我國上市公司資本結構與貝塔系數(shù)關系研究
發(fā)布時間：2018-08-22 14:08
【摘要】：在資本市場理論研究的發(fā)展過程中,如何正確地度量投資風險一直是金融研究的核心問題。通過風險研究,一方面要了解公司財務決策或投資決策中應考慮的風險是什么,以及承擔這種風險在市場中應要求什么樣的風險報酬；另一方面通過這種研究,探究在對公司經(jīng)營或投資項目的現(xiàn)金流量進行估值時,應如何確定合理的貼現(xiàn)率,即公司的預期收益率。 自20世紀50年代起,關于資產風險管理的量化分析逐漸發(fā)展起來,Williams Sharpe, John Lintner和Jan Mossin建立了著名的資本資產定價模型(Capital Asset Pricing Model,簡稱CAPM模型),該模型將資產風險分為系統(tǒng)性風險和非系統(tǒng)性風險,并用貝塔系數(shù)作為系統(tǒng)性風險的衡量指標。貝塔系數(shù)越大,意味著資產的系統(tǒng)性風險越大。長期以來,貝塔系數(shù)一直被廣泛應用于公司金融、投資和資產組合管理、投資基金的業(yè)績評價以及事件研究中,投資者通過觀察和比較各類資產的貝塔系數(shù),可根據(jù)自己的風險偏好程度,來選擇資產組合的具體資產項目。 關于貝塔系數(shù)的計算比較困難,目前比較廣泛應用的是基于歷史數(shù)據(jù)的估算方法,但其所需要的數(shù)據(jù)量較大,同時基于歷史數(shù)據(jù)的計算出的結果也會與未來數(shù)據(jù)的估計產生一定的偏差。但實際上,許多投資者并不需要知道具體的貝塔值,只需要知道影響貝塔值的因素有那些。很多學者紛紛投入到公司系統(tǒng)性風險的影響因素的研究當中,尤其是公司基本特征對貝塔系數(shù)影響的研究。 公司的系統(tǒng)性風險是由兩部分組成的,即經(jīng)營風險和財務風險。經(jīng)營風險主要取決于公司經(jīng)營活動的性質,不受資本結構變動的影響。在公司經(jīng)營風險既定和債務資本成本(利率)不變的情況下,財務風險的大小完全取決于資本結構政策。 企業(yè)資本結構理論也是現(xiàn)代公司財務理論的重要內容之一,主要研究在企業(yè)經(jīng)營過程中,如何合理的安排其融資結構。而衡量企業(yè)資本結構是否理想主要有兩個標準：一是企業(yè)價值是否最大；二是綜合資本成本是否最低、風險是否適度。資本結構是公司系統(tǒng)性風險的重要影響因素之一 那么對于我國上市公司來說,資本結構到底與貝塔系數(shù)有怎樣的關系?對于不同行業(yè)來講,上市公司的資本結構的變化是否有效地反映在貝塔系數(shù)的變化上?資本結構的不同對公司貝塔系數(shù)的影響有多大?以上問題即是本文研究的重點。 本文樣本范圍為2009年和2010年持續(xù)經(jīng)營的滬深兩市發(fā)行A股的上市公司,以其中12個行業(yè)(除金融行業(yè))上市公司相關財務數(shù)據(jù)作為研究樣本。選取上市公司年度貝塔系數(shù)作為模型因變量,選取的自變量為上市公司的資本結構,同時為了排除其他影響因素的干擾,我們在對樣本進行行業(yè)分類的基礎上,引入具有代表性的其他系統(tǒng)性風險影響因素作為控制變量,包括資產規(guī)模(N)、總資產增長率(g)、凈資產收益率(ROE)、每股收益(EPS)、凈利潤增長率(NPG)、流動比率(CR),以使我們關于資本結構與貝塔系數(shù)相關性研究結果更加準確。 在對樣本進行相關性分析、回歸分析的基礎上,本文得出結論認為：從整體來看,上市公司貝塔系數(shù)與資本結構水平表現(xiàn)出較差的相關性,只有制造業(yè),電力、煤氣及水的生產和供應業(yè),房地產業(yè)及交通運輸、倉儲業(yè)的資本結構水平指標與貝塔系數(shù)顯著相關,其中電力、煤氣及水的生產和供應業(yè)的資本結構與貝塔系數(shù)表現(xiàn)出負相關水平。還有部分行業(yè)表現(xiàn)出資本結構水平與貝塔系數(shù)的相關性方向不穩(wěn)定的特征,這些異常特征均與傳統(tǒng)的財務理論得出的結論不符,這顯示出我國上市公司貝塔系數(shù)未能及時反映公司基本面信息的變化,市場有效性較差。從資本結構來看,行業(yè)間資本結構有所差別,但總體股權融資水平偏高。 根據(jù)研究結論,本文提出相關政策建議：1、提高上市公司信息披露質量；2、進行中小投資者風險教育；3、發(fā)展和完善機構投資者；4、大力發(fā)展債券市場,優(yōu)化融資結構；5、改善市場環(huán)境,優(yōu)化上市公司資本結構,扭轉股權融資偏好。
[Abstract]:In the development of capital market theory, how to measure investment risk correctly is always the core issue of financial research. This study explores how to determine a reasonable discount rate, i.e. the expected rate of return, when evaluating the cash flow of a company's business or investment projects.
Since the 1950s, quantitative analysis of asset risk management has gradually developed. Williams Sharpe, John Lintner and Jan Mossin have established the famous Capital Asset Pricing Model (CAPM), which divides asset risk into systemic risk and non-systemic risk and uses beta coefficient. As a measure of systemic risk, the bigger the beta coefficient, the greater the systemic risk of assets. For a long time, beta coefficient has been widely used in corporate finance, investment and portfolio management, performance evaluation of investment funds and event studies. Investors observe and compare beta coefficient of all kinds of assets. Choose the specific asset items of portfolio according to their risk preference.
