贝塔系数作业示例.docx

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1、实验题目：上市公司贝塔系数估计所在学院:经济管理学院课程编号:40L110Q授课对象:经济管理学院2010级本科生授课教师:班级：姓名（学号）：授课学期:2011~2012学年第一学期金融街控股股份有限公司（）2010年1月1日—2010年12月31日考虑现金红利再投资的综合日市场回报率考虑现金红利再投资的日个股回报率数据。证券代码考虑现金红利再投资的综合日市场回报率(流通市值加权平均法)考虑现金红利再投资的日个股回报率-0.-0.0.-0.-0.0.-0.0.0.0.0.-0.0.0.-0.-0.0.0.0.0.0.0.0.-0.-0.-0.0.0.-0.-0.-

2、0.-0.-0.-0.-0.0.0.0.0.-0.-0.0.-0.-0.0.0.0.-0.-0.-0.-0.-0.0.-0.0.0.0.0.0.0.-0.-0.-0.-0.0.0.0.0.-0.-0.0.0.-0.0.0.-0.-0.-0.0.-0.0.0.0.0.-0.-0.-0.0.-0.-0.-0.-0.0.0.0.0.-0.0.0.0.0.-0.-0.-0.0.0.-0.-0.0.0.0.0.0.0.-0.-0.0.0.0.0.-0.-0.-0.-0.-0.-0.0.0.-0.-0.0.0.0.0.-0.-0.-0.-0.-0.-0.0.-0.0.0.-0.

3、-0.-0.0.-0.-0.-0.0.-0.-0.-0.-0.-0.-0.-0.-0.0.0.-0.-0.-0.0.0.0.-0.0.0.-0.-0.-0.-0.-0.0.0.-0.-0.-0.-0.0.0.0.0.-0.-0.0.0.0.0.0.-0.-0.-0.-0.-0.0.0.-0.-0.0.0.-0.-0.0.-0.0.0.-0.-0.0.0.-0.0.-0.0.0.0.0.0.-0.-0.0.0.-0.-0.-0.-0.-0.-0.-0.0.-0.-0.0.0.-0.0.0.-0.0.-0.-0.0.0.0.0.0.-0.-0.0.0.-0.0.0.0.

4、0.0.0.0.0.-0.0.0.0.-0.0.-0.-0.-0.0.0.0.0.-0.0.0.0.-0.-0.0.-0.-0.-0.0.0.0.0.-0.-0.0.0.-0.-0.0.0.0.0.0.0.-0.-0.0.0.-0.-0.0.-0.0.0.-0.-0.0.0.0.-0.0.0.-0.-0.-0.0.0.-0.0.-0.0.0.0.-0.0.-0.-0.-0.0.-0.0.0.0.-0.-0.-0.-0.-0.0.0.-0.-0.0.0.0.0.-0.-0.-0.0.0.0.0.0.0.0.0.-0.0.0.-0.-0.0.0.-0.0.0.0.0.-

5、0.-0.0.0.-0.0.0.-0.0.-0.0.-0.0.-0.-0.0.0.-0.0.-0.-0.0.0.0.0.0.0.-0.-0.-0.-0.0.0.-0.-0.0.0.-0.-0.-0.0.0.0.0.0.0.-0.-0.-0.0.0.0.0.-0.-0.-0.0.-0.-0.-0.0.0.0.-0.0.0.-0.0.0.-0.-0.-0.-0.0.0.0.0.0.0.-0.-0.-0.0.-0.-0.-0.-0.0.0.-0.-0.-0.-0.-0.0.-0.-0.-0.-0.0.0.0.-0.0.0.数据来源：csmar数据库并经excel整理所得。

6、回归分析：SUMMARYOUTPUT回归统计MultipleR0.RSquare0.AdjustedRSquare0.标准误差0.观测值241方差分析　dfSSMSFSignificanceF回归分析10.0.208.27032.25E-34残差2390.0.总计2400.　　　　Coefficients标准误差tStatP-valueLower95%Upper95%下限95.0%上限95.0%Intercept-0.0.-1.276570.-0.003260.-0.003260.XVariable10.0.14.431572.25E-340.831791.0.83

7、1791.贝塔系数为0.9633回归截距为-0.0013，举债效应对于金融街贝塔系数的影响：债务—股权资本比率：总市价.54千元非流动负债（.83元）.95千元债务—股权资本比率=.95/.54=80.04%企业所得税税率为25%。由上述资料可得：非杠杆性贝塔系数=当前贝塔系数/[1+(1-税率)(长期债务市场价值/股权资本市场价值)]=0.9633/[1+(1-25%)（.95/.54）]=0.6020当金融街将其债务—资本比率降至x%时，股权资本的贝塔系数将等于：杠杆性贝塔系数=非杠杆性贝塔系数×[1+(1-税率)(长期债务市场价值/股权资本市场价值)]=0