贝塔系数时变性影响因素--基于451家上市公司股票数据的实证分析

摘要

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.%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。