It is difficult to calculate the Beta coefficient. At present, it is widely used to estimate the Beta coefficient based on historical data, but the amount of data it needs is large. At the same time, the calculated results based on historical data will also produce some deviation from the estimates of future data. But in fact, many investors do not need to know the specific Beta value. Many scholars have devoted themselves to the study of the influencing factors of the company's systemic risk, especially the influence of the company's basic characteristics on the beta coefficient.
The systemic risk of a company consists of two parts, namely operating risk and financial risk. Operating risk mainly depends on the nature of the company's operating activities and is not affected by changes in capital structure.
The theory of enterprise capital structure is also one of the important contents of modern corporate finance theory. It mainly studies how to arrange the financing structure reasonably in the course of enterprise operation. There are two main criteria to judge whether the capital structure is ideal: first, whether the enterprise value is the largest; second, whether the comprehensive capital cost is the lowest and whether the risk is appropriate. Capital structure is one of the important factors affecting the systemic risk of a company.
So what is the relationship between capital structure and beta coefficient for Chinese listed companies? For different industries, is the change of capital structure effectively reflected in the change of beta coefficient? How much does the difference of capital structure affect the beta coefficient? These questions are the focus of this paper.
The sample range of this paper is listed companies in Shanghai and Shenzhen stock exchanges which have been operating continuously in 2009 and 2010. The financial data of Listed Companies in 12 industries (excluding financial industry) are taken as the research sample. The annual beta coefficient of listed companies is selected as the model dependent variable, and the independent variable is selected as the capital structure of listed companies. Among other factors, we introduce other representative systemic risk factors as control variables, including asset size (N), total asset growth rate (g), return on equity (ROE), earnings per share (EPS), net profit growth rate (NPG), liquidity ratio (CR), on the basis of industry classification. The correlation between capital structure and beta coefficient is more accurate.
On the basis of correlation analysis and regression analysis, this paper draws the conclusion that: on the whole, the Beta coefficient of listed companies has a poor correlation with the level of capital structure, only manufacturing, electricity, gas and water production and supply, real estate and transportation, warehousing and warehousing capital structure level indicators and There is a significant correlation between the Beta coefficient and the capital structure of the power, gas and water production and supply industries, and there is a negative correlation between the capital structure and the Beta coefficient. The beta coefficient of Listed Companies in China fails to reflect the change of the basic information of the company in time, and the market efficiency is poor.
