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ACCA FM资本资产定价模型：Proxy companies and proxy betas
文章来源：ACCA全球官网
发布时间：2021-11-11 15:24
阅读：611次
CAPM是一种基于风险评估计算投资所需回报的方法。当投资项目的经营风险与被投资公司的经营风险不同时，投资项目所要求的回报不同于被投资公司现有业务经营所要求的平均回报。这意味着用投资公司现有的资金成本作为投资项目的折现率是不合适的。相反，CAPM可用于计算反映投资项目业务风险的项目特定贴现率。
Project-specific discount rates
Section E of the Study Guide for Financial Management contains several references to the Capital Asset Pricing Model(CAPM).This article,is the second in a series of three,and looks at applying the CAPM in calculating a project-specific discount rate to use in investment appraisal.The first article in the series introduced the CAPM and its components,showed how the model could be used to estimate the cost of equity,and introduced the asset beta formula.The final article will look at the theory,advantages,and disadvantages of the CAPM.
As mentioned in the first article in this series,the CAPM is a method of calculating the return required on an investment,based on an assessment of its risk.When the business risk of an investment project differs from the business risk of the investing company,the return required on the investment project is different from the average return required on the investing company’s existing business operations.This means that it is not appropriate to use the investing company’s existing cost of capital as the discount rate for the investment project.Instead,the CAPM can be used to calculate a project-specific discount rate that reflects the business risk of the investment project.
Proxy companies and proxy betas
The first step in using the CAPM to calculate a project-specific discount rate is to look for companies whose business operations are similar to the proposed investment project.For example,if a food processing company was looking at an investment in coal mining,it would need to locate some coal mining companies.Companies undertaking similar business operations to a proposed investment are known as‘proxy companies’.Since their equity betas represent the business risk of the proxy companies’business operations,they are referred to as‘proxy equity betas’or‘proxy betas’.
From a CAPM point of view,these proxy betas can be used to represent the business risk of the proposed investment project.For example,the proxy betas from several coal mining companies ought to represent the business risk of an investment in coal mining.
相关阅读：【ACCA FM知识点：资本资产定价模型】
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