Empirical Study On The Relationship Between Beta Coefficient And Accounting Variables In Chinese Stock Market

In modern economical life, risk is a conception which people pay more attention to. Especially in the securities market, situation changes constantly. Since the CAPM model came out, beta coefficient is an important parameter, which describe the relationship between asset or assets portfolio and market collectivity. It is an important systematic risk index because it can measure systematic risk of asset. Owing to the difficulty of estimating beta coefficient, many investors needn't estimate beta coefficient. But it is required to discover: which fator influences beta coefficient and influence degree. At the same time, this paper not only explains the instability of beta coefficient in the certain extent, but also provides the scientific theory basis and the analysis method for the forecast of beta coefficient.Company's basic characteristic, such as product life cycle, financial policy and so on, would change along with time that could inevitably lead to the change of stock price. Thus it will cause the change of beta coefficient. Firstly, this paper gives a comprehensive and systemic introduction to the theory study of beta coefficient. In the basic of this, this paper chooses sampling 293 A stocks from the Shanghai and Shenzhen Stock Exchanges which come into market before 1997. Starting with the company's characteristic, this paper selects related accounting variables and makes the research supposition. Then, the author identifies and evaluates what factors significantly affect an individual stock's beta by applying cluster method, correlation method and multiple regression analysis method for the period from January 1998 to December 2004.In the existing literature, empirical research on beta by using Chinese stock market' database is very rare up to now. The major inadequacies of the previous studies made by China's scholars are lack of comprehensive and in-depth researches because most of them have narrow sample periods or inadequacy sample size, using only one or two analysis methods. This paper makes a great improvement in those aspects so that this research conclusions are generalized and more reliable. This paper investigates whether there exist consistent relationships between beta and its influential factors.