Брусов, П. Н., Филатова, Т. В., & Кулик, В. Л. (2024). Модель ценообразования капитальных активов (CAPM) 2.0: учет бизнес-риска и финансового риска. Финансы: теория и практика/Finance: Theory and Practice, 28(2), 128-142.
Брусов, П. Н., Филатова, Т. В., & Кулик, В. Л. (2024). Модель ценообразования капитальных активов (CAPM) 2.0: учет бизнес-риска и финансового риска. Финансы: теория и практика/Finance: Theory and Practice, 28(2), 128-142.
Брусов, П. Н., Филатова, Т. В., & Кулик, В. Л. (2024). Модель ценообразования капитальных активов (CAPM) 2.0: учет бизнес-риска и финансового риска. Финансы: теория и практика/Finance: Theory and Practice, 28(2), 128-142.
Брусов, П. Н., Филатова, Т. В., & Кулик, В. Л. (2024). Модель ценообразования капитальных активов (CAPM) 2.0: учет бизнес-риска и финансового риска. Финансы: теория и практика/Finance: Theory and Practice, 28(2), 128-142.
Abstract
The famous Capital Asset Pricing Model (CAPM) takes into account only business risk. In practice, companies use debt financing and operate at non–zero levels of leverage. This means that it is necessary to take into account the financial risk associated with the use of debt financing along with business one. The purpose of this paper is to simultaneously take into account the business and financial risk. A new approach to CAPM has been developed that takes into account both business and financial risk. We combine the theory of CAPM and the Modigliani–Miller (MM) theory. The first is based on portfolio analysis and accounting for business risks in relation to the market (or industry). The second one (the Modigliani–Miller (MM) theory) describes a specific company and takes into account the financial risks associated with the use of debt financing. The combination of these two different approaches makes it possible to take into account both types of risks: business and financial ones. We combine these two approaches analytically, while Hamada did it phenomenologically. Using the Modigliani–Miller (MM) theory, it is shown that the Hamada’s model, first model, used for this purpose half a century ago, is incorrect. In addition to the renormalization of the beta–coefficient, obtained in the Hamada model, two additional terms are found: the renormalized risk–free return and the term dependent on the cost of debt kd. A critical analysis of the Hamada model was carried out. The vast majority of listing companies use debt financing and are levered, and the Hamada model is not applicable to them in contrast to a new approach applicable to leveraged companies. Implemented a new approach to specific companies. A comparison of the results of the new approach with the results of the conventional CAPM is shown. Two versions of CAPM (market or industry) are considered.
Keywords
business and financial risks, capital structure; Modigliani–Miller (MM) theory; Brusov–Filatova–Orekhova (BFO) theory; risk and profitability, CAPM; Fama–French model
Subject
Business, Economics and Management, Finance
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
