基于CAPM模型的白酒类上市公司股票β系数实证研究——以招商中证白酒指数基金为例

An Empirical Study of β Coefficient of Stocks of Listed Companies in the Liquor Industry Based on the CAPM Model—— Taking China Merchants Liquor Index Fund as an Example

文章以基金招商中证白酒指数(LOF)A(161725)重仓的十支白酒股票为例,并以这10家上市公司近10年的交易数据和市场指数为基础,分别计算股票和市场收益率,运用资本资产定价模型计算其所含单只股票的β系数,根据权重计算该基金的β系数和其近五年内的投资实际收益率,最后根据β系数计算出预期收益率,将预期收益率与实际收益率作对比,并分析差异原因。

The article takes the ten liquor stocks in which the fund China Merchants Liquor Index(LOF) A(161725)is heavily invested as an example. Based on the trading data and market indices of these ten listed companies in the past 10 years, the stock and market earning ratio are calculated separately, and the β coefficient of the individual stocks is calculated by applying the capital asset pricing model, and the β coefficient of this fund is calculated according to the weights. The actual earning ratio of the fund’s investment in the last five years is calculated, and finally, the expected earning ratio is calculated based on the β coefficient, and the expected earning ratio is compared with the actual earning ratio, and the reasons for the dif ferences are analyzed.