ACCA FM知识点:资产β、权益β、债务β
文章来源:ACCA全球官网
发布时间:2021-11-10 15:41
阅读:2212次

如果一家公司没有债务,就没有财务风险,它的贝塔值仅反映业务风险。公司业务运营整体的贝塔值称为“资产贝塔值”。只要公司的业务运营及其业务风险不变,其资产贝塔系数就保持不变。当一家公司承担债务时,其负债率会增加,财务风险会增加其业务风险。随着负债增加,公司普通股东面临越来越高的风险,他们需要从公司获得的回报增加以弥补不断增加的风险。
Asset betas,equity betas and debt betas
If a company has no debt,it has no financial risk and its beta value reflects business risk alone.The beta value of a company’s business operations as a whole is called the‘asset beta’.As long as a company’s business operations,and hence its business risk,do not change,its asset beta remains constant.
When a company takes on debt,its gearing increases and financial risk is added to its business risk.The ordinary shareholders of the company face an increasing level of risk as gearing increases and the return they require from the company increases to compensate for the increasing risk.This means that the beta of the company’s shares,called the equity beta,increases as gearing increases(Watson,D.and Head,A.(2016)Corporate Finance:Principles and Practice,7th edition,Pearson Education Limited,Harlow pp289-90).
However,if a company has no debt,its equity beta is the same as its asset beta.As a company gears up,the asset beta remains constant,even though the equity beta is increasing,because the asset beta is the weighted average of the equity beta and the beta of the company’s debt.The asset beta formula,which is included in the formulae sheet,is as follows:
Note from the formula that if Vd is zero because a company has no debt,βa=βe,as stated earlier.
EXAMPLE
Calculating the asset beta of a company
You have the following information relating to RD Co:
Equity beta of Tug Co=1.2
Debt beta of Tug Co=0.1
Market value of shares of Tug Co=$6m
Market value of debt of Tug Co=$1.5m
After tax market value of company=6+(1.5 x 0.75)=$7.125m
Company profit tax rate=25%per year
βa=[(1.2 x 6)/7.125]+[(0.1 x 1.5 x 0.75)/7.125]=1.024.
The next article will look at how the asset beta formula allows the CAPM to be applied in calculating a project-specific discount rate that can be used in investment appraisal.
Written by a member of the Financial Management examining team
相关阅读:【ACCA FM知识点:资本资产定价模型】
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CICPA、ACCA ;曾任世界500强企业战略计划与控制部经理。多年来一直任职于外资企业,从事财务及相关管理工作,熟悉财务各个业务流程与职能,有着丰富的理论与实战经验。担任多所高校外聘ACCA讲师,善于总结复习技巧,将纷繁复杂的P阶段考试内容总结成逻辑关系清晰的学习框架,从宏观战略角度帮助学员理解知识概念并与结合实际应用理论知识,让学员快速了解书本内容,建立清晰的知识结构框架!
