Коэффициент beta и финансовый рычаг Чем выше доля заемного капитала, тем выше риск, тем выше beta.
1. Освобождаем beta сопоставимых компаний от их финансового рычага и ставки налогообложения:
,
где βи – beta универсальная (beta при нулевом значении заемного капитала и нулевой ставке налогообложения);
βа – beta компаний-аналогов;
Dа/Еа – соотношение заемного и собственного капитала компаний-аналогов;
taxа – ставка налогообложения компаний-аналогов.
2. Конвертируем универсальную beta в beta оцениваемой компании Х:
,
где βх – beta компании Х;
βи – beta универсальная;
Dх/Ех – соотношение заемного и собственного капитала компании Х;
taxх – ставка налогообложения компании Х.
Пример:
Компания занимается рекламной деятельностью, имеет долю собственного капитала = 60% и ставку налога на прибыль 20%.
Бета универсальная = 1,18 / (1+0,3361/0,6639*(1-0,0413)) = 1,18 / 1,4853 = 0,7945
Бета компании = 0,7945 * (1+(0,4/0,6*0,8)) = 0,7945 * 1,53 = 1,2156
Риск при доле ЗК = 33,61% составляет 0,7945
Риск при доле ЗК = 40% составляет 1,2156
Ставка = ((1 + 0,0249 + 0,0575 * 1,2156) * 1,169/1,000) – 1 = (1,0948 * 1,169) – 1 = 0,2798 = 27,98 %
http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/wacc.htm
Отраслевые коэффициенты (ate of Analysis : Data used is as of January 2015)
Industry Name |
Промышленность Имя |
Количество фирм |
Бета |
Стоимость капитала |
Е / (D + E) |
Стоимость долга |
Ставка налога |
D / (D + E) |
Advertising |
Реклама |
52 |
1.18 |
8.96% |
66.39% |
3.67% |
4.13% |
33.61% |
Aerospace/Defense |
Аэрокосмическая / обороны |
93 |
1.16 |
8.84% |
84.07% |
3.67% |
14.87% |
15.93% |
Air Transport |
Воздушный Транспорт |
22 |
0,98 |
7.80% |
55.09% |
3.67% |
18.71% |
44.91% |
Apparel |
Одежда |
64 |
0.99 |
7,88% |
82.83% |
3.67% |
11.16% |
17.17% |
Auto & Truck |
Авто & Truck |
22 |
1,09 |
8.47% |
48.56% |
3.17% |
4.45% |
51.44% |
Auto Parts |
Автозапчасти |
75 |
1,35 |
9.92% |
77.73% |
3.67% |
11.05% |
22.27% |
Bank (Money Center) |
Банк (Money Center) |
13 |
0,81 |
6,81% |
31.38% |
3.17% |
26.43% |
68.62% |
Banks (Regional) |
Банки (региональных) |
676 |
0,53 |
5.20% |
56.28% |
3.17% |
20.66% |
43.72% |
Beverage (Alcoholic) |
Напитки (алкогольные) |
22 |
1,06 |
8.24% |
82.05% |
3.67% |
8.54% |
17.95% |
Beverage (Soft) |
Напитки (Soft) |
46 |
1.14 |
8.71% |
81.27% |
3.67% |
5.55% |
18.73% |
Broadcasting |
Вещание |
28 |
1.30 |
9.62% |
58.46% |
3.67% |
18.34% |
41.54% |
Brokerage & Investment Banking |
Брокерские и инвестиционно-банковских услуг |
46 |
1.16 |
8.84% |
24.78% |
3.17% |
13.99% |
75.22% |
Building Materials |
Строительные Материалы |
39 |
1.12 |
8.59% |
75.62% |
3.17% |
17.45% |
24.38% |
Business & Consumer Services |
Бизнес и потребительских услуг |
177 |
1.19 |
9.03% |
76.68% |
3.67% |
13.30% |
23.32% |
Cable TV |
Кабельное телевидение |
18 |
0,91 |
7,42% |
69.06% |
3.67% |
21.18% |
30.94% |
Chemical (Basic) |
Химическая (Basic) |
46 |
0,94 |
7,55% |
71.27% |
3.67% |
10.88% |
28.73% |
Chemical (Diversified) |
Химическая (Разные) |
10 |
1.17 |
8.91% |
75.08% |
3.17% |
22.47% |
24.92% |
Chemical (Specialty) |
Химическая (специальности) |
