摘要
分析了β系数的变化特征,运用递归残差法估计和检验了β系数的稳定性,指出CAPM模型中的β系数是度量证券系统性风险的重要指标。
This paper analyzes the variation features of β coefficient, estimates and detects the stability of β coefficient through using recursive residual error method, and obtains that β coefficient in CAPM model is the important index of measuring systematic risk of securities.
出处
《科技情报开发与经济》
2006年第18期131-132,共2页
Sci-Tech Information Development & Economy
关键词
系统性风险
强贝塔系数
弱贝塔系数
systematic risk
strong β coefficient
weak β coefficient
