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kinman · 2023年03月11日

可以这样理解吗

  1. CFA I
  2. Corporate Issuers

NO.PZ2016021705000028

问题如下：

Wang Securities had a long-term stable debt-to-equity ratio of 0.65. Recent bank borrowing for expansion into South America raised the ratio to 0.75. The increased leverage has what effect on the asset beta and equity beta of the company?

选项：

A.

The asset beta and the equity beta will both rise.

B.

The asset beta will remain the same and the equity beta will rise.

C.

The asset beta will remain the same and the equity beta will decline.

解释：

B is correct.

Asset risk does not change with a higher debt-to-equity ratio. Equity risk rises with higher debt.

AxβA=ExβE 由于A不变 所以左边不变 右边由于D/E的上升导致E的权重变小了 所以E变小 βE变大

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1 个答案

王琛_品职助教 · 2023年03月13日

嗨，爱思考的PZer你好：


1

这道题涉及两个概念的辨析，分别是 asset beta 和 equity beta

我理解同学问的是，关于 equity beta 的分析？

2

如果是 equity beta 的分析，直接参考咱们课上的推导公式即可

equity beta 和 D/E 比例成正比，asset beta 不变

所以 D/E 比例增加 (由 0.65 增加到 0.75)，equity beta 增加

请参考基础班讲义墨迹版 P312

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