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本文基于CAPM单参数指数模型,选取上证湖南板块各个公司自上市以来的数据,按其股改上市日期,划分为总计、股改前和股改后三组数据,采用OLS法估计,通过研究其系统风险系数β和决定系数R2,发现湖南版块的股票多属进攻性股票,但决定系数偏低。股权分置改革起到了较好的作用,一定程度降低了系统风险,但是变化不一,总体有下降,处于较低值,非系统风险依旧很大。
Based on the single parameter exponential model of CAPM, this paper selects the data of every company in Shanghai Stock Exchange since its listing, and divides it into three groups according to the listed date of stock reform, three groups of data before the stock reform and the stock reform, using OLS method to estimate the system risk coefficient β and coefficient of determination R2, Hunan stocks are mostly offensive stocks, but the decision coefficient is low. The split share structure reform has played a good role, to a certain extent, reduce the system risk, but varies, the overall decline, at a low value, non-systematic risk is still great.