financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-5-83-108finance-3180Research ArticleФИНАНСОВЫЕ РИСКИFINANCIAL RISKSИнкорпорирование модели CAPM в теории структуры капитала: учет деловых и финансовых рисковIncorporating CAPM into Capital Structure Theories: Accounting for Business and Financial Riskshttps://orcid.org/0000-0003-3144-5574БрусовП. Н.BrusovP. N.

Петр Никитович Брусов, доктор физико-математических наук, профессор

кафедра моделирования и системного анализа

Москва

Peter N. Brusov, Dr. Sci. (Phys. and Math.), Prof.

Department of Modeling and System Analysis

Moscow

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

Татьяна Васильевна Филатова, кандидат экономических наук, профессор

кафедра финансового и инвестиционного менеджмента

Москва

Tatiana V. Filatova, Cand. Sci. (Econ.), Prof.

Department of Financial and Investment Management

Moscow

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

Вениамин Леонидович Кулик, менеджер по работе с клиентами

Москва

Veniamin L. Kulik, Account Manager

Moscow

venya.kulik@mail.ruФинансовый университетРоссияFinancial UniversityRussian FederationТ-БанкРоссияT-BankRussian Federation20243010202428583108Copyright © Брусов П.Н., Филатова T.В., Кулик В.Л., 20242024Брусов П.Н., Филатова T.В., Кулик В.Л.Brusov P.N., Filatova T.V., Kulik V.L.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/3180

   С целью создания методологии оценки основных финансовых показателей компании с учетом как деловых, так и финансовых рисков осуществлено инкорпорирование моделей CAPM и Фамы-Френча в две основные теории структуры капитала — Брусова-Филатовой-Ореховой (БФО) и теорию Модильяни-Миллера (ММ). CAPM учитывает систематический (деловой) риск, тогда как теории структуры капитала учитывают финансовый риск конкретной компании, связанный с долговым финансированием. В результате были разработаны обобщенные подходы (CAPM-BFO и CAPM–MM), учитывающие оба вида риска: систематический (деловой) и финансовый. Также рассмотрена и включена модель Фамы-Френча с тремя и пятью факторами. Используются новейшие версии двух основных теорий структуры капитала (БФО и ММ), адаптированные к сложившейся финансовой практике функционирования компаний, с учетом реальных условий их работы, таких как переменный доход, частота уплаты подоходного налога, авансовые платежи по подоходному налогу и т. д. Сделаны практические расчеты. Они сосредоточены на (1) применении двух версий CAPM (рыночной или отраслевой) к реальным компаниям; (2) применение к реальным компаниям разработанной нами новой методики оценки финансовых показателей компании с учетом как деловых (рыночных или отраслевых), так и финансовых рисков. Расчеты, проведенные для трех реальных компаний (Apple, «Северсталь», «Полиметалл»), показывают, что финансовые показатели компаний сильно зависят от типа принимаемых во внимание рисков. Иногда разница между рыночными и отраслевыми случаями невелика, иногда она значительна. Но разница в финансовых показателях при учете одновременно финансовых и бизнес-рисков всегда велика. Это означает, что учет одновременно как финансовых, так и бизнес-рисков важен для правильной оценки финансовых показателей компаний. Разработанный подход позволяет использовать мощный инструментарий этих высокоразвитых теорий (БФО и ММ) для правильной оценки основных финансовых показателей компании и их прогнозирования с учетом обоих видов рисков.

   In order to create a methodology for assessing the company’s main financial indicators, taking into account both business and financial risks, the CAPM and Fama-French models were included in the two main theories of capital structure - the Brusov-Filatova-Orekhova (BFO) theory and the Modigliani-Miller (MM) theory. CAPM takes into account systematic (business) risk, while capital structure theories take into account the financial risk of a specific company, associated with debt financing. As a result, generalized approaches (CAPM-BFO and CAPM–MM) were developed that take into account both types of risk: systematic (business) and financial. The Fama-French model with three and five factors is also considered and included. The latest versions of the two main theories of capital structure (BFO and MM), adapted to the established financial practice of the functioning of companies, are used, taking into account the real conditions of their work, such as variable income, frequent income tax payments, advance income tax payments, etc. Practical calculations have been made. They focus on (1) applying two versions of CAPM (market or industry) to real companies; (2) application to real companies of a new methodology developed by us for assessing the financial performance of a company, taking into account both business (market or industry) and financial risks. The calculations made for three real companies (Apple, Severstal, Polymetal) show that the financial performance of companies is highly dependent on the type of risks taken into account. Sometimes the difference between market and industry cases is small, sometimes it is significant. But the difference in financial indicators, while taking into account simultaneously financial and business risks, is always great. This means that taking into account simultaneously both financial and business risks is important for a correct assessment of the financial performance of companies. The developed approach makes it possible to use the powerful tools of these highly developed theories (BFO and MM) for the correct assessment of the main financial indicators of the company and their forecasting, taking into account both types of risks.

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