financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-2-128-142finance-2819Research ArticleФИНАНСОВЫЕ РИСКИFINANCIAL RISKSМодель ценообразования капитальных активов (CAPM) 2.0: учет бизнес-риска и финансового рискаCapital Asset Pricing Model (CAPM) 2.0: Account of Business and Financial Riskhttps://orcid.org/0000-0003-3144-5574БрусовП. Н.BrusovP. N.

Брусов Петр Никитович — доктор физико-математических наук, профессор кафедры математики.

Москва

Peter N. Brusov — Dr. Sci. (Phys. and Math.), Prof., Department of Mathematics, Financial University.

Moscow

pnbrusov@fa.ruhttps://orcid.org/0000-0001-7175-3286ФилатоваТ. В.FilatovaT. V.

Филатова Татьяна Васильевна — кандидат экономических наук, профессор кафедры финансового и инвестиционного менеджмента.

Москва

Tatiana V. Filatova — Cand. Sci. (Econ.), Prof., Department of Financial and Investment Management, Financial University.

Moscow

tvfilatova@fa.ruhttps://orcid.org/0000-0002-9492-7055КуликВ. Л.KulikV. L.

Кулик Вениамин Леонидович — менеджер по работе с клиентами.

Москва

Veniamin L. Kulik — Account Manager, Deutsche Bank Ltd.

Moscow

venya.kulik@mail.ruФинансовый университетRussian FederationДойче Банк ЛтдRussian Federation202430042024282128142Copyright © Брусов П.Н., Филатова Т.В., Кулик В.Л., 20242024Брусов П.Н., Филатова Т.В., Кулик В.Л.Brusov P.N., Filatova T.V., Kulik V.L.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/2819

Известная модель ценообразования капитальных активов (CAPM), широко используемая на практике, учитывает только бизнес-риск, связанный с инвестициями в конкретную компанию [а не в весь рынок (отрасль)]. На практике большинство листинговых компаний используют долговое финансирование и работают с ненулевым уровнем левериджа. Это означает, что необходимо учитывать и финансовый риск, связанный с использованием долгового финансирования, наряду с бизнес-риском. Целью данной работы является одновременный учет бизнес- и финансового риска. Мы объединили теорию CAPM и теорию Модильяни-Миллера (ММ), которая является перпетуитетным пределом теории BFO (Брусова-Филатовой-Ореховой). В статье показано, что попытка Р. Хамады учесть как бизнес-, так и финансовый риск оказалась несостоятельной, а полученные им формулы, широко используемые на практике, неверны. В статье выведены корректные формулы, позволившие впервые обобщить CAPM с учетом как бизнес-, так и финансового риска. Рассмотрено применение новой модели CAPM 2.0 к ряду компаний и продемонстрирована разница между результатами, полученными в рамках CAPM 2.0 и CAPM. CAPM — одна из основных моделей [наряду с APT (теорией арбитражного ценообразования) и WACC] в рамках доходного подхода к оценке бизнеса. Это существенно повышает ценность разработанного подхода CAPM 2.0, который позволяет значительно повысить точность оценки.

The famous Capital Asset Pricing Model (CAPM), widely used in practice, takes into account only the business risk associated with investments in a specific company [not the entire market (or industry)]. In practice, most listing companies use debt financing and operate at a non-zero leverage level. This means that the financial risk associated with the use of debt financing, along with business risk, must be taken into account. The purpose of this paper is to simultaneously account for business and financial risk. We combined the CAPM theory and the Modigliani-Miller (MM) theory, which is the perpetual limit of the BFO (Brusov-Filatova-Orekhova) theory. The article shows that R. Hamada’s attempt to take into account both business and financial risks has proved unsustainable, and the formulas he obtained, widely used in practice, are incorrect. The paper outlines the correct formulae that made it possible to generalize CAPM for the first time, taking into account both business and financial risk. The application of the new CAPM 2.0 model to a number of companies is considered and the difference between the results obtained within the framework of CAPM 2.0 and CAPM is demonstrated. CAPM is one of the main models [along with APT (arbitrage pricing theory) and WACC] within the income approach to business valuation. This significantly increases the value of the developed CAPM 2.0 approach, which can significantly improve the accuracy of the assessment.

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The authors declare that there are no conflicts of interest present.