Discussion of the Factors Influencing the Beta Coefficient in the CAPM Model----Based on an Empirical Study of the China A-shares

Yuze Wang ()
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Yuze Wang: Southwestern University of Finance and Economics Accounting academy

A chapter in Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024), 2025, pp 83-93 from Springer

Abstract: Abstract CAPM is a revolutionary concept because it provides a quantitative method to assess investment risk and expected return. In the formula of CAPM, beta represents an investment that risk to a market portfolio. If a company has a beta higher than one, then it is seen as being higher risky than the market. Instead, a beta less than one is thought to potentially less the risk of the market. The main purpose of this article is to analysis the relevance of the three aspects of size, profitability, debt-paying ability to Beta. This article will be represented by the logarithm of Total asset, ROA, current ratio, and asset-liability ratio and profit margin, respectively. In addition, this article will use multiple OLS regression after correlation test’s method to do an empirical study of the China A-shares to analyze the correlation between Beta and factors. The result of study shows that the Beta is relevant to asset-liability ratio, ROA, total asset, and Beta is irrelevant to current ratio and profit margin.

Keywords: Influencing factors; Beta; CAPM; Multi regression (search for similar items in EconPapers)
Date: 2025
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DOI: 10.2991/978-94-6463-652-9_9

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