Session Topic: Risk, Information and Capital Budgeting
Session Topic: Risk, Information and Capital Budgeting
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会议主题：风险、信息和资本预算
DOI：
10.1111/j.1540-6261.1974.tb03057.x
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发表时间：
1974
影响因子：
8
通讯作者：
Richard A. Cohn
中科院分区：
文献类型：
--
作者：
William F. Sharpe;A. A. Robichek;Richard A. Cohn
在过去的十年里，金融领域的大量实证研究都是针对普通股的风险-回报关系进行的。风险通常分为两个部分：不可分散或系统性部分和可分散或非系统性部分。一个常用的系统性风险指数，通常简称为”贝塔”，是将个别证券和/或投资组合的收益率与整个股票市场收益率联系起来的时间序列回归系数。由此可见，贝塔系数等于1的股票具有与整个市场相同程度的系统风险，而贝塔系数大于或小于1的股票分别具有比市场投资组合更大或更小的系统风险。不幸的是，尽管在这个一般领域有大量的研究，但很少有人知道为什么一只股票有任何特定的贝塔值，或者股票的贝塔值是否会随着经济条件的变化而变化。本文提出并检验的主要假设是，某些公司普通股的系统风险，即贝塔系数，与宏观经济环境直接相关。具体地说，贝塔被视为随时间的变化而变化，因为真实的经济增长率和通货膨胀率发生了变化。本文的下一部分讨论了以前的工作有关的价值在股票市场和宏观经济变量。第三部分提出了预期系统性风险可能受到真实的增长和通货膨胀变化影响的理由。以下部分介绍了用于验证我们的假设的方法并报告了实证研究的结果。最后一节提出了一些结论性意见，并建议需要进一步研究。
MUCH OF THE EMPIRICAL RESEARCH in finance over the past decade has been directed at measuring the risk-return relationship for common stocks. Risk has usually been segregated into two components: the nondiversifiable or systematic component and the diversifiable or unsystematic part. A commonly employed index of the systematic risk, often referred to simply as" beta," has been the time series regression coefficient relating rates of return of individual securities and/or portfolios to the overall stock market rates of return. It follows that a stock with a" beta" equal to unity has the same degree of systematic risk as the market as a whole, while stocks with betas greater or less than unity have, respectively, more or less systematic risk than the market portfolio. Unfortunately, despite a wealth of research in this general area, little is known as to why a given stock has any particular beta or whether the stock's beta value tends to vary in response to changes in economic conditions. The principal hypothesis formulated and tested in this article is that the systematic riskiness of some firms' common shares, ie, the beta, is related directly to the macroeconomic environment. Specifically, beta is viewed as subject to changes over time as changes occur in the rate of real economic growth and in the rate of inflation.The next section of the paper discusses previous work relating values in the stock market and macroeconomic variables. The third section presents reasons for expecting that systematic risk might be affected by changes in real growth and inflation. The following section presents the methodology employed to test our hypothesis and reports the results of the empirical study. The final section offers some concluding comments and suggests the need for further research.