【摘要】：正確作出項目投資決策，需要計算項目的評價指標。大部分評價指標的計算均要用到項目的貼現(xiàn)率，即項目的資本成本。估計資本成本最常用的方法是利用資本資產(chǎn)定價模型，該模型的利用需要確定投資項目的系統(tǒng)風險，這需要比照可比公司的經(jīng)營活動的系統(tǒng)風險予以確定。此處可比公司經(jīng)營活動的系統(tǒng)風險，即本文所研究的經(jīng)營貝塔（Beta，β）系數(shù)。 經(jīng)營β系數(shù)是指經(jīng)營活動收益率與市場組合收益率之間的相關性，用以衡量經(jīng)營活動的系統(tǒng)風險。目前關于估測經(jīng)營β系數(shù)的方法主要分為兩大類，第一是基于證券市場信息估測經(jīng)營β的方法，第二則是基于會計信息估測經(jīng)營β的方法（本文稱之為“會計β值法”）。 第一種估測方法主要是利用證券市場上公開的歷史數(shù)據(jù)，首先估測公司的股票β，然后通過投資項目系統(tǒng)風險與股票系統(tǒng)風險的關系進行轉換而得。但是這樣應用的一個重要前提是證券市場是一個有效市場，無論是國外的證券市場還是國內(nèi)的證券市場，都無法達到有效市場的狀態(tài)，因此，利用此方法得出的經(jīng)營β實際上是不準確的。 本文所研究的第二種估測方法則基于會計信息，用公司會計數(shù)據(jù)收益率取代股票的收益率，利用單一指數(shù)模型，將市場組合收益率與公司會計數(shù)據(jù)收益率進行回歸，回歸所得的斜率即為公司的經(jīng)營β系數(shù)值。相對于第一種估測方法而言，此方法能很好地避免了噪聲交易的影響，，而且隨著會計工作的不斷推進，目前對于會計指數(shù)的研究也越來越深入和全面，本文研究的會計β值法也正順應了會計指數(shù)研究的潮流。 根據(jù)國內(nèi)外學者的已有研究，本文歸納總結出應用會計β值法的一般步驟：○1選取模型的主要參數(shù)，○2選取行業(yè)樣本公司，○3計算市場收益率，○4計算會計數(shù)據(jù)收益率，○5計算各樣本公司經(jīng)營β系數(shù)，○6計算行業(yè)經(jīng)營β系數(shù)。 在此基礎上，本文估測了我國房地產(chǎn)行業(yè)的經(jīng)營β系數(shù)并詳細描述了估測的具體過程和步驟。在模型參數(shù)選取方面，本文選取了季度為收益率的計算周期，2002年9月30日至2012年9月30日共10年為回歸時間段，上證綜指以及深證綜指為市場收益率代表，投入資本報酬率為會計數(shù)據(jù)收益率代表；在樣本公司選取方面，本文根據(jù)了樣本篩選的四個條件：首發(fā)上市日期、經(jīng)營業(yè)務以及營業(yè)成本構成、數(shù)據(jù)是否齊全，從126家行業(yè)樣本公司中篩選出22家上市公司作為最終樣本；在確定計量參數(shù)以及22家樣本公司后，本文根據(jù)2002年9月30日至2012年9月30日每季度的上證綜指、深證綜指以及22家樣本公司調(diào)整后的管理用財務報表計算得出10年回歸時間段內(nèi)每季度的市場收益率以及22家樣本公司的ROIC增長率；并根據(jù)單一指數(shù)模型，將市場收益率以及ROIC增長率予以回歸，計算得出22家樣本公司的經(jīng)營β系數(shù)，并得到20家有效樣本；最后通過均值模型對各樣本公司的經(jīng)營β系數(shù)進行平均后得出我國房地產(chǎn)行業(yè)的經(jīng)營β系數(shù)約為1.4728。 本文還運用了基于證券市場信息估測經(jīng)營β的方法對我國房地產(chǎn)行業(yè)的經(jīng)營β進行估測，收益率的計算周期、回歸時間段、市場組合收益率代表以及樣本公司均與會計β值法的一致，此方法估測得出的經(jīng)營β系數(shù)為0.9705。房地產(chǎn)行業(yè)屬于系統(tǒng)風險較大的行業(yè)，其估測得出的經(jīng)營β系數(shù)理應大于1，因此認為利用會計β值法估測的結果更合理地反映了真實情況。 本文基于會計信息估測得出我國房地產(chǎn)行業(yè)經(jīng)營β系數(shù)為1.4728后，根據(jù)資本資產(chǎn)定價模型，估算得出我國房地產(chǎn)行業(yè)的資本成本為18.52%，應用于項目投資決策。
[Abstract]:To make the project investment decision correctly, the evaluation index of the project needs to be calculated. Most of the evaluation indicators are calculated using the discount rate of the project, i.e. the capital cost of the project. The most common way to estimate capital cost is to use the capital asset pricing model, which uses the need to determine the system risk of the investment project, which needs to be determined by comparing the system risk of the operating activities of comparable companies. This is comparable to the system risk of the Company's operating activities, i.e. the rate of operations (Beta, XIX) studied herein. Operating profit coefficient refers to the correlation between the rate of return of business activity and the yield of market portfolio, which is used to measure the department of business activities. At present, there are two main categories: the first is the method based on the stock market information estimation and management method, and the second is the method based on the accounting information estimation and management method (this paper is called "method of value method of accounting" ). The first estimation method is mainly to utilize the historical data disclosed in the securities market, first estimate the stock price of the company, and then pass the risk of the investment project system and the risk of the stock system. However, an important prerequisite for such application is that the securities market is an effective market, whether foreign securities market or domestic securities market can not