Study On The Stability Of Beta And Relationship Between Beta And Growth In Growth Enterprises Market

Beta coefficient,as the key parameter of correctly understanding the theory of capital market related the relationship between the returns and risk, is important to the capital market research.Becauseβcoefficient is more difficult to estimate, although a number of estimation methods have been universally accepted-for example, historical transaction data based on estimates, the data needed to calculate under this method is relatively large, and the new listing stocks often lack sufficient historical transaction data .In fact, most investors don't need to estimateβcoefficient but to find out which factors affect theβcoefficient and to what extent in the end. GEM company with high growth characteristics ,the stock price fluctuation caused by the changes of The company growth index will be, then will influence on its beta, If we can make clear which growth index affect the beta coefficient will give investors certain Investment guidance.This paper first summary the accountant variable and the beta coefficient, Selects the venture panel city first batch to be listed 28 stocks in this foundation to take the object of study. The sample time interval is from October 30, 2009 to December 31, 2010. In market index choice. because considers on the card index weight stockholder's rights is much. Therefore, sometimes the index of risk can not be able to represent the market risk appears. Eventually the market portfolio returns chose shenzhen ChengZhi. In beta coefficient calculation method, chose a single exponential model. This paper are divided into six chapters, the first chapter is the introduction section, the second chapter is at risk and system risk, The third part is the application of beta model,including the capital asset pricing model and arbitrage pricing model.The fourth part is the stability of beta and the relationship betweenBeta and growth in Growth Enterprises Market;the fifth part is the empirical study,mainly at the same time period, including Beta stability and the stability of the different time period,and the ability to grow on the beta coefficient index; sixth part is the conclusion of the study.Part VI is the conclusion of the study. In this paper, through the study of variance and regression analysis, The results show that beta GEM listed companies at the same time and different time period, the vast majority have the stability, only the indicators reflect the ability to grow net profit growth rate of the beta coefficient has significant influence,Current ratio and quick ratio control variables on the beta coefficient is not significantly affected by.