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当前位置:中博教育 > ACCA > 学习指导 > ACCA FM知识点:资产β、权益β、债务β

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

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。

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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).

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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:

微信图片_20211110153611.png

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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