reach the state of the effective market. Therefore, it can be obtained by using this method. The second estimation method studied in this paper is based on the accounting information, replaces the yield of the stock with the company's accounting data rate of return, uses the single index model to combine the market portfolio rate of return with the company. The rate of return of the accounting data is returned and the slope obtained is returned to the obtained slope. Compared with the first estimation method, the method can well avoid the influence of noise trading, The research is becoming more and more thorough and comprehensive, and the value method of accounting value in this paper is also positive. According to the existing research of scholars at home and abroad, this paper sums up the general steps of applying the value method of accounting index: the main parameters of selecting model, selecting the industry sample company, and calculating the market by 3. 3. The rate of return, table 4 calculates the accounting data rate of return, and table 5 calculates the operation of each sample company. Based on this, this paper estimates the operation of real estate industry in China. In terms of model parameter selection, this paper selects the calculation period of quarterly profit rate, from September 30, 2002 to September 30, 2012, 10 years as return period, Shanghai Composite Index and Shenzhen Composite Index as the market rate of return. Table, invested capital turnover rate is represented by the accounting data rate of return; in the selection of sample companies, this paper based on the four conditions of sample screening: the initial listing date, the operating business and the operating cost, whether the data is complete, and from 126 industry samples. 22 listed companies were screened as final samples in the Company; after determining the metering parameters and 22 sample companies, this article is based on September 30, 2002 By September 30, 2012, the Shanghai Composite Index, Shenzhen Composite Index and 22 sample companies adjusted their management financial statements to calculate the quarterly market rate of return for the 10-year return period and the ROIC growth rate of 22 sample companies; and according to a single exponential model, Return the market rate of return and ROIC growth rate, calculate the operating depreciation coefficient of 22 sample companies, and get 20 valid samples; finally, the average value model will be used to average the operating depreciation coefficient of each sample company. In this paper, we estimate the operating income of real estate industry in China based on the information of stock market, calculate cycle, return period and market of the real estate industry. Combination Rate of Return and Sample Company's Equal Value Method with Accounting In accordance with the agreement, the estimated operating depreciation coefficient is 0. 9705. The real estate industry belongs to the industry with larger system risk, and the estimated operating depreciation coefficient should be greater than 1, so it is considered that Based on the estimation of accounting information, the paper estimates that China's real estate industry's operating depreciation coefficient is 1. 4728, and according to the pricing model of capital assets, it is estimated that our country
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F275;F299.233.4

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