摘要
本文以南方证券2000-2003年间对哈药集团股份有限公司(哈药股份)股票的操纵案例为切入点,通过历史回归法逐月计算了1998-2007年间该公司的贝塔系数时间序列,揭示了采用历史回归法估计企业贝塔系数的局限;并引入和运用资产贝塔法对哈药股份的贝塔系数进行了重新估计。通过对比分析,得到了资产贝塔法可以更为客观、准确的估计企业贝塔系数的结论。本文认为,资产贝塔法在中国的引入和应用,对估计企业的股权成本、资本成本、以及企业的作价和业绩评价均有重要的意义。
This paper draws on the case of the illegal stock price manipulation of Harbin Pharmaceutical Group （HPG） in the Chinese A share market by China Southern Securities during the 2000-2003 period; and by observing changes in the beta estimations of HPG obtained by the regression method month by month for the period of 1998-2007, it illustrates the limitation of the regression method. The paper then utilizes what is called asset-beta method to recalculate the beta of HPG during the same period. The results of the comparative analysis demonstrate that the asset-beta method can yield a more objective and accurate estimation of HPG’s beta coefficient. The paper concludes that the introduction and application of asset-beta method in China has important implications in estimating costs of equity and capital, firm valuation and performance evaluation.
出处
《管理评论》
CSSCI
北大核心
2010年第7期90-96,104,共8页
Management Review
