论资本资产定价模型与MM理论的相关性及其应用

136200012JournalofShaanxiEconomics&TradeInstituteVol.13　No.6Dec.2000MM李杏秋(,　410079)　:、MM,、、。CAPMMM,,,、、。:CAPM;MM;;:F275　　:A　　:1008-1097(2000)06-0060-04　　、、、MM(CAPM)。,、,。、CAPMMM　　MM,:1.;2.;3.,;4.;5.,,,,。,。:VL=Vu=EBIT/KD=EBIT/KSu:KSL=KSu+(KSu-Kd)D/S::IRRKd=KSuEBIT;D/S;Kd;KS;IRR。(CAPM)(Fisher)。:1.(,)2.。:a.,;b.;c.,,;60:2000-09-18:(1974-),,,。d.;e.。3.,,。4.。,,Vi,0=∑ni=1Ci,t/∏ni=1(1+rT)CAPM,:(1)δ2(ri)。(2)f[δ2(rf)=0],,r。,E(ri)=rf+[E(rm)-rf]COV(ri,rm)/δ2(rm)=rf+βi[E(rm)-rf],MM2、3、1、3CAPM1、2,。MM1CAPM2d,4c、d,5a、b。,。,,(),、、。,。,MM—,,;CAPM,、。IRR≥Kd=KSu,。,MM。CAPM,。,CAPM,,,。,。。,:,,D,:EBIT(),r,r.D。::ry=(EBIT-r.D)/Sy(1):rW=EBIT/VW(2)Sy,VW,VW=SW,βWβy(),(1)(2):ry=(EBIT/VW)×(VW/Sy)-r.D/Sy=rW.VW/Sy-r.D/Sy(3)E(ry)=E(rW)VW/Sy-r.D/Sy:βW=COV(ry,rm)/δ2(rm)=COV(EBIT/VW,rm)/δ2(rm)rm。(3):βy=COV(ry,rm)/δ2(rm)=[(VW/Sy)COV(EIBT/VW,rm)+COV(r.D/Sy,rm)]/δ2(rm):βy=(VW/Sy)βWCAPM,E(ri)=r+[E(rm)-r]βi:[E(rW)-r]/βW=[E(ry)-r]/βy=E(rm)-r[E(rW)-r]/βW=[VWE(rW)/Sy-r.D/Sy-r]/(βWVW/Sy)61:MMSy/VW,:[E(rW)-r]/βW=[E(rW)-r.D/VW-rSy/VW]/βWβW≠0,:-r=-r.D/VW-r.Sy/VWr0,VW=Sy+D=Vy,,,MM1。,CAPMMM。rm=EBIT/VW,:[E(rW)-r]/βW=[E(EBIT/VW)-r]/βW=[E(Syry+r.D)/VW-r]/βW((2)EBIT=rySy+r.D)=[SyE(ry)/VW+r.D/VW-r]/βW=[SyE(ry)/VW+r.D/VW-r]/(βySy/VW)VW/Sy:[E(rW-r)]/βW=[E(ry)+r.D/Sy-rVW/Sy]/βy=[E(ry)+r(D-VW)/Sy]/βyMM,VW=Sy+D=Vy,D-VW=-Sy[E(rw)-r]/βW=[E(ry)-r]/βyMM,,D(4),[E(rw)-r]/βW=[E(ry)-r]/βy=[E(ri)-r]/βi,βm=1,[E(ri)-r]/βi=E(rm)-rMMCAPM。,MM,、,CAPM,,。、CAPMMM　　,、、。,,,、。,V=EBIT/K(MM)V=΢C/Π(1+r)。CAPM,,、、。(),βy=VWβW/Sy,βWβy(),,,,,。,βyβGβD。ββ。CAPM,βy=΢βiXi=βDD/(D+Sy)+βGSy/(D+Sy),βy=βW:βW=βDD/(D+Sy)+β0Sy/(D+Sy):βG=βW+(βW-βD)D/E,ββMM,β,。。()CAPME(ri)62δ2(ri)。,E(ri)δ2(ri),,,。,,,f(x)=12Pi×δe-(x-r)22δ2,,。,D,E,x(,x=E/(E+D)),KD,:y=[(D+E)x-DKD]/E:F(y)=P(Y≤y)=P[(D+E)x-DKD)E≤y]=∫-∞12Pi×δe-(x-r)22δ2dx,rδ,R=[(D+E)r-DKD]/Eδ0f=δ(D+E)/E,:x=E/(D+E),D/(D+E)=1-x,0x≤1。:R=r/x-KD(1-x)/x;δ0f=δ/x。[1]　,,.[J].,2000,(1).[2]　JohnOgilvie.TheCapitalassetpricingmodelandModiglianiandMiller'scapitalstructuretheory[J].ManagementAc-counting,February,1999.[3]　,.[M].:,1999.[4]　.[M].:,1999.TheCoherencyBetweentheCapitalAssetPricingModelandMiller'sCapitalStructureTheoryanditsApplicationLIXing-qiu(TheAccountingCollegeofHunanUnivesity,Changsha410079,China)Abstract:Inthispaper,arelativityanalysiswasmadeonMMtheory(byMOdiglianiandMiiler)andcapitalassetpricingmodel(byFisherandSharpe).Itwasfoundthattheirhypothesismodel,therelationshipbetweentheirvariables,there-sultandthebasicnotionarebasicallysimilar.Fromthecombinedapplicationofthesetwotheories,analysingtherela-tionshipbetweenfinancialleverageandbetariskrate,companyreturnandriskunderdifferentcapitalstructure,wecanfinditprovideanewthoughtofvaluatetherisk,returnandvalueofthewholecompany.Keywords:CAPMModel;MMTheory;Coherency;FinancialLeverage(:)63:MM