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ACCA FM知识点：Using the CAPM in investment appraisal
文章来源：ACCA全球官网
发布时间：2021-11-15 15:09
阅读：671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Using the CAPM in investment appraisal。
Using the CAPM in investment appraisal
Problems can arise in using the CAPM to calculate a project-specific discount rate.For example,one common difficulty is finding suitable proxy betas,since proxy companies very rarely undertake only one business activity.The proxy beta for a proposed investment project must be disentangled from the company’s equity beta.One way to do this is to treat the equity beta as a portfolio beta(βp),an average of the betas of several different areas of proxy company activity,weighted by the relative share of the proxy company market value arising from each activity.
βp=(W1β1)+(W2β2)
W1 and W2 are the market value weightings of each business area
β1 andβ2 are the equity betas of each business area.
Example
A proxy company,Gib Co,has an equity beta of 1.2.Approximately 75%of the business operations of Gib Co by market value are in the same business area as a proposed investment.However,25%of its business operations by market value are in a business area unrelated to the proposed investment.These unrelated business operations are 50%riskier,in systematic risk terms,than those of the proposed investment.What is proxy equity beta for the proposed investment?
Solution
Using the portfolio beta formula,βp=(W1β1)+(W2β2):
1.2=(0.75 xβ1)+(0.25 x 1.5 xβ1)=(0.75 xβ1)+(0.375 xβ1)=1.125 xβ1
Proxy equity beta=β1=1.2/1.125=1.067
In this case note thatβ2=1.5 xβ1
The information about relative shares of proxy company market value may be quite difficult to obtain.
A similar difficulty is that ungearing proxy company betas uses capital structure information that may not be readily available.Some companies have complex capital structures with many different sources of finance.Other companies may have untraded debt or use complex sources of finance such as convertible bonds.
The simplifying assumption that the beta of debt is zero will also lead to inaccuracy,however small,in the calculated value of the project-specific discount rate.
Another disadvantage in using the CAPM in investment appraisal is that the assumption of a single-period time horizon is at odds with the multi-period nature of investment appraisal.While CAPM variables can be assumed constant in successive future periods,experience indicates that this is not true in the real world.
Conclusion
Research has shown the CAPM stands up well to criticism,although attacks against it have been increasing in recent years.Until something better presents itself,though,the CAPM remains a very useful item in the financial management toolkit.
Written by a member of the Financial Management examining team
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