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ACCA FM资本资产定价模型：WACC and CAPM

文章来源：ACCA全球官网

发布时间：2021-11-15 14:32

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财务管理学习指南的E部分包含对资本资产定价模型(CAPM)的若干参考，上一篇我们探讨了Perfect capital market，本文我们继续介绍WACC and CAPM。

WACC and CAPM

The weighted average cost of capital(WACC)can be used as the discount rate in investment appraisal provided that some restrictive assumptions are met.These assumptions are as follows:

the investment project is small compared to the investing organisation

the business activities of the investment project are similar to the business activities currently undertaken by the investing organisation

the financing mix used to undertake the investment project is similar to the current financing mix(or capital structure)of the investing company

existing finance providers of the investing company do not change their required rates of return as a result of the investment project being undertaken.

These assumptions are essentially saying that WACC can be used as the discount rate provided that the investment project does not change either the business risk or the financial risk of the investing organisation.

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If the business risk of the investment project is different to that of the investing organisation,the CAPM can be used to calculate a project-specific discount rate.The procedure for this calculation was covered in the second article in this series.

The benefit of using a CAPM-derived project-specific discount rate is illustrated in Figure 2.Using the CAPM will lead to better investment decisions than using the WACC in the two shaded areas,which can be represented by projects A and B.

Project A would be rejected if WACC is used as the discount rate,because the internal rate of return(IRR)of the project is less than the WACC.This investment decision is incorrect,however,since project A would be accepted if a CAPM-derived project-specific discount rate is used because the project IRR lies above the SML.The project offers a return greater than that needed to compensate for its level of systematic risk,and accepting it will increase the wealth of shareholders.

Project B would be accepted if WACC was used as the discount rate because its IRR is greater than the WACC.

This investment decision is also incorrect,however,since project B would be rejected if using a CAPM-derived project-specific discount rate,because the project IRR offers insufficient compensation for its level of systematic risk(Watson and Head,pp.291-2).

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