Beta Coefficient Estimates

β, as a major index to measure the systematic risk of stocks, providessignificant information revealing the relationship between asset returns andmarket returns, therefore became a widely argued issue on capital assetpricing theories and practical researches within the latest 30 years. A crucialparameter in measuring the risk of securities it is, domestic studies about β ishardly seen. The second chapter of this paper is the review of what theprevious scholars did in this field, summarized the different ways to estimateβ. In the third chapter, where the time-series regression and cross-sectionalregression were applied, the author collected the information of 30 listedcompanies in shanghai stock exchange and Shenzhen stock exchange, ect. Byestimating and testing the relative differences and efficiencies of β, A relativeefficient way to estimate the systematic risk in Chinese capital market issupposed to reveal, whereby provide a substantial reference for the research inthe years to come.