Research On Enterprise Valuation Based On Improved CAPM Model

Abstract:Using CAPM may cause some problem,This article is focused on the progress of valuing the individual risk of enterprise, which is CPV’s main job, is lack of persuasion and accuracy due to the CPV’s decision on how to calculate the individual risk of enterprise is based on the experience of appraise. Put forward using the factor analysis method of statistics, selected the variable which can influence individual risk of enterprise, such as these subjective factors like enterprise scale risks, enterprise product phase risks and internal governance risks, analyze these variables how to affect those subjective factors. Get the linear relations between the subjective factors and variables. Use this quantitative way to explain these subjective factors, finally reach the individual risk of enterprise. The data of this quantification analysis based on the statistic of industry and the real enterprise’s business situation which is more persuasive and accuracy. Furthermore, for the insufficient of applicability of traditional CAPM in the Chinese market, use ZhiWei Lin’s (2005) method on improvement of the beta value calculation for reference, namely β=DCLi/DCLh, starting from the meaning of the P coefficient, measure the sensitivity of how the industrial DCL fluctuation can affect the corporate DCL. About the factor which CAPM model consist of, risk-free interest rate use the mean value of Treasury bonds yield which remaining term in more than9years. Comparatively representative market returns use the index of ShangHai and ShenZhen300index, averaging the first day of the opening and at the end of the last day of closing prices from2005to2014. Finally, aimed at the improvement of CAPM model is more suitable and accurate for the Chinese market, and example is given to illustrate how to use the improved CAPM model.