股权资本成本计算模型的比较研究.doc

  
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股权资本成本计算模型的比较研究,11400字摘要: 股权资本成本即股权资本的必要报酬率,即企业在使用股权资本时所需要付出的最低报酬。股权资本成本的高低会影响公司有关投资,融资,经营的决策。同时,股权资本成本的高低还能反应出一个公司的会计透明度和公司治理能力的好坏。再者,当我们计算一个企业的整体价值时,往往需要测算该公司的...
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股权资本成本计算模型的比较研究

11400字

摘要: 股权资本成本即股权资本的必要报酬率,即企业在使用股权资本时所需要付出的最低报酬。股权资本成本的高低会影响公司有关投资,融资,经营的决策。同时,股权资本成本的高低还能反应出一个公司的会计透明度和公司治理能力的好坏。再者,当我们计算一个企业的整体价值时,往往需要测算该公司的股权资本成本,因而股权资本成本对于一个企业说尤为重要。
虽然股权资本成本对于企业来说非常重要,但是有关它的测算方法一直是财务管理学的难点所在。传统的股权资本成本的计算模型主要有三因素模型,资本资产定价模型,套利定价模型等等。随着财务管理学的发展,国内外不少专家学者,在基于分析师预测盈余的基础上,提出了不少新型的股权资本成本计算模型,如PEG模型、PE模型。
虽然有关股权资本成本的计算模型在日益的完善和丰富,但是在市场风险B值、经营风险、财务风险、流动性、规模、第一大股东持股比率、资产周转率、公司的成长性、账面市值比(B/M)、破产成本、多元化程度、盈利水平、股利支付率、赫芬达尔指数(HS) 、行业集中度、公司的透明度(即信息披露的数量与质量)、投资者的法律保护程度、政府干预等因素的影响之下,依据不同的股权资本成本的计算模型计算出来的股权资本成本值相差甚远,在现行市场上造成了一定的混乱。因而本文试图通过对传统模型CAPM模型,FF三因素模型的研究,以及基于分析师盈余预测为基础的PEG模型,以及PE模型的研究,在不同的研究标准下,对于这两组模型分别比较研究,得出一个最优模型。
关键词: 股权资本成本 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 录
引言 1
第一章 股权资本成本的相关概述 2
1.1资本成本 2
1.2股权资本成本 3
第二章 股权资本成本计算模型的介绍 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 股权资本成本的计算模型的比较研究 7
3.1数据样本的选择 7
3.2股权资本成本计算模型比较的一般标准 8
3.3事后模型的比较 8
3.4事前模型的比较 12
结论 13
参考文献 15
致谢 17