万科贝塔值

李鹏鹏

2015281050329

深证市场收益率%

万科收益率%

2011-01-31, 2011-02-28, 2011-03-31, 2011-04-29, 2011-05-31, 2011-06-30, 2011-07-29, 2011-08-31, 2011-09-30, 2011-10-31, 2011-11-30, 2011-12-30, 2012-01-31, 2012-02-29, 2012-03-30, 2012-04-27, 2012-05-31, 2012-06-29, 2012-07-31, 2012-08-31, 2012-09-28, 2012-10-31, 2012-11-30, 2012-12-31, 2013-01-31, 2013-02-28, 2013-03-29, 2013-04-26, 2013-05-31, 2013-06-28, 2013-07-31, 2013-08-30, 2013-09-30, 2013-10-31, 2013-11-29, 2013-12-31, 2014-01-30, 2014-02-28,

-3.72 7.57 -2.63 -1.99 -5.26 3.82 -0.99 -4.95 -9.7 1.83 -7.51 -7.99 4.31 8.07 -6.41 8.18 -0.38 -6.32 -4.64 -9.36 5.7 -2.41 -6.69 15.35 6.05 -0.27 -7.8 -2.23 6.52 -16.89 0.92 5.63 3.8 -0.82 1.16 -4.93 -6.76 -2.73

-0.24 -0.49 6.5 -2.42 -7.55 7.78 -3.55

0 -11.17 10.5 -11.75 5.81 2.41 8.24 0 8.45 3.01 -3.68 3.59 -13.11 5.11 -1.3 5.17 15.66 18.68 -0.08 -10.33 2.51 8.61 -17.78 -3.35 -0.63 -3.49 0.88 -4.89 -8.33 -8.09 -8.94

2014-03-31, -2.39 2014-04-30, 1.71 2014-05-30, 0.71 2014-06-30, -0.29 2014-07-31, 8.36 2014-08-29, -1.45 2014-09-30, 3.04 2014-10-31, 1.8 2014-11-28, 9.44 2014-12-31, 22.35 2015-01-30, 1.24 2015-02-27, 5.44 2015-03-31, 11.93 2015-04-30, 12.6 2015-05-29, 8.65 2015-06-30, -10.95 2015-07-31, -13.7 2015-08-31, -14.75 2015-09-30, -5.32 2015-10-30, 15.6 2015-11-30, 4.26 2015-12-31, 5.21

EXCEL散点图

70605040y = 0.8408x + 2.1525R² = 0.30233020100-20-15-10-5-100510152025-20-30 万科收益率=2.1525+0.8408*市场收益率 R2=0.3023

20.39 -2.35 8.23 -3.27 19.71 -7.88 0.66 2.4 15.96 27.52 -5.61 -2.82 8.39 5.64 -1.71 1.18 -2.34 -2.68 -7.75 7.38 10.24 62.11

万科(000002)的市场表现 截距=2.1525% Beta=0.8408 2011-2015年度国债年化平均利率=3.75% 月度无风险利率=3.75%/12=0.3125%

无风险利率*（1-Beta）=0.3125%*(1-0.8408)=0.0498% 万科Alpha=2.1525%-0.0498%=2.1027%

在2011-2015年度万科每月收益率较预期高2.1027% 万科年度平均超额回报=（1+2.1027%）12-1=28.36%

参考房地产行业，可估计万科风险溢价介入5.39%-7.70%，取中值6.545% 根据CAPM模型

万科期望收益率=3.75%+0.8408*6.545%=9.253%