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中南民族大学硕士学位论文非上市公司贝塔(β)系数实证研究姓名:许尚德申请学位级别:硕士专业:企业管理指导教师:陈卫平200605281______21RCAPMBeta5050123450.6%()2AbstractWiththein-depthdevelopmentofChina'smarketeconomy,thecapitalmarketshaveanincreasinglyimportantroleinthenationaleconomy.Currentlysecuritiesopening,corporationmergers&acquisitions,assetsdispositionandothereconomicactivitiesisrapiddevelopment.Inthesecuritiesopening,corporationmergers&acquisitions,assetsdispositionandothereconomicactivitiesacoreproblemishowtoassessrealvalueofthecompanyandtheassets.Discountcashflowvaluationisthemostwidelyusedandisthebesttheoreticalapproachinthisfield.ItiswidelyusedbytheUnitedStatesandtheEuropeaninvestmentbanks,fundmanagementcompaniesandfinancialinstitutionsandsoon.FlowstheestimatelawwiththediscountcashtocarryontheestimateanimportantworkusingdiscountcashflowvaluationistoestimatediscountrateR(namelythecorrespondingcapitalcost).Thecapitalcostincludingtheequitycapitalcost,thedebtcapitalcostandtheweightedaveragecapitalcost.Capitalassetpricingmodel(CAPM)iswidelyusedtoestimatethecostofequitycapital.Acriticalfactorinapplicationofcapitalassetpricingmodelistodeterminebetaofthecorporation.Betaofthelistedcompaniescanbedeterminedthroughhistoricaltransactiondataonstockmarket.Buttonon-listedcorporations,becauseoflackoftheirhistoricaltransactiondata,wemustusetheotherapproachestoestimatetheirbeta.Therearemainlytwoapproachestoestimatebetaofnon-listedcorporations:comparablecompanyapproachandtheapproachbasedonbasicfactorsofthecorporation.InChina,thestudyonthelatterisstillrare.Theauthorintroducetheseveralmethodsofestimatingnon-listedcompaniesBetaandrelatedstudy,proposevariabletypestheypossiblyhavetheinfluencetothebetathroughanalysisofbasicfactorsofthecorporationdecidingthecompanybeta,andmakethehypothesistotheirinfluencedirectionandextent.BasedontheShenzhenmarketonly50samplesonly50samplesUnitandShanghaimarketsharescalculatedonthebasisofcompanyfundamentalsnon-listedcompaniesBetafactorempiricalmethods,theactualworkhasbeenusedmultivariatelinearmodels.Accordingto50samplesofShenzhenstockexchangeand50samplesofShanghaistockexchange,authormakeaempiricalresearchandobtainmultiplelinearregressionmodelwhichcanbeusedtopracticalwork.Researchshow:(1)withthedevelopment,investorsbeganslowlymature.They3tendtofocusonbasicfactorsofthecompanieswhentheybuyorsaleshares.Valueinvestmentideasslowlybegantoacceptbyinvestors.(2)Generallyspeaking,thereisaneedtoimprovetheoverallqualityofourinvestors.Researchshowsthatatmeasuringcompanyinvestorsisonlyconcerntheinformationonprofitstatement,andpaylessattentiontotheinformationcommunicatedbybalancesheetandcashflowstatement.(3)ShenzheninvestorstobemorerationalthanShanghaiinvestors,thequalityisrelativelyhigh.(4)ThegoodnessoffitofShenzhenmarketregressionmodelis50.6%.theaccuracyishigherusingthismodeltocalculatenon-listedcompaniesbeta.theauthorbelievesthatthemodelcouldbeappliedtopracticalwork.Theauthorexpectstomakebeneficialattemptinapplicationofthismethodinourcountryandhopesthattheabovestudyishelpfultotherelevantagenciesandinvestmentbanksinnon-listedcompaniespricing.Keywords:Non-listedcorporations;Beta;Capitalassetpricingmodel(CAPM);Multiplelinearregressionmodel()411.1200421412451(Dealogic)200450%15%21EVAV=CFt/(1+r)tVCFttrRCAPMBetaIPO31://finance.sina.com.cn/roll/2004124444408/15461210952.shtml3AswathDamodaran1999465,,1.21.2.11()621jN1SSSjjMWε+β=β∑=j=1,2,,M;S=1,2,,NMNjMβjSjWjSSβjεSβSEhrhardtBhagwat1991WoodMcInishLawrence1992EhrhardtBhagwat1991WoodMcInishLawrence19921MichaelCEhrhardt20041557UU=/[1+1-tDS/ES]tDS/ESULL=U*[1+1-tD/E]tD/E,1.2.212()8121970Beaner,KettlerScholes19701DividendPayoutRatio2(AssetSizeGrowth)3Leverage4Liquidity5(Size)6EarningVariability;7(AccountingBeta)1947195619571965307531975Bildersee1956196671119R13%36%R224%Gonedes1973BeaverManegold1975RosenbergGuy1976RosenbergMarathe1979Hamada(1972),ManderkerRhee(1984),HillStone(1980)1991NYSEAMEX/=0.98320.080.1260.15/0.0340.0000111999200199710199810=0.63100.1266X10.1754X20.0133X30.4401X40.0088X50.6278X60.2692X7R2=0.0886F=2.6660X1X2X3X4X5X6X7F=0.058.86%1AswathDamodaran199946()101.31122.12.1.1CAPM,iβ:]R)R(E[R)R(Efmifi−β+=2.12mmii)R,R(Covσ=β2.2)R(EifR)R(Em)R,R(Covmi2mσCAPMRoll(1977)iβ=)R,R(Covmi/2mσ500iIIiiIiRRε+β+α=2.3iRiIRIiIαiβi()12iIεSPSS12.0B2i2I2i2iεσ+σβ=σ2.42iσi2IσI2iεσiIεi2.412I2iσβ22iεσ2.1.22.42Iσ2.42I2iσβ1112341351()142EBITEBIT2.22.2.12.121152.2.2()()()16--EBIT2.32.3.11999123150501719991230200412311002481002472471001t,it,it,iLnPLnPR−−=2.5t,iRitt,iP1t,iP−itt-11998200450502.3.2iβ1=/()18EBIT=------+---+=++-=-=++19=-=-=-Arditti1973,1980BloomfieldMa1975Shapiro1979BoudreauxLong1979EBITEBIT=----19992003=19992003/2()20()()1998200311998/20035−=31999123120046319942003200352003200220022003EBIT2002EBIT2002EBIT2003−−=2003=2003/20032003=2003/20032003=2003/20032003=2003/2003C21320SPSSforWindows12.03.13.1.11C3131CorrelationsPearsonCorrelation1-.112.023-.261**.119.261**.258**Sig.(2-tailed)..267.822.009.239.009.009PearsonCorrelation-.1121-.059-.053.120-.008-.005Sig.(2-tailed).267..
本文标题:非上市公司贝塔(β)系数实证研究
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