浅析贝塔精确度与证券投资风险的关系

本文通过选取我国证劵市场上沪市的50只权重股,将所选样本数据分为两个时期,利用回归分析的方法,对股票不同时期历史贝塔的关联性做了实证研究。结果表明,较大投资组合的贝塔包含了较多的这一组合的未来贝塔信息,单个证劵贝塔关于未来贝塔的信息则要少得多;在预测未来贝塔的能力方面,组合的历史贝塔要比单个证劵的历史贝塔强一些。因此,在理论上,股票组合的投资风险低于单个股票的投资风险,这和我们实际操作过程中的风险分散分担机制也是一致的。

Research on the relationship between the history beta precision and the securities investment risk

In this paper,we select 50 stocks from the Shanghai Stock Exchange.These selected sample data is divided into two periods.Using of regression analysis method,we compared the relevance of history beta of stocks in different periods by doing empirical research.The results show that the larger the portfolio＇s beta contains more information about the future of beta.However,the information about the future which individual securities＇ beta contains will have much less in the ability to predict future.In conclusion,the portfolio＇s beta is better than the individual securities＇ beta in the ability to predict future.Thus,in theory,equity portfolio investment is less risky than a individual stock investment.This is also consistent with the spread risk mechanisms which we actually operate.