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ACCA FM资本资产定价模型：Averaging asset betas

文章来源：ACCA全球官网

发布时间：2021-11-11 15:59

阅读：720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Averaging asset betas。

Averaging asset betas

After the equity betas of several proxy companies have been ungeared,it is usually found that the resulting asset betas have slightly different values.This is not that surprising,since it is very unlikely that two proxy companies will have identical systematic business risk.Even two coal mining companies will not be mining the same coal seam,or mining the same kind of coal,or selling coal into the same market.If one of the calculated asset betas is very different from the others,however,it would be regarded with suspicion and excluded from further consideration.

To remove the effect of the slight differences in business operations and business risk that are reflected in the asset betas,these asset betas are averaged.A simple arithmetic mean is calculated by adding up the asset betas and then dividing by the number of asset betas being averaged.

Regearing the asset beta

The average asset beta represents the business risk of the proposed investment project.Before a project-specific discount rate can be calculated,however,the financial risk of the investing company needs to be taken into consideration.In other words,having ungeared the proxy equity betas when calculating the asset betas,it is now necessary to‘regear’the average asset beta to reflect the gearing and the financial risk of the investing company.

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One way to approach regearing is to use the ungearing formula,inserting the gearing and the tax rate of the investing company,and the average asset beta,and leaving the equity beta as the only unknown variable.Another approach is to rearrange the ungearing formula in order to represent the equity beta in terms of the asset beta,as follows:

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The gearing and the tax rate of the investing company,and the average asset beta,are inserted into the right-hand side of the regearing formula to calculate the regeared equity beta.

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