股权成本计算范例.doc

ATryoutonCostofEquity(XiAnTourism)ChoosingmodelDuetothecomplicationofothermodels,wedecidedtousetheCAPMasourmodeldealingwiththeproblem(althoughitmakesthemostrestrictiveassumptions)EquationE(R)=Rf(RmRf)()WearegoingtodiscussthethreepartsonebyoneAriskfreerate(Rf)WedecidedtochoosethesevenyearTbillasourriskfreerateforthefollowingreasons:Foraninvestmenttoberiskfree,ithastohavenodefaultriskPRCisanAAcountry,sowecanassumethatshehasnodefaultriskThesevenyearTbillisalongtermbill,whichmaturityissimilarwithourcaseThesevenyearTbill’sconsititutionisclosetotheportfolioofthemarketSoitwillbemoreprecisewhenusingitThesevenyearTbillis,comparedtothelongterminterestrate,notsosensitivetotheunexpectedinflationWhatismore,itsliquiditypremiumislowThetradingvolumeishugeButduetothedatadefficiency,andthegiantnumberofpeoplewhogotothebanktodeposit,wecanusetheoneyearinterestrateinsteadThediagrambelowshowsthevariationoftheoneyearinterestrateSincethererangeisbig,weusedifferentweightstovaluethedataofdifferenttimeTheclosertherateistillnow,themoreweightweputBelowisthedatacollectedandthelastnumberisourresultβComparedtotheregressionapproach,IchosethecomparablecorporationapproachforitsconvinienceinpracticeWhatismore,throughcomparingthemainbusinessfieldandtheloantovalueratioofthecompaniesonboard,IfoundthatitsconstitutionofmainbusinessandfinancialparametersarehighlysimilarSowecancometotheconclusionthattheapproachwillworkIchoseXiAnTourismasmycaseAswecanseefromitsdescription,thecompanymainlyfocusesonthetourismandrealestateItsassetsareinXiAnandNorthSea,bothofwhicharedomesticmarketsWhenweareusingthecomparablecompanyapproach,weshouldusesomecomparablecompanies’data,applyingthemethodoflinearregression,togettheβofthecompaniesThenwecanaddweightstothecompaniestogetacomparableβSincewecangetawellroundeddatafrominternet,wecansimplyapplyittoourcaseBecauseXiAnTourism’smainprofessionsaretourismandrealestate,whichweightsareand,weadopttheβofthesetwofields××=DE=**=TaxRate=Intherealestatefield:UnleveredβBusiness=βComparablefirms(((t)(DE)Comparablefirms))=（（）×）≈Inthetourismfield:UnleveredβBusiness=βComparablefirms(((t)(DE)Comparablefirms))=（（）×）≈InthiswaywecanobtaintheunleveredβofXiAntourism:Unleveredβ=××≈Equityriskpremium(RmRf)Equation:ERP=MaturemarketstockriskpremiumcountryriskpremiumTheDefaultspreadonCountryBondapproachneedstheassumptionthatthereisadefaultriskfreeentity,whichisnottherealityinChinaTheequitystandarddeviationapproachispromisingbutlessliquid(andveryriskymarkets)oftenhavelowstandarddeviationsUsingthisapproach,wecanendupwithalowerstandarddeviationforthesemarketsthanwewouldfortheUSBasedupontheabove,wechosethefollowingapproach:ThethirdapproachEquation:CountryEquityriskpremium=Defaultspreadoncountrybond*sCountryEquitysCountryBondThenewestERPforUSisWeuseitasourmaturemarketstockriskpremiumChinaisrankedasAbytheMoody’s,whichisBPconvertedtothecountrydefaultriskspreadTherangeofthepriceofthestocksinthedomesticmarketisbig,bonds’volatilitybeinghighatthesametime,sotheresultwillturnouttobeveryhighwhenweusethedatatodividethevolatilityTomakeup,wecanadopttheaveragedataofemergingmarketcountries,say,．％＋*=≈ResultsE(R)=Rfβ(RmRf)=*=ReferenceZviBodie,Investments,McGrawHill,JunqingWang,etal,MeasurementandapplianceofCostofEquity,FinancialEngineeringResearch