基于CAPM模型的旅游上市公司系统风险分析

风险始终是投资者及管理者最为关注的问题之一。以20家旅游上市公司为研究对象,运用CAPM模型计算度量其系统风险的Beta系数,分析系统风险在其面临的总风险中所占比重,以及个股风险与整个市场风险的相对关系;通过单位根检验和时间趋势检验验证Beta系数的均值回归趋势,得出各个公司Beta系数的长期均值和方差;总结各类旅游上市公司的风险特征。结论如下：系统风险在旅游上市公司的总风险中所占比重较小;各公司的Beta系数均具有均值回归趋势,其中11家公司Beta系数长期均值大于1,其收益率在市场风险影响下波动性大;旅游业三类上市公司中,酒店类上市公司的收益率受市场因素影响最为明显,景区类次之,综合类最弱。

Analysis of Systematic Risk of Listed Tourism Companies in China Based on CAPM Model

Risk has always been one of the main concerns of investors and managers.With 20 listed tourism companies as the research objects,this paper calculates their Beta coefficient and the proportion of systematic risk by the use of CAPM model,from which we can clarify the relationship between stock risk and market risk.It verifies the mean reversion tendency of Beta coefficient of listed tourism companies by unit root test and time trend test and obtains the long-term mean and variance of Beta coefficient of each company.It summarizes the risk characteristics of three categories of listed tourism companies.Conclusions are as follows： the proportion of systematic risk of listed tourism companies in the overall risk is smaller than non-systematic risk and Beta coefficient has the trend of mean reversion.Beta coefficients of 11 companies are greater than 1.Hotels in three categories listed companies are affected most seriously by the systematic risk.