Financial Analysts Journal·VOL73,NO.2·April/May 2016.

投资者如何计算贴现率？他们使用CAPM

作者：Jonathan B. Berk (Graduate School of Business, Stanford University), Jules H. van Binsbergen (Wharton School, University of Pennsylvania)

摘要：我们为企业经理和投资者就评估投资机会时如何选择贴现率提供指导。在代表公司股权投资者做关于企业投资决策时，一个明显的选择是使用股权投资者用于做出自己投资决策的方法。我们通过观察共同基金投资者的资本配置决策来推断投资者如何计算贴现率。我们发现投资者通过使用资本资产定价模型（CAPM）的beta来调整风险。另外，CAPM的扩展模型表现不佳，这意味着投资者不会使用该模型来计算折现率。

How Do Investors Compute the Discount Rate? They Use the CAPM

Jonathan B. Berk (Graduate School of Business, Stanford University), Jules H. van Binsbergen (Wharton School, University of Pennsylvania)

ABSTRACT

We provide guidance to corporate managers and investors on how to select the discount rate when evaluating investment opportunities. When making corporate investment decisions on behalf of the equity investors in a firm, an obvious choice is to use the method that equity investors use in making their own investment decisions. We infer how investors compute the discount rate by looking at mutual fund investors’ capital allocation decisions. We find that investors adjust for risk by using the beta of the capital asset pricing model (CAPM). Extensions to the CAPM perform poorly, implying that investors do not use these models to compute discount rates.

原文链接： http://dx.doi.org/10.2469/faj.v73.n2.6

翻译：赵胜旺