CAJ | 학술논문

在资本资产定价模型（CAPM）中，β（系统风险）是决定资产定价的唯一N素。以我国A股上市公司为研究样本，通过将资产风险β分解为成长性风险βG和现有资产风险βA2个部分，探讨了公司的成长性和现有资产对β的影响。研究结果表明，总体上我国证券市场中上市公司的βA显著地大于βA，但不同行业间差异显著。进一步分析显示，若公司规模越大、账面市值比越高、同所处行业的市场竞争程度越低，不仅βG对β的影响更大，而且βG与βA间的差异也越明显。这表明，在我国证券市场中，βG既是β取值大小的重要因素，同时也是风险的主要来源。
재자본자산정개모형（CAPM）중，β（계통풍험）시결정자산정개적유일N소。이아국A고상시공사위연구양본，통과장자산풍험β분해위성장성풍험βG화현유자산풍험βA2개부분，탐토료공사적성장성화현유자산대β적영향。연구결과표명，총체상아국증권시장중상시공사적βA현저지대우βA，단불동행업간차이현저。진일보분석현시，약공사규모월대、장면시치비월고、동소처행업적시장경쟁정도월저，불부βG대β적영향경대，이차βG여βA간적차이야월명현。저표명，재아국증권시장중，βG기시β취치대소적중요인소，동시야시풍험적주요래원。
In Capital Asset Pricing Model（CAPM）, Beta is the only determinant of asset pricing. In this paper, we decompose a firm＇s capital into growth opportunity and asset-in-place to explore their impact on Beta, and the relationship with the risk of firm＇s capital. Our empirical results show that in Chinese stock market, in general, the Beta of growth opportunities is greater than the Beta of assets in-place, and there is significant difference among industries. Further, if a firm has larger size, higher book-to-market ratio, and lower market competition for the firm＇s industry, the impact of growth opportunity on the firm＇s Beta is greater, and the difference between the Beta of growth opportunity and asset-in-place is also highly significant. The results show that in Chinese stock market, growth opportunity is not only the key determinant of risk of capital, but also the risk sources.