关键词: Beta系数, 跨期时变, 系统性风险, 公司估值, 周期性行业

Abstract:

This paper theoretically analyzes how time-varying Beta coefficient and different settings of time element influence systematic risk measurement and business valuation results, and then we conduct an empirical test of the theoretical findings from bond market in China. Owing to this, the weekly data and monthly one of industry yield and market average return from five cyclical industries have been chosen as study sample, including non-ferrous, iron and steel, petrochemical, real estate and banking from Jan. 1st, 2005 to Dec. 31st, 2014. The main result shows: different settings of time element could influence the stability of Beta coefficient significantly; these different settings also have significant impacts on systematic risk measurement and business valuation results; setting time element prudently is beneficial to improve the stability of Beta coefficient and reduce the deviation in systematic risk measurement and business valuation. Among them, the preferable estimate period of Beta coefficient is five to ten years; as the frequency of yield measurement, priority should be given to weekly data rather than to monthly one.

Key words: Beta Coefficient, Time Variation, Systematic Risk, Business Valuation, Cyclical Industry