f9考官文章12 sa jjheadcapm理论优点缺点资本资产定价模型与acca资格试卷.pdfVIP

technical student accountant page 50 JUNe/JULY 2008 CAPM:THEORY, ADVANTAGES,AND DISADVANTAGES THE CAPITALASSET PRICINGMODEL RELEVANTTOACCA QUALIFICATION PAPERF9 Section F of the Study Guide for Paper F9 contains several references to the capital asset pricing model (CAPM). This article is the last in a series of three, and looks at the theory, advantages, and disadvantages of the CAPM. The first article, published in the January 2008 issue of student account troduced the CAPM and its components, showed how the model can be used to estimate the cost of equity, and introduced the asset beta formula. The second article, published in the April 2008 issue, looked at applying the CAPM to calculate a project-specific discount rate to use in investment appraisal. CAPM FORMULA Investors hold diversified portfolios following: that there are no taxes or transaction The linear relationship b tween the retur This assumption means that investors will only costs; that perfect information is ly available required on an investment (whether in stock require a return for the systematic risk of their to all investors who, as a result, have the same market securities or in bus ness operations) portfolios s e nsystematic risk has been expectations; that all investors are risk averse, and its systematic risk is represented by the removed and can be ignored. rational and desire to ise their own utility; CAPM formula, which is given in the Paper F9 and that there are a large number of buyers and Formulae Sheet: Single-period transaction horizon sell