CAPM与WACC的比较及投资价值挖掘李腊生王欣CAP(12页).pdfVIP

CAPM WACC 的比较及投资价值挖掘 李腊生 王欣 （天津财经学院统计学系 天津 300222） 摘要： 权平均资本成本（WA CC ）经适当变形后，即可转换变成形式和内容与CAPM 完全一 致的定价模型，即股票的期望收益率由无风险利率和风险补偿两部分构成。然而，仔细分析并可发现 CAPM 与WA CC 在金融涵义上的差别，CAPM 是基于二级市场的统计关系得来的，而WA CC 则 是基于企业财务关系得来的。两者出发点上的差别决定了CAPM 缺乏相应的微观基础，而WA CC 在定 价上却又缺乏经济联系。这种状况使它们的实际应用价值大打折扣。将两者结合起来，建立既包含财务变 量，又包含二级市场供求关系变量的定价关系，则可对非有效市场实施投资价值挖掘的分析。 关键词：CAPM WA CC 相对风险 投资价值 THE COMPARISON BETWEEN CAPM AND WA CC AND INVESTMENT VALULE MINING Li La Sheng Wang Xin (Department of Statistics, Tianj in University of Finance and Economics, Tianj in,300222) Abstract: If WA CC is deformed properly, it will become a new pricing model, which is identical with CAPM both in form and in content. They both mean stock s expected profit ratio is composed of risk-free interest rate and risk compensation. However, we can find the difference between the two models in financial meaning by careful analysis that CAPM is on the basis of the statistical relation of the Second Market but WA CC is on the basis of enterprise financing. The difference in starting point between two pricing models determines that CAPM lacks relevant micro-base and WA CC lacks economic relation. This condition makes their practical apply value discount. We will mine the investment value in the ineffective market if we combine the two models and build a new pricing relation, which include both financing variables and the supply and demand relation variables on the Second Market. Key words: CAPM WA CC Relative Risk Investment Value 1 一、引言 一般而言，金融资产的定价方法有两种，一种是均衡定价方法，另一种是无套利方法。 所谓均衡定价方法则是从行为主体的行为优化问题出发，得出优化问题的一阶条件，从而得 到金融资产的需求方程。再利用市场出清条件解出金融资产的均衡价格。资本资产定价模型 (Capital Asset Pricing Model