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齐王木木 · 2021年02月25日

什么是 expanded CAPM,和 CAPM per se？

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100001305

问题如下：

5. Regarding the two statements about discount rate estimates, Chin is:

选项：

A.

correct with respect to adding the small stock premium and correct with respect to the weighted average cost of capital.

B.

correct with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

C.

incorrect with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

解释：

C is correct.

Both statements by Chin are incorrect. If the CAPM is used with public companies with similar operations and similar revenue size, as stated, then the calculation likely captures the small stock premium and should not be added to the estimate. Small stock premiums are associated with build-up models and the expanded CAPM, rather than the CAPM per se. The correct weighted average cost of capital should reflect the risk of Thunder’s cash flows not the risk of the acquirer’s cash flows.

Small stock premiums are associated with build-up models and the expanded CAPM, rather than the CAPM per se.什么是 expanded CAPM,和 CAPM per se？

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1 个答案

Debrah_品职答疑助手 · 2021年02月26日

嗨，爱思考的PZer你好：


同学你好，首先要明确CAPM作为单因素模型，它的缺点太明显了，它只适用于大的成熟的上市公司。因此只要不是大的成熟的上市公司，我们就要考虑它所面对的除了系统性风险以外的所有风险，那么有几个风险，我们就要再加上几个风险补偿，这样计算出来的要求回报率才最准确。这就是题目中说的expanded CAPM，类似Build-up Method。

per se是“本身”的意思，在答案解析里指的就是单因素模型的经典CAPM模型。

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