Research On Value Investment Of Listed Companies In The Financial Industry Based On Time-varying ? Coefficients

Since the 1950 s,the quantitative research of asset management has been in the golden stage of continuous development.More and more scholars have focused on how to achieve the best combination of risk and benefit.Sharpe puts forward the well-known capital asset pricing model by introducing the ? value of the securities risk,and it is the best model to measure the uncertainty and the profit of the asset because of its scientific and reasonable description of the relationship between risk and profit.The current beta coefficients are widely used in all aspects of investment theory and practice and play an important role.But the study found that,the beta coefficient is not long-term,with a certain degree of volatility and instability.Corresponding to the capital asset pricing model can not lead to a good prediction of risk assets or portfolio of future earnings.Since the establishment of China's stock market since 1990,both in the development of speed or scale expansion have made a relatively large breakthrough.Need to be particularly emphasized,the high risk of the stock market will not only hinder the allocation of resources function,and even worse will lead to a cyclical financial crisis.Therefore,it is of great practical significance to prevent and avoid the stock market risk,improve the efficiency and enhance the risk resistance of the stock market.This paper evaluates the value investment strategy of Listed Companies in the financial industry by studying the time varying beta coefficient.First of all,the introduction part,from the research background,research significance,research content,literature review,pave the way for the paper;secondly,the theoretical part of the theoretical study of the theoretical basis to elaborate.Including the assumptions of the GARCH model estimated by the time-varying beta coefficient and the estimation method of the parameters,and the research hypothesis of the relationship between the system risk and the financial index,and provide theoretical guidance for the multiple linear regression of the correlation between the system risk and the financial index;Then,the time-varying beta coefficient model introduced and empirical analysis part.The constant ?-coefficient and the time-varying ?-coefficient are calculated by using the capital asset pricing model.The constant beta coefficient is estimated by using the capital asset pricing model.Then use the GARCH model,do regression analysis,estimate the time-varying ? coefficient.The value of the capital asset pricing model underthe time-varying ? coefficient is better than the constant ? coefficient.Finally,the empirical study on the value of the listed companies in the financial industry is studied.By analyzing the correlation between the time-varying ?-coefficient and the yield,it is verified that "the higher yield is the compensation for the higher time-varying?-coefficient".And then predict the future rate of return based on the correlation between the time-varying beta coefficient and the yield.;Finally,the research results of the induction and summary,including revelation,limitations,and then draw the conclusions of the paper.