简述β系数的发展历程

China's Stock Market Beta Coefficient Development Process

在资本市场发展演变与实践过程中,正确度量投资风险一直是金融研究领域的核心问题。Sharpe(1964)等人在Markowitz投资组合理论的基础上推出资本资产定价模型(Capital Asset Pricing Model,CAPM)。此后这个模型广泛地应用在各个投资机构,基金管理,风险组合管理上。因而CAPM的关键因子:β系数的计算、性质以及如何能更好的实际应用就显得尤为重要,因此本文就β系数的定义、发展和β系数在中国的应用提出了一些看法。

In the development and practice of capital market, the right investment risk has always been a core problem in the financial re- search field. Sharpe （1964） introduced the Capital Asset Pricing Model （Capital Asset Pricing Model, CAPM） which was found on the portfolio theory of Markowitz. Since then the model was widely used in various investment agency, fund managements, risk portfolio management. From then on, the key factor of the CAPM——β coefficient＇s calculation, nature, and use in practical are particularly important. This paper puts forward some ideas about the definition, development of fl coefficient and applications in China.