设万维读者为首页 广告服务 技术服务 联系我们 关于万维
简体 繁体 手机版
分类广告
版主:股民甲远古的风
万维读者网 > 股市财经 > 帖子
怎样计算股票的融资成本和预期回报?
送交者: jingchen 2017年08月28日11:52:11 于 [股市财经] 发送悄悄话

Calculating the cost of equity or the expected rate of return of equity

What would be the proper way to calculate the cost of equity, or the expected rate of return of equity? There are at least two ways to calculate the cost of equity: Discounted Cash Flows (DCF) and CAPM. Do they provide similar values?  We will calculate the cost of equity by using historical data provided in Fama and French’s 2002 paper The Equity Premium.

Some relevant data are summarized in the following table (extracted from Table I of Fama and French (2002)).  All data are inflation adjusted.


Inflation rate

Dividend ratio

Dividend growth rate

Cost of equity from DCF (summation of  two previous columns)

Average S&P return

1872-1950

0.99

5.34

2.74

8.08

8.30

1951-2000

4.00

3.70

1.05

4.75

9.62

From 1872 to1950, cost of equity of the whole equity market calculated from DCF is 8.08% and cost of equity of the whole market from CAPM is 8.30%. They are pretty close.From 1951 to 2000, cost of equity of the whole equity market calculated from DCFis 4.75% and cost of equity of the whole market from CAPM is 9.62%. The annual differenceis almost 5%. The results from the two methods are very different.

In our estimation of cost of equity or future expected return of equity,  which method and which result we shall rely on? DCF is a simpler method. It relies more on observable quantities.Personally, I feel DCF provides a more accurate result. But CAPM is a more prestigious theory in finance. If DCF provides more accurate results in the future, it will generate more questions about the validity of CAPM theory.

We will look further at the 1951-2000 data. In this period, the average economic return of the US businesses is 4.75%. But the financial return from holding the same businesses is 9.62%, which more than double the economic return. What is phenomenon indicate? Can this phenomenon last for long?



0%(0)
0%(0)
标 题 (必选项):
内 容 (选填项):
实用资讯
发龙药业大回馈!美国专利骨胶原、活心素、灯盏素、排毒养颜宝购买两疗程免费邮寄中国
天天养生,保健礼品,物超所值,疯狂现金折扣,直销美加,港台,大陆,东南亚
最劲爆,最给力美国专利产品<骨精华>消除关节痛、骨质疏松<心血通>预防心肌梗塞
免开通费,30天免费试用中文电视万花筒, 无捆绑服务,月费5.99
西洋参、羊胎盘、鱼油卵磷脂200多种送礼自用健康佳品,全部特价!由此进入
留美学生医疗保险$39/月,短期访美旅游保险,不需体检无年龄限制
一周点击热帖 更多>>
一周回复热帖
历史上的今天:回复热帖
2016: 交易员实战9月第1周计划
2015: 美国股市/ 道琼斯指数1-4波段 28-8-201
2015: 交易员实战周记8.4结果
2014: 页岩革命不是泡沫?美油气公司财务状况
2014: 事件追踪 |加拿大尾矿池风险大 平均高度
2013: 援交与卖淫的法理区别,以及性产业合法
2013: 亚洲危机再起,索罗斯剑指何处?
2012: 西班牙:欧债危机最后的防波堤
2012: 每日国际最新资讯解读20120829