Research On The Method Of Beta Coefficient Calculation Of Chinese Securities Companies

With the deepening of financial reform and the enlargement of the scale of the securities market,the securities company,as one of the most important financial media in China's multi-level capital market,has a very important position.The necessary analysis and reasonable value evaluation of listed securities companies will provide important reference information for investors ' investment decisions in the direction of securities companies.The beta coefficients in the CAPM model measure the sensitivity of the expected return of a single financial asset to the expected return on the market,and the volatility of the asset yield represents the risk of holding the asset.In the financial market,we define the systemic risk of a financial asset by ? coefficient,explore the characteristic of ? coefficient,look for a reasonable method to calculate the ? coefficient,and play an important role in the risk management of financial market.This paper,using the method of literature analysis,makes a review of the relevant research on ?-coefficient measurement method and the management characteristics and risk characteristics of the securities industry,and expounds the common single exponential model,Blume estimation method,Bayes estimation method,ARCH model and so on in the beta coefficient measurement,By comparing the advantages and disadvantages of different methods in the past empirical study,the selection of Blume estimation method as the main research method is finally determined.In empirical research,this paper calculates the beta coefficients of 16 typical listed securities companies from January 1,2013 to December 31,2016,calculates ? coefficients using traditional historical regression method and Blume estimation method,and tests the ? coefficients in 26-week and December-period to determine the accuracy of my The applicability and stability of the method of estimating ? coefficients in the securities industry of China.Based on the improvement of the ? coefficient,the paper chooses a better method for estimating the ? coefficient of the securities industry,which can be used for reference in perfecting the valuation method and the practical operation of valuation accuracy.