线性关系。Under the income approach,small changes in the discount rate will have a greater impact on the valuation results of enterprises.As an important part of the expected income discount rate of enterprises,the quantification and determination of enterprise specific risks is one of the key points of income approach valuation.As one of the typical cyclical industries with high risks and returns,the identification and quantification of equity investment risks in real estate has become an urgent problem that real estate enterprises need to solve.This article takes real estate enterprises as an example to explore the quantification of specific risks for enterprises by combining objective weighting,stepwise regression,and GA-BP neural networks.Research has found that there is a nonlinear relationship between specific risks and influencing factors of enterprises;Compared with traditional objective weighting and regression methods,the BP neural network algorithm optimized by genetic algorithm is more suitable for quantifying specific risks in real estate enterprises;When referring to data from comparable listed companies,it is necessary to consider the liquidity differences of non listed companies in the determination of specific risk adjustment coefficients.

关 键 词：特定风险 CAPM 房地产行业 GA-BP神经网络 

分 类 号：F293.3[经济管理—国民经济]