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Construction of CAPM model, specifics of use in Russia and disadvantages
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- 2016 год
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CAPM was created in the 70-ies of the last century for the measurement of financial assets of the enterprise funds and securities. This model was designed and worked out by such famous scientists as: Sharpe, Lintner and Mossini.
The CAPM model is designed to determine the share price or value of the company in the future, in other words, the current overbought or oversold value of a company.
Where:
R - expected rate of return;
Rf - risk free rate of return, as a rule, the interest rate on government bonds;
Rd – market yield;
β - beta coefficient, which is a measure of market risk (risk rediversification) and reflects the sensitivity of return of a security to changes in yield market as a whole.
And so, let us try to calculate the future yield of shares of Gazprom [GAZP]. Take the quote by months of this action and the RTS index (RTSI) or MICEX (MICEX) for the period from 15 April 2016 to 15 October 2016 (the quotes can be taken from the website http://www.finanz.ru/).
Next, we calculate daily returns for Gazprom shares and the MICEX index. =(A3-A2)/A2
=(B3-B2)/B2
The end result is the following table.
In order to calculate the beta coefficient it is necessary to calculate the coefficient of linear regression between returns of the shares of Gazprom and the yield of the MICEX index. Lets calculate beta using the formula.
In cell F2 enter the following formula:=INDEX(LINEST...
Now we have to calculate the monthly returns of the market, the yield of the MICEX index, which is calculated as...
We have calculated all the necessary parameters of the CAPM model. Now let's calculate the fair rate of return on the shares of Gazprom for the next month. Rf=10.98%, β=, Rd=, RGAZP=
The rate of return on Gazprom shares is equal to
CAPM in Russia
So far Russian literature did not cover any satisfactory recommendations for the use of foreign developments to determine the discount rate in the evaluation process of the business in our country. In this regard, the Russian appraisers continue to
There are two diametrically opposite points of view. Proponents of the first argue that
While they give their preference model based on a statistical calculation of the coefficient β to avoid subjectivity in the analysis, while not denying the possibility of application of CAPM in Russia, we note that, in our opinion, its use is limited to a few industries.
Currently, even among supporters of the model application of CAPM in Russia there is no consensus about the fact which factor is more correct to
Recall that in its classic version, the formula looks as follows: Re =
Let's start with the first element of the model - risk-free rate. Almost no one doubts that as the risk-free rate of return you can only select yield on government securities.
The second element of the model that causes
We now turn to the third element of the model - the
We can conclude that the use in the evaluation process of the business model of CAPM in Russian conditions is...
The distortions that are typical today for the stock market, and lack of information require the appraiser special attention when using the model. Often paradoxical results may encourage the evaluator to think about adjusting the original data for the model. The attitude should be the single categorical prohibition of subjective willfulness.
The fact that the adjusted source data to the desired appearance will certainly give a more biased result, but...
A striking example of such manipulation was used as a mid-market provisions of the income level of return mutual funds. At first glance, it seems to be all right, because these funds are highly diversified investments. However...
Construction of CAPM model , specifics of use in Russia and disadvantages, example of use
http://www.finanz.ru/indeksi/arhiv-torgov/MICEX
http://www.finanz.ru/indeksi/arhiv-torgov/MICEX
http://www.investopedia.com/terms/c/capm.asp
http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1990/sharpe-lecture.pdf
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