股票的权益比、账面市值比及其公司规模与股票投资风险--以上海证券市场的10只上市公司股票投资风险为例

Debt/Equity,Book Value/Market Value,Corporation Scale and Investment Risk of Stock Market

最近20年来一些学者对CAPM理论模型检验的结果大都表明,股票的投资风险(或其收益)并非像该模型描述的那样由β系数唯一决定,还存在其他因素在股票投资风险中起影响作用。国内学者借助于横截面法的回归模型研究指出,股票的权益比率(D/E)、账面/市值价值比(BV/MV)与公司规模是决定股票投资风险除β系数外的三个主要经济变量。为了验证他们理论的正确性与精确性,该文率先运用模糊数学的聚类分析法,对上证市场随机选取10只样本股票的D/E、BV/MV、公司规模与股票投资风险相关性进行实证分析,并与用回归分析方法得到的β指数与风险关系进行比较研究。经研究进一步证实,股票投资风险并非唯一由β系数决定,股票的D/E、BV/MV及其公司规模应当成为β系数以外影响股票投资风险不可忽视的重要因素。本文研究的意义在于建议股票投资者,衡量股票投资风险不仅要考察股票的β系数,还应进一步考察股票的D/E、BV/MV和公司规模等。

In order to test the accuracy of Chinese and foreign scholar＇s stock investment risk （or income） theory in China, this paper empirically studies 10 stocks in terms of Debt/equity ratio, book value/market value ratio and company scale by clustering analysis method and compares the result with that of the analysis of beta for the first time. The research indicates that stock investment risk is decided not only by the stock＇s beta coefficient, but also by stock D/E, BV/MV and the company scale that affect the stock investment risk noticeably. The findings of this paper is very important to perfect and regulate the investor behavior.