股權(quán)資本成本計(jì)算模型的比較研究

11400字

摘要： 股權(quán)資本成本即股權(quán)資本的必要報(bào)酬率，即企業(yè)在使用股權(quán)資本時(shí)所需要付出的最低報(bào)酬。股權(quán)資本成本的高低會(huì)影響公司有關(guān)投資，融資，經(jīng)營的決策。同時(shí)，股權(quán)資本成本的高低還能反應(yīng)出一個(gè)公司的會(huì)計(jì)透明度和公司治理能力的好壞。再者，當(dāng)我們計(jì)算一個(gè)企業(yè)的整體價(jià)值時(shí)，往往需要測算該公司的股權(quán)資本成本，因而股權(quán)資本成本對(duì)于一個(gè)企業(yè)說尤為重要。
雖然股權(quán)資本成本對(duì)于企業(yè)來說非常重要，但是有關(guān)它的測算方法一直是財(cái)務(wù)管理學(xué)的難點(diǎn)所在。傳統(tǒng)的股權(quán)資本成本的計(jì)算模型主要有三因素模型，資本資產(chǎn)定價(jià)模型，套利定價(jià)模型等等。隨著財(cái)務(wù)管理學(xué)的發(fā)展，國內(nèi)外不少專家學(xué)者，在基于分析師預(yù)測盈余的基礎(chǔ)上，提出了不少新型的股權(quán)資本成本計(jì)算模型，如PEG模型、PE模型。
雖然有關(guān)股權(quán)資本成本的計(jì)算模型在日益的完善和豐富，但是在市場風(fēng)險(xiǎn)B值、經(jīng)營風(fēng)險(xiǎn)、財(cái)務(wù)風(fēng)險(xiǎn)、流動(dòng)性、規(guī)模、第一大股東持股比率、資產(chǎn)周轉(zhuǎn)率、公司的成長性、賬面市值比(B/M)、破產(chǎn)成本、多元化程度、盈利水平、股利支付率、赫芬達(dá)爾指數(shù)(HS) 、行業(yè)集中度、公司的透明度(即信息披露的數(shù)量與質(zhì)量)、投資者的法律保護(hù)程度、政府干預(yù)等因素的影響之下，依據(jù)不同的股權(quán)資本成本的計(jì)算模型計(jì)算出來的股權(quán)資本成本值相差甚遠(yuǎn)，在現(xiàn)行市場上造成了一定的混亂。因而本文試圖通過對(duì)傳統(tǒng)模型CAPM模型，F(xiàn)F三因素模型的研究，以及基于分析師盈余預(yù)測為基礎(chǔ)的PEG模型，以及PE模型的研究，在不同的研究標(biāo)準(zhǔn)下，對(duì)于這兩組模型分別比較研究，得出一個(gè)最優(yōu)模型。
關(guān)鍵詞： 股權(quán)資本成本 CAPM模型　FF三因素模型　PE模型 　PEG模型




A comparative study on calculation model of the cost of equity capital
Abstract： Cost of equity capital that is necessary to return equity capital, namely enterprises in the use of equity capital needed to pay the minimum payment. The cost of equity capital will affect the level of the company's investment, financing, operation decisions. Meanwhile, the cost of equity capital also reflects the level of accounting transparency of a company and the ability of corporate governance quality. Furthermore, when we calculate the overall value of a business, we often need to measure the company's cost of equity capital, thus the cost of equity capital is particularly important for a business.
Although the cost of equity capital is very important for the enterprise, but it is the most difficult part of financial management .The traditional models are mainly three-factor model, the capital asset pricing model, arbitrage pricing model and so on. With the development of financial management, many experts and scholars at home and abroad, based on the analyst forecast earnings, put forward a lot of new equity capital cost calculation model, they are PEG model, PE model, OJN model, GLS model, CT model.
Although the calculation model on the cost of equity capital in the increasingly rich and perfect, but in the market risk ß value, management risk, financial risk, liquidity, size, the first major shareholder shareholding ratio, asset turnover, the company's growth, book to market ratio (B/M), bankruptcy cost, the degree of diversification, the profit level, the dividend payment rate, Herfindahl index (HS), the concentration of industry, corporate transparency(I.e. the quantity and quality of information disclosure), under the influence degree of legal protection for investors, government intervention and other factors, the cost of equity capital is calculated on the basis of the calculation model of the cost of equity capital of different values differ very far, resulted in some confusion in the current market. Thus this paper attempts to study the traditional models of CAPM model and the FF three-factor model, the PEG model and PE model which are based on analysts' earnings forecasts, For the comparative study of these two models in different studies standards, we come to an optimal model.
Key words: Cost of capital CAPM model FF three-factor model PE model PEG model

目 錄
引言 1
第一章 股權(quán)資本成本的相關(guān)概述 2
1.1資本成本 2
1.2股權(quán)資本成本 3
第二章 股權(quán)資本成本計(jì)算模型的介紹 3
2.1 CAPM模型 3
2.2 FF三因素模型 4
2.3 PEG模型 5
2.4 PE模型 7
第三章 股權(quán)資本成本的計(jì)算模型的比較研究 7
3.1數(shù)據(jù)樣本的選擇 7
3.2股權(quán)資本成本計(jì)算模型比較的一般標(biāo)準(zhǔn) 8
3.3事后模型的比較 8
3.4事前模型的比較 12
結(jié)論 13
參考文獻(xiàn) 15
致謝 17