According to the conclusions of the study, this paper puts forward relevant policy recommendations: 1, improve the quality of information disclosure of listed companies; 2, carry out risk education for small and medium investors; 3, develop and improve institutional investors; 4, vigorously develop the bond market, optimize the financing structure; 5, improve the market environment, optimize the capital structure of listed companies, reverse the equity financing preference.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F275;F224
本文編號：2197333
[Abstract]:In the development of capital market theory, how to measure investment risk correctly is always the core issue of financial research. This study explores how to determine a reasonable discount rate, i.e. the expected rate of return, when evaluating the cash flow of a company's business or investment projects.
Since the 1950s, quantitative analysis of asset risk management has gradually developed. Williams Sharpe, John Lintner and Jan Mossin have established the famous Capital Asset Pricing Model (CAPM), which divides asset risk into systemic risk and non-systemic risk and uses beta coefficient. As a measure of systemic risk, the bigger the beta coefficient, the greater the systemic risk of assets. For a long time, beta coefficient has been widely used in corporate finance, investment and portfolio management, performance evaluation of investment funds and event studies. Investors observe and compare beta coefficient of all kinds of assets. Choose the specific asset items of portfolio according to their risk preference.
It is difficult to calculate the Beta coefficient. At present, it is widely used to estimate the Beta coefficient based on historical data, but the amount of data it needs is large. At the same time, the calculated results based on historical data will also produce some deviation from the estimates of future data. But in fact, many investors do not need to know the specific Beta value. Many scholars have devoted themselves to the study of the influencing factors of the company's systemic risk, especially the influence of the company's basic characteristics on the beta coefficient.
The systemic risk of a company consists of two parts, namely operating risk and financial risk. Operating risk mainly depends on the nature of the company's operating activities and is not affected by changes in capital structure.
The theory of enterprise capital structure is also one of the important contents of modern corporate finance theory. It mainly studies how to arrange the financing structure reasonably in the course of enterprise operation. There are two main criteria to judge whether the capital structure is ideal: first, whether the enterprise value is the largest; second, whether the comprehensive capital cost is the lowest and whether the risk is appropriate. Capital structure is one of the important factors affecting the systemic risk of a company.
So what is the relationship between capital structure and beta coefficient for Chinese listed companies? For different industries, is the change of capital structure effectively reflected in the change of beta coefficient? How much does the difference of capital structure affect the beta coefficient? These questions are the focus of this paper.
The sample range of this paper is listed companies in Shanghai and Shenzhen stock exchanges which have been operating continuously in 2009 and 2010. The financial data of Listed Companies in 12 industries (excluding financial industry) are taken as the research sample. The annual beta coefficient of listed companies is selected as the model dependent variable, and the independent variable is selected as the capital structure of listed companies. Among other factors, we introduce other representative systemic risk factors as control variables, including asset size (N), total asset growth rate (g), return on equity (ROE), earnings per share (EPS), net profit growth rate (NPG), liquidity ratio (CR), on the basis of industry classification. The correlation between capital structure and beta coefficient is more accurate.
On the basis of correlation analysis and regression analysis, this paper draws the conclusion that: on the whole, the Beta coefficient of listed companies has a poor correlation with the level of capital structure, only manufacturing, electricity, gas and water production and supply, real estate and transportation, warehousing and warehousing capital structure level indicators and There is a significant correlation between the Beta coefficient and the capital structure of the power, gas and water production and supply industries, and there is a negative correlation between the capital structure and the Beta coefficient. The beta coefficient of Listed Companies in China fails to reflect the change of the basic information of the company in time, and the market efficiency is poor.
According to the conclusions of the study, this paper puts forward relevant policy recommendations: 1, improve the quality of information disclosure of listed companies; 2, carry out risk education for small and medium investors; 3, develop and improve institutional investors; 4, vigorously develop the bond market, optimize the financing structure; 5, improve the market environment, optimize the capital structure of listed companies, reverse the equity financing preference.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F275;F224
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