Selection of Capitalization Rates —Revisited

Schilt, James H.

doi:10.5791/0882-2875-10.2.51

Cited by 2 publications

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“…Обе модели (2)-(4) носят достаточно строгий логический характер, и их параметры основываются на статистических данных биржевой торговли акциями. Для использования в случаях оценки предприятий, чьи акции не котируются на биржах, в том числе по причине отсутствия акций, был предложен обсуждаемый эмпирический «метод накопления рисков» (Schilt, 1991). В нем без надлежащего статистического обоснования ставку капитализации R также было предложено записывать в виде суммы…”

Section: происхождение метода накопления рисковunclassified

Development of the Risk Accumulation Method for Calculating the Capitalization Rate

Trifonov¹

2021

Ekonomicheskaya nauka sovremennoy Rossii

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Risk build-up method is the most used for calculating the capitalization rates. With the help of the literature analysis, the origin of this method is considered. The method was based on the relationship between risk and profitability of a stock in exchange trading, proven statistically. Later, when formulating the build-up method, this idea was transferred without any justification to the valuation of enterprises that do not list their securities on stock exchange. In other words, the formulas traditionally used in the application of the build-up method are empirical in nature and not precise.It is more accurate to write them down by analogy with Irwin Fisher's equation of returns. Based on the principle of dependence, one of the main ones for the valuation procedure, the essence of which is that the value of the valuation subject depends on its economic location, a set of four independent risks is given for use in the build-up method in general case: risk-free rate, country risk premium, branch risk premium, and subject risk adjustment. It is noted that the numerical value of these parameters used in the method fundamentally depends on the monetary unit used in the calculation (the valuation currency). Recommendations are given on finding a risk-free rate for various currencies, on calculating country risk premium, branch risk premium, and subject risk adjustment. The article is intended for academics, lecturers, and practitioners in such areas as corporate finance, business microeconomics, valuation, and investment analysis.

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Section: происхождение метода накопления рисковunclassified