TFL Vsebine / Revija SIR*IUS

Challenges in the use of equity risk premium models in corporate valuation

Sodobna finančna teorija je glede uporabnosti modela CAPM za določanje premije za tveganje precej kritična in priporoča uporabo večfaktorskih modelov. Vendar pa je tovrstne modele izjemno težko (ali skoraj nemogoče) oceniti, ko gre za manjše in finančno manj razvite in neučinkovite trge. Metoda dograjevanja oz. neke vrste kvazivečfaktorski model, ki upošteva omenjene omejitve, je trenutno najuporabnejši pristop. V primeru nekotirajočih podjetij z visoko koncentracijo lastništva je treba biti še posebej pozoren na povezavo med premijami za tveganje, ki so vključene v diskontno stopnjo, in odbitki/pribitki v zaključni fazi vrednotenja. Določanje in uporaba netvegane donosnosti in premije za tveganje sta neločljivo povezani. Tako veljajo v razmerah finančne represije enaka opozorila in pomisleki pri določanju premije za tveganje, kot veljajo pri oceni netvegane donosnosti.

The modern financial theory is critical regarding the CAPM model for estimating the equity risk premium. It recommends the use of the more advanced multi-factor asset pricing models. However, the estimation of such models' parameters is very difficult (if not close to impossible) when it comes to small, financially underdeveloped and inefficient markets. The build-up approach as a sort of a quasi multi-factor model is currently the most useful solution. When it comes to private firms with highly concentrated ownership, one must pay particular attention to the link between the risk premium (included in the discount rate) and the discounts/premia in the valuation closure. The estimation and the use of the risk-free rate and equity risk premium are inseparable. When it comes to the challenges posed by financial repression conditions, same warnings and considerations apply to both.