Abstract:
Beta is an important indicator in the field of investment and risk management. This paper first reviews the calculation method of the beta. Then, 14 representative private enterprises listed in China's Shanghai Stock Exchange from 2016 to 2020 are selected to analyze the influencing factors of beta, aiming to identify and empirically prove that fundamental variables of companies have a significant impact on beta value. This study adopts the quantitative research of multiple regression analysis. Through purposeful sampling, 70 standard-compliant observation reports were obtained from 14 companies over a five-year period. According to the research results, return on equity and current ratio have significant impact on beta, and asset growth and debt to equity have no significant impact on beta. Meanwhile, according to the calculation, the impact of these four independent variables on the dependent variable is 41.48%, and the rest 58.52% is explained by other factors other than this study. So fundamental variables affect the beta of a stock.
