证券投资分析实验报告(正文).doc

证券投资分析实验报告一、 实验目的1）加深对资本资产定价模型（CAPM）的认识与理解；2）计算我国股市中个股或行业的贝塔系数；3）对贝塔系数的稳定性进行检验。二、 实验内容选取上市公司中国平安与上证市场从2005年1月到2014年2月的月收益率数据，计算股票中国平安的贝塔系数值，并对其稳定性进行检验。三、 实验步骤1）数据收集 选取上市公司中国平安与上证市场从2005年1月到2014年2月对月收益率数据。 月收益率_Monret流通市值加权平均市场月收益率_Mrettmv月无风险收益率_Monrfret-0.03610.03320.0015860.08670.07320.0014250.04260.03830.001425-0.0296-0.07720.0014250.34410.13520.0014250.0107-0.0410.0014250.0260.00960.001656-0.1058-0.05890.001852-0.0595-0.04920.001892-0.0656-0.07250.001892-0.1331-0.05050.0018920.10870.09540.001892-0.0310.01050.0018920.0461-0.01750.0018920.0543-0.0160.0018860.00970.05010.001823-0.1163-0.07870.001891-0.0433-0.01710.001945-0.0264-0.02350.001964-0.0978-0.04540.002225-0.1123-0.03960.0022460.02950.01660.0022510.01550.01580.0020460.09050.07190.0020460.11640.09280.0018880.0290.03750.001682-0.1248-0.11360.0017760.0311-0.01440.00202-0.106-0.11780.002354-0.057-0.00470.0024020.0062-0.04810.00237700.06220.002008-0.1213-0.05840.00209-0.01670.02050.002086-0.0652-0.07840.002035-0.0804-0.06130.0020850.06930.10030.00196-0.196-0.10250.0014540.19-0.03920.000954-0.0306-0.07680.000967-0.0133-0.00910.000940-0.02370.0009520.05060.09890.000895-0.07540.00570.00093-0.0087-0.05570.0009690.02280.00390.0011730.05140.05690.0015070.03420.10480.0015070.07720.04740.001466-0.06870.03990.0014530.2370.11420.0015480.11420.21540.001672-0.1390.04890.001811-0.1111-0.05860.0019810.07590.03990.0020510.12860.04220.0020670.17030.01690.0021670.32460.12060.0022890.14390.11610.002340.3220.19980.00234-0.00420.1350.002374-0.00890.13480.0023640.37450.30980.0024270.10560.13960.0024870.0555-0.09020.0025510.31650.20750.002620.04890.1460.0026820.05210.04890.0029340.2019-0.03640.00325-0.2491-0.15520.0035450.06980.17470.003643-0.1373-0.08380.003731-0.00450.0450.003753-0.1493-0.18480.0037510.0504-0.01580.003745-0.1482-0.06740.003743-0.2338-0.24170.0037320.0760.05070.003682-0.0288-0.21450.003604-0.2579-0.07530.003591-0.2719-0.2530.0035220.07410.16770.0030630.05230.02860.0019080.23040.12030.0012560.18560.07820.0010880.15510.19250.0010410.02380.0560.0010130.09310.06470.001010.22310.09160.0010430.19980.16510.001227-0.3052-0.18650.0014350.10010.05130.0014590.12340.11710.0014810.07920.12250.0014990.00450.02090.001516-0.1096-0.06370.0015530.03460.05010.0016040.03340.0240.0016192）利用公式计算贝塔系数将以上数据输入至Eviews软件后，利用软件工具计算平安银行个股对于市场的方差以及市场自身的方差，结果如下：PASHCHPA0.0177540.010567SHCH0.0105670.010294 0.0105670.0102941.033)利用线性回归模型计算贝塔系数 以单因素模型为基础，将市场组合的超额收益率作为单一经济因素，设计回归模型： E(Ri) - rf = c + E(RM) - rf + i其中，E(Ri)代表股票的月收益率，rf代表无风险收益率，E(RM)代表市场月收益率，i是随机误差项。利用EViews软件进行回归分析,得到回归方程:PA-RF = 0.00246387933146 + 1.02699775606*(SHCH-RF)由回归方程可知，该股票的贝塔系数为1.03Dependent Variable: PA-RFMethod: Least SquaresDate: 06/11/14 Time: 00:45Sample: 2002M02 2010M03Included observations: 98VariableCoefficientStd. Errort-StatisticProb.C0.0024640.0085860.2869810.7747SHCH-RF1.0269980.08344212.307980.0000R-squared0.612100Mean dependent var0.018821Adjusted R-squared0.608059S.D. dependent var0.134123S.E. of regression0.083968Akaike info criterion-2.096568Sum squared resid0.676858Schwarz criterion-2.043813Log likelihood104.7318Hannan-Quinn criter.-2.075230F-statistic151.4864Durbin-Watson stat1.896089Prob(F-statistic)0.0000004)检验贝塔系数的稳定性贝塔系数是反映单个证券或证券组合相对于证券市场系统风险变动程度的一个重要指标。利用贝塔系数，投资者可以预测单个证券或证券组合未来将面临的市场风险状况。通常贝塔系数是用历史数据来计算的，而历史数据计算出来的贝塔系数是否具有一定的稳定性，将直接影响贝塔系数的应用效果。 本实验利用Chow检验检测贝塔系数在市场交替出现牛市、熊市时的稳定性。Chow分割点检验的思想是把方程应用于由分割点划分出来的每一个子样本区间，然后比较全样本回归得到的残差平方和与利用每一子样本区间回归得到的残差平方和，判断相关参数的稳定性。Chow检验的F统计量越小，说明参数越稳定，两段区间并未发生显著的结构性变化。本试验将2007年10月设为分割点。检验结果如下表：Dependent Variable: PA-RFMethod: Least SquaresDate: 06/11/14 Time: 01:14Sample: 2002M02 2010M03Included observations: 98VariableCoefficientStd. Errort-StatisticProb.SHCH-RF1.0307040.08204512.562670.0000R-squared0.611767Mean dependent var0.018821Adjusted R-squared0.611767S.D. dependent var0.134123S.E. of regression0.083570Akaike info criterion-2.116118Sum squared resid0.677439Schwarz criterion-2.089741Log likelihood104.6898Hannan-Quinn criter.-2.105449Durbin-Watson stat1.894975Chow Breakpoint Test: 2007M10Null Hypothesis: No breaks at specified breakpointsVarying regressors: All equation variablesEquation Sample: 2002M02 2010M03F-statistic0.050879Prob. F(1,96)0.8220Log likelihood ratio0.051925Prob. Chi-Square(1)0.8197Wald Statistic0.050879Prob. Chi-Square(1)0.8215检验的F统计量为0.050879，说明该股票在200