Модель оцінки капітальних активів САРМ (Capital Asset Pricing Model)
Rf – Risk-Free Rate of Return; Безризикова ставка (Rf) визначається на підставі дохідності десяти – двадцятирічних казначейських облігацій США (US Treasury Bonds); (EBVS 2020: In business valuation, it is common practice to use risk-free bonds with 10-year or 20-year maturities. If local government bonds are not long-term and/or are not published regularly, the common practice in Europe is to derive the risk-free rate starting with 10-year or 20-year German bonds and increase the yield to redemption by the appropriate country risk premium, as relevant for the subject of the valuation. If projections are in local currency, than additional adjustments of the risk-free rate in Euro are necessary to take account of different inflation rates between Euro and local currency.
The country risk premium can be derived by regressing the local country’s equity market returns against the market returns of a country with a developed capital market. The valuer could use various sources for the country risk premium which are widely recognised and updated, or could calculate a country risk premium by comparing long-term German bonds, government bonds of the subject country and government bonds of other countries with similar credit rating, adjusted for differences.)
(Rm – Rf) – Equity risk premium (ERP) (or Market risk premium); Премія за ризик акціонерного капіталу (Rm – Rf) визначається як різниця дохідності ринку акцій США (S&P 500) та казначейських облігацій; ERP = E(Rm) – Rf, where: ERP = equity risk premium; E(Rm) = historical return on a fully diversified portfolio of equity securities, each year from 1926-today; Rf = the rate of return expected on a risk-free security, representing the historical income return on government bonds over a specific period. This rate of return corresponds to the year of E(Rm)
βl – The Beta is a measure of the volatility of a stock with respect to the market in general. The fluctuations that will be caused in the stock due to a change in market conditions is denoted by Beta. For example, if the Beta of a stock is 1.2, it would cause a 120% change due to any change in the general market. The opposite is the case for Beta less than 1. For Beta which is equal to 1, the stock is in sync with the changes in the market;
S1 – Премія за ризик країни;
S2 – Премія за розмір компанії