CAJ | 학술논문

为了验证CAPM模型中贝塔系数的稳定性以及系统风险的影响因素，引入ENGLE提出的DCC-GARCH模型，利用上市公司普通股月度收益率数据得到随时间变化的贝塔值，证明了用来衡量资产风险的贝塔系数具有不稳定性。将时变贝塔与选取的财务指标进行多元线性回归，得出如下结论：对由时变贝塔表示的系统风险有显著正向影响的财务指标包括经营杠杆、资本积累率、企业规模，以及应收账款周转率；有显著负向影响的指标包括流动比率和现金流量比率；无显著影响的指标为财务杠杆和净资产收益率。与已有研究不同的是，时变贝塔的引入克服了研究结论只对行业研究具有一定参考意义而对个别公司的指导意义不大的缺点，可为利益相关者在公司层面衡量系统风险提供指导。
위료험증CAPM모형중패탑계수적은정성이급계통풍험적영향인소，인입ENGLE제출적DCC-GARCH모형，이용상시공사보통고월도수익솔수거득도수시간변화적패탑치，증명료용래형량자산풍험적패탑계수구유불은정성。장시변패탑여선취적재무지표진행다원선성회귀，득출여하결론：대유시변패탑표시적계통풍험유현저정향영향적재무지표포괄경영강간、자본적루솔、기업규모，이급응수장관주전솔；유현저부향영향적지표포괄류동비솔화현금류량비솔；무현저영향적지표위재무강간화정자산수익솔。여이유연구불동적시，시변패탑적인입극복료연구결론지대행업연구구유일정삼고의의이대개별공사적지도의의불대적결점，가위이익상관자재공사층면형량계통풍험제공지도。
In order to verify the stability of CAPM beta as well as the influential factors of the systematic risk , the DCC-GARCH model proposed by Engle was introduced to calculate the time -varying beta according to the monthly rate of return .It was proved the beta coefficient which is used to measure asset risk was instable .The following conclusions are made after the multiple linear regression between the time -varying beta and the selected financial indicators: Four indexes have a significant positive impact on the system risk represented by the time -varying beta including operating leverage , rate of capital accumula-tion, firm size and accounts receivable turnover ratio;the current ratio and cash flow ratio have a significant negative impact on the time-varying beta;the financial leverage and return on equity have no significant impact .Differ from the existing research , the introduction of time-varying beta has overcame the shortcomings of the conclusions that have a certain reference meaning to industry research and little guiding significance on individual companies and could provide guidance to measure the systematic risk on the corporate level .