Research On The Mean-reversion Characteristics Of Beta Coefficient Of Small And Medium-sized Stocks In A-share Market

Beta coefficient is one of the main indicators to measure the systematic risks of stocks,which plays a very important role in the research of investment theory and decision-making analysis,therefore,there are very important theoretical value and practical significance in the research and analysis of Beta coefficient.The stability of Beta coefficient has always been the problem the academics and investors pay special attention to,and a considerable number of scholars at home and abroad believe that Beta coefficient is unstable,which brings challenges for using Beta coefficients estimated from historical data to measure future risks,however,some scholars believe that Beta coefficient has mean reversion,which makes it possible to predict Beta coefficients in the future.The significance of the hypothesis of mean reversion is that Beta coefficient value will gradually approach to mean value in the long run if Beta coefficient has mean-reversion characteristics,which makes it possible to accurately predict Beta coefficient,so that the risk of stocks will be predicted and the price of stocks will be predicted.In this paper,the predictability of Beta coefficient is studied,and the empirical part takes China's small and medium-sized stocks in A-share market as the research sample,we test whether Beta coefficient of stocks follows the mean reversion through the research of this market.This paper consists of five parts.Firstly,it introduces the background and significance of the research.Secondly,it reviews and summarizes the stability and mean reversion of Beta coefficient at home and abroad in detail,and introduces the theoretical knowledge related to this paper.In the third part,it explains the design idea and research method of this paper.In the fourth part,it takes the listed companies in the small and medium-sized board as the object of empirical research.In this paper,it builds 20 stock portfolios and select 20 stocks,and obtains the estimated Beta coefficient of the sample stocks and their portfolios by establishing the reversion model,and then uses mean-reversion model to further analyze the mean-reversion characteristics of small and medium-sized stocks and their portfolios of A-share market in China.Finally,it summarizes the empirical process and points out the limitations in the research.