理解

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：

The asset beta and the equity beta will both rise.

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

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.

题目告知D/E=0.65（假设D=0.65，E=1），变为D/E=0.75（假设D=0.75，E=1）.

为什么βa不变？

在βa不变的情况下，由公式E*βe=A*βa=（D*（1-T）+E）*βa，可以得出，当D/E=0.65变为D/E=0.75时，βe变大。"βe变大",可以理解。

想知道为什么当D/E=0.65变为D/E=0.75时，βa不变？

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1 个答案

王琛_品职助教 · 2023年07月20日

嗨，爱思考的PZer你好：

asset beta 反映的是资产的风险，或者说是业务的风险，即资产在某个特定行业的经营风险

不区分资产来源是 Equity 还是 Liability

所以无论杠杆比率是多少，asset beta 都不受影响

比如同一个小区同样户型同样报价的房子，三个不同的人去购买

甲是全款买，乙背了 20% 房贷，丙背了 40% 房贷

不管这三个人的房款的杠杆如何，房价的变动都不受其影响

房价的变动，取决于其他因素，比如政策、小区位置、附近是否新修了地铁、是否加盖了重点学校等

原理我之前刚好总结过，请同学先参考一下：https://class.pzacademy.com/qa/127147

同学如果还有疑问，可以追问或者评论，我再回答同学的后续疑问哈

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加油吧，让我们一起遇见更好的自己！

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