我国基于总收益形式与超额收益形式估计的证券贝塔比较分析

Comparision Security Betas Estimated by Total Returns with that by Excess Returns in China

经过简化的基于总收益形式的指数模型被经常用来估计证券贝塔,但这个模型没有理论依据。由于我国无风险利率的方差与市场收益的方差变动比较起来非常小,短期无风险利率的实际变动对贝塔估计值影响很小,因此,从"预测"的角度看,用总收益形式的单指数模型估计贝塔值可以完全替代具有理论基础的超额收益形式的单指数模型估计的贝塔。

The simplified index model which is based on total returns is often used to estimated security betas, which is no theoretical foundation. The effect of variation of riskfree rate on estimated betas is trivial as the variance of riskfree rate is much smaller than that market return in China.In a forecast view, the estimated betas used by a single- index model which is based on total returns is completely proxy for that used by a single - index model which is based on excess returns and is based on theoretical foundation.