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ACCA FM资本资产定价模型：Ungearing equity betas
文章来源：ACCA全球官网
发布时间：2021-11-11 15:54
阅读：662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。前一节我们介绍了资本资产定价模型知识点：Business risk and financial risk，本文我们继续讲解Ungearing equity betas。
Ungearing equity betas
The asset beta formula is a bit unwieldy and so it usual to make the simplifying assumption that the beta of debt(βd)is zero.This is a relatively minor simplification because the debt beta is usually very small compared to the equity beta(βe).In addition,the market value of a company’s debt(V d)is usually very small in comparison to the market value of its equity(V e),and the tax efficiency of debt reduces the weighting of the debt beta even further.
Assuming the debt beta is zero,the asset beta formula becomes:
If the equity beta,the gearing,and the tax rate of the proxy company are known,this amended asset beta formula can be used to calculate the proxy company’s asset beta.Since this calculation removes the effect of the financial risk or gearing of the proxy company from the proxy beta,it is usually called‘ungearing the equity beta’.Similarly,the amended asset beta formula is called the‘ungearing formula’.
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