The Study On The Beta Coefficient And Stability Of International Oil Companies

The key issue in the theory of capital market is how to measure the risk of assets correctly.Portfolio theory divides the assets risk into systematic risk and non systematic risk.Due to the non system risk is dispersible.the investment managers usually care about the systematic risk only.As a measure index of the systematic risk,Beta becomes a hot issue in academic research.The research on Beta is mainly focused on the calculation and prediction of Beta,the stability test of Beta and the influence factors of Beta.This paper selects five international integrated oil companies and two C hinese oil companies who listed on the New York Stock Exchange,to study the Beta calculation,stability,prediction and difference analysis between PetroC hina with Exxon Mobil's Beta in perspective of Income periodicity and company leverage in 2004 to 2015.Results shows that:(1)the average Beta of sample oil companies was 1.01,the same as the market risk,and the oil price fluctuation have a great influence on the Beta.(2)The Beta of C hina Petroleum Companies and higher than the International O il Companies,and have a higher Fluctuation.(3)Beta of seven oil companies are stable during the sample period.using the estimate Beta as the next value is mainly true.(4)The Mean Regression Forecasting model have a best predictive effect among the prediction models.(5)The Beta of Exxon Mobil is effected by Inco me periodicity stronger.However,the leverage of PetroC hina is higher than Exxon Mobil,the income volatility of PetroC hina is greater than Exxon Mobil.resulting in the Beta of PetroC hina is higher than Exxon mobil.