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ID:32077157
大小:2.88 MB
页数:66页
时间:2019-01-31
《我国上市公司增长机会与贝塔系数关系分析》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、ABSTRACTIn1964,William·Sharp,etcdeducedtheriskyassetpricingmodelanddevelpoedthenewmethodinwhichsystematicriskismeasuredbybetacoefficient.Fromthenon,CapitalAssetPricingModel(CAPM)hasbeenconsideredastheclasscialmodeltoexploretherelationshipbetweensecurity’Sreturnandrisk.AsakeyfactorinCAPM,betaisame
2、asurementofcorrelationbetweenthepricefluctuationsofindividualsecurityorportfoliosandtheaveragepricefluctuationsofoverallsecuritymarketandreflectstheelasticitybetweentherateofreturnofindividualsecurityorportfoliosandtherateofreturnofmarket.Thereforebetaiscalled”systematicriskcoemcient".Theriskofli
3、stedcompaniesisdependeduponnotonlyfundamentalfactorsbutalsothecharacteristicsofthesecuritymarket.Beaver,etccarriedouttheearliestresearchonwhichelementhaveimpactonbeta,theirempiricalresultsuggestedthatcompany’sfundamentalfactorssuchasprofitvariation,dividendpayoutandfinancialleveragehavesignifican
4、tinfluencesonbeta.Sincethenmanyscholarsdedicatedtheirselftothestudyabouttheinfluentialfactorsonbeta,inparticularwithrespecttothecompany’Sfundamentalfactors.Manyforei伊studieshaveconcentratedanddeepentheresearchontherelationshipbetweengrowthopporttmityandbeta,especiallyinwell-developedcapitalmarket
5、s.Theirtheoreticalandempiricalstudiessuggestedthatgrowthopportunityisallimportantfactorwhichinfluencesacompany'sbeta.However,theempiricalstudiesinChinastartedlateandthereislittleempiricalresearchevidenceontheseissuesonChina'sstockmarket.Furthermore,comparedwinlf0嘣朗studies,therearesomeshortagesint
6、heselectionofvariables,scopeofsampleandstudymethodsinourcountry'sstudies.Meanwhile,llleirresearches011betaneglecttheinfluenceofgrowthopportunity.Consequently,basedonthepreviousstudies,thispapermakessomeimprovementsintheseaspectsanddoessomegropingstudies.Ourstudy,usingpooledcross—sectionalobservat
7、ionsofcompanieslistedontheShanghaiandShenzhenStockExchangefrom2003to2008,examinestheVIIrelationshipbetweengrowthopportunitiesandbeta.Growthopportunitiesaremeasuredintermsoffourratios,marketvalueofthefirmtobookvaluesofa
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