摘要
本文对中国上市公司的系统风险与会计风险之间的关系进行实证研究。与国内已有研究相比,本研究采用了更长时期的资料估计系统风险,扩展了会计风险指标,考虑了不同时段及行业因素的影响。研究发现,从与会计风险指标联系程度以及前后时期的关联性角度来看,杠杆调整后的贝塔系数要优于单指数模型估计的贝塔系数。行业因素对这两种风险及其关系有明显的影响。两种风险之间的联系程度随时间推移在加强。依据对系统风险的解释力,12个会计风险变量可分为若干组,其中6个会计风险指标已经显示出对系统风险的比较稳定、可信的对应关系,另有某些会计风险指标与系统风险之间有着特殊的对应关系。
By using the data of A-share listed companies in China from 1997 to 2004, this paper mainly analyzes the association between the systematic risk and accounting risk. Compared to existing research result, the paper extends the longer data to evaluate systematic risk estimated by using three methods and considers the influence of different market situations and different industries on the relationship. The result finds that the un levered beta is better than the one estimated by the standard market model. This paper also shows that some other accounting risks have the special relationship with the systematic risk.
出处
《金融研究》
CSSCI
北大核心
2006年第4期109-121,共13页
Journal of Financial Research
基金
教育部人文社会科学研究项目(编号:02JA790061)的研究成果。
关键词
系统风险
会计风险
实证研究
systematic risk
accounting risk
empirical research
