摘要
本文以中国股票市场沪市中地产、工业、公用以及深市中制造等行业451家公司成分股为样本,采用因子分析法对精选的20个指标进行聚类分析提取公共因子,用状态空间模型估计样本公司的Beta系数,用截面回归法考察各影响因子对Beta系数时变性的影响方向和大小。研究发现,公司规模、财务结构、盈利能力、成长性和市场价值比等因素是造成Beta系数不稳定的重要原因。其中,财务结构、成长性和盈利能力对Beta系数的作用方向和大小具有较强的规律性,要给予充分关注。
By selecting 451 companies＇constituent stocks from real estate, industry, utility and manufacturing industries as samples in China＇s stock market and making a cluster analysis for the chosen 20 indicators with factor analysis to estimate the Beta coefficient for each sample company by using the state-space model,this paper analyses the impact of each factor on Beta coefficients with cross-sectional regression.It is found that scale, financial structure, profitability, growth and market value are important reasons for instability of beta coefficient.The financial structure, growth and profitability have a greater impact on the Beta coefficient,which should be given more attention.
出处
《经济与管理研究》
CSSCI
北大核心
2015年第10期130-137,共8页
Research on Economics and Management
基金
教育部人文社会科学研究西部和边疆项目"经济发展的环境承载力研究"(12XJA910002)
关键词
BETA系数
时变性
因子分析
公司基本面
Beta coefficient
time-varying
factor analysis
company fundamentals
industry
