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ACCA FM知识点：Disadvantages of the CAPM

文章来源：ACCA全球官网

发布时间：2021-11-15 15:05

阅读：600次

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Advantages of the CAPM，本文我们继续介绍Disadvantages of the CAPM。

Disadvantages of the CAPM

The CAPM suffers from several disadvantages and limitations that should be noted in a balanced discussion of this important theoretical model.

Assigning values to CAPM variables

To use the CAPM,values need to be assigned to the risk-free rate of return,the return on the market,or the equity risk premium(ERP),and the equity beta.

The yield on short-term government debt,which is used as a substitute for the risk-free rate of return,is not fixed but changes regularly with changing economic circumstances.A short-term average value can be used to smooth out this volatility.

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Finding a value for the equity risk premium(ERP)is more difficult.The return on a stock market is the sum of the average capital gain and the average dividend yield.In the short term,a stock market can provide a negative rather than a positive return if the effect of falling share prices outweighs the dividend yield.It is therefore usual to use a long-term average value for the ERP,taken from empirical research,but it has been found that the ERP is not stable over time.In the UK,an ERP value of between 3.5%and 4.8%is currently seen as reasonable.However,uncertainty about the ERP value introduces uncertainty into the calculated value for the required return.

Beta values are now calculated and published regularly for all stock exchange-listed companies.The problem here is that uncertainty arises in the value of the expected return because the value of beta is not constant,but changes over time.

相关阅读：【ACCA FM资本资产定价模型：CAPM formula】

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