估计贝塔的预测值

Amarjit Gurbuxsh Singh
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摘要

资本资产定价模型(CAPM)在企业融资中被广泛用于评估证券的预期收益和净资产收益率,而衡量系统风险的贝塔系数是CAPM方程的一个组成部分。以前的研究似乎没有解决是否贝塔作为一个独立的指标允许个人投资者有效地评估相对于市场的回报,而本研究旨在解决这个问题。交易所交易基金(etf)反映了相对于标准普尔500指数的一系列预期波动。XLK(科技类股)、XLE(能源类股)、XLU(公用事业类股)和XLY(消费必需品类股)的贝塔系数是通过将它们五年来的周收益与标准普尔500指数的周收益进行回归来估算的。使用了三个五年期(分别于2005年、2010年和2015年结束)。贝塔系数与预期值基本一致,但XLY的贝塔系数出乎意料地大于市场贝塔系数。使用双尾配对t检验比较估计的贝塔和观察到的贝塔,没有发现差异,这表明估计的贝塔在统计上是实际贝塔的一个很好的代理。但实际上,在一些情况下,估计的贝塔值和观察到的贝塔值之间存在相对较大的差异,这可能是投资者担心的问题。使用估计贝塔的回报和实际回报也比较了1年、2年、3年、4年和5年的三个五年期间的回报。在符号和幅度上观察到预期负观察回报的显著变化。双尾配对t检验表明,除XLE外,所有基金在三个五年期间,使用估计贝塔值的回报率与实际回报率之间存在差异。观察结果表明,贝塔系数是不稳定的,个人投资者应纳入额外的指标,以预测相对于市场的回报。
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Predictive Value of Estimated Beta
The Capital Asset Pricing Model (CAPM) is widely used in corporate finance to assess expected returns of securities and return on equity, and beta, a measure of systematic risk, is a component of the CAPM equation. Previous studies appear not to have addressed whether beta as a stand-alone metric allows individual investors to effectively assess returns relative to the market, and this study aims to address this. Exchange-traded funds (ETFs) reflecting a range of expected volatilities relative to the S&P 500 index were selected. Betas of XLK (Technology sector), XLE (Energy sector), XLU (Utilities sector), and XLY (Consumer Staples sector) were estimated by regressing their weekly returns over five years against those of the S&P 500 index. Three five-year periods were used (ending in 2005, 2010, and 2015). The betas largely conformed to anticipated values with the exception of that of XLY which was surprisingly greater than the market beta. Estimated and observed betas were compared using a two-tailed paired T-test and no difference was found, suggesting that estimated beta is statistically a good proxy for actual beta. In practical terms though, there were relatatively large variances in several instances between estimated and observed betas, and this could be a concern for investors. Returns using estimated beta and actual returns were also compared over one, two, three, four, and five years with regard to the three five-year periods. Significant variation was observed for expected minus observed returns both in sign and magnitude. A two-tailed paired T-test suggested there was a difference between returns using estimated beta and actual ones over the three five-year periods for all funds except XLE. The observations suggest betas are volatile and individual investors should incorporate additional metrics to forecast returns relative to the market.
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