Quantitative Research Of The Impact Of Listing Corporation’s Basic Characteristics On The Stock Coefficient Beta

Risk management is one of the hot issues of research in stock market. Accurate measurement of risk is the precondition of risk management. The systemic risk of stock market is effectively quantified by coefficient (3 in the capital asset pricing model, which is an important indicator of risk management. Historical research indicates that there are many factors that affect the coefficient β, among which corporation’s basic characteristics is one of the most important. Therefore, it is very important to study the relationship between the basic characteristics and the stock coefficient beta of the listing corporation, not only can help investors to control and management investment risk better, but also can reflect the risk characteristics of the stock market from a deeper level.A lot of scholars have studied the relationship between the corporation’s basic characteristics and the stock coefficient β, but these studies have some limitations. The past research either calculated the correlation coefficient between coefficient β and the selected indexes or direct compared the influence of various indexes according to the regression coefficient of linear regression. They only measured the influence of individual index on coefficient β, and the comprehensive influence of these indexes were not be measured, could not quantify the influence degree of the corporation’s basic characteristics on coefficient β.This paper selects 15 listing Corporation from each industry of commercial banks, automobile manufacturing and real estate development, total 45 Corporation. In order to guarantee the timeliness and accuracy, selecting the nearest 2010-2014 as the study interval, collecting the stock coefficient P and 16 accounting indicators of 45 listing Corporation as the research samples for empirical analysis, calculating the comprehensive influence of the 16 accounting indicators to quantify the influence degree of corporation’s basic characteristics on the coefficient β.The empirical research of this paper includes two parts:one is to judge whether there are significant differences between the coefficient P of three industry. The statistical test shows that the coefficient β between commercial banks and automobile manufacturing and the coefficient β between commercial bank and real estate development are significantly different, but the coefficient β between automobile manufacturing and real estate development are not significantly different. Two is to quantify the influence degree of the corporation’s basic characteristics on the coefficient β. Because there are two groups has significant differences among the three groups of coefficient β, it is necessary to study the three industries respectively. In the empirical analysis, the main factors of the initial variables are extracted by principal component analysis, then the regression model is constructed based on the β value and the main factor. Finally, calculating according to the regression results. The results show that the impact of commercial bank corporation’s basic characteristics on the coefficient β is 61.3%; the impact of automobile manufacturing corporation’s basic characteristics on the coefficient β is 56.4%; the impact of the real estate development corporation’s basic characteristics on the coefficient βis 54.1%. The influence degree of the corporation’s basic characteristics on the coefficient β of the three industries is in a medium level.The results of the empirical study reflect some problems in the stock market of our country:The structure of investors is irrational, individual investors are more, their investment level is low, and they cannot realize the optimization of investment portfolio through fully mining the risk differences between industries. The lack of value investment philosophy, the impact of the corporation’s basic characteristics is still not big enough, the proportion of value investing is still small.