103 |
1.03 |
8,07% |
82.40% |
3.67% |
11.16% |
17.60% |
Coal & Related Energy |
Уголь и связанной с ними энергии |
42 |
1,64 |
11.61% |
47.53% |
4.17% |
0.99% |
52.47% |
Computer Services |
Компьютерные услуги |
119 |
1.16 |
8.84% |
78.39% |
3.67% |
10.48% |
21.61% |
Computers/Peripherals |
Компьютеры / Периферия |
64 |
1.21 |
9.13% |
91.35% |
4.17% |
7,35% |
8.65% |
Construction Supplies |
Стройматериалы |
55 |
1.60 |
11.37% |
68.78% |
3.17% |
16.28% |
31.22% |
Diversified |
Многоотраслевой |
23 |
1.00 |
7,91% |
62.16% |
3.17% |
13.96% |
37.84% |
Drugs (Biotechnology) |
Наркотики (Биотехнология) |
400 |
1.10 |
8.52% |
92.18% |
5,17% |
1,48% |
7,82% |
Drugs (Pharmaceutical) |
Наркотики (Pharmaceutical) |
151 |
1.03 |
8,08% |
88.17% |
4.17% |
4,58% |
11.83% |
Education |
Образование |
42 |
1.13 |
8.65% |
71.72% |
4.17% |
12.18% |
28.28% |
Electrical Equipment |
Электрооборудование |
126 |
1.24 |
9.29% |
85.57% |
4.17% |
5.99% |
14.43% |
Electronics (Consumer & Office) |
Электроника (Consumer & Office) |
28 |
1,37 |
10.06% |
95.76% |
3.67% |
4.50% |
4.24% |
Electronics (General) |
Электроника (General) |
189 |
1.03 |
8,08% |
87.19% |
4.17% |
8.64% |
12.81% |
Engineering/Construction |
Проектирование / строительство |
56 |
1.31 |
9.69% |
78.55% |
3.17% |
14.18% |
21.45% |
Entertainment |
Развлечения |
84 |
1.21 |
9,10% |
78.42% |
3.67% |
4.11% |
21.58% |
Environmental & Waste Services |
Экологические и отходов Услуги |
103 |
1,28 |
9.56% |
71.14% |
4.17% |
6.31% |
28.86% |
Farming/Agriculture |
Сельское хозяйство / Сельское хозяйство |
37 |
0,84 |
7,02% |
62.32% |
3.17% |
9.36% |
37.68% |
Financial Svcs. (Non-bank & Insurance) |
Финансовые Svcs. (Non-банк и страховая) |
288 |
0,67 |
6,01% |
7,65% |
3.17% |
18.49% |
92.35% |
Food Processing |
Пищевая промышленность |
96 |
0.99 |
7,88% |
78.61% |
3.17% |
13.70% |
21.39% |
Food Wholesalers |
Оптовики питания |
14 |
1.41 |
10.29% |
85.40% |
3.17% |
13.47% |
14.60% |
Furn/Home Furnishings |
Furn / Мебель Главная |
27 |
1,09 |
8,44% |
78.98% |
3.67% |
14.48% |
21.02% |
Green & Renewable Energy |
Зеленый и возобновляемых источников энергии |
26 |
1,32 |
9.76% |
47.63% |
3.67% |
1,94% |
52.37% |
Healthcare Products |
Товары для здоровья |
261 |
0.99 |
7,86% |
86.46% |
3.67% |
6.73% |
13.54% |
Healthcare Support Services |
Вспомогательные услуги здравоохранения |
138 |
1,05 |
8,23% |
78.95% |
3.17% |
13.27% |
21.05% |
Heathcare Information and Technology |
Heathcare информации и технологии |
127 |
0,95 |
7,63% |
83.51% |
4.17% |
6,35% |
16.49% |
Homebuilding |
Жилищное строительство |
35 |
1,29 |
9.57% |
62.20% |
3.67% |
18.11% |
37.80% |
Hospitals/Healthcare Facilities |
Больницы / Здравоохранение Услуги |
56 |
0,97 |
7,76% |
56.95% |
3.17% |
10.93% |
43.05% |
Hotel/Gaming |
Отель / Игры |
80 |
1.18 |
8.96% |
64.67% |
3.17% |
11.41% |
35.33% |
Household Products |
Производство бытовых товаров |
135 |
1.03 |
8,08% |
84.11% |
3.67% |
10.46% |
15.89% |
Information Services |
Информационные Услуги |
67 |
1.11 |
8.58% |
88.25% |
3.17% |
17.93% |
11.75% |
Insurance (General) |
Страхование (General) |
24 |
1.03 |
8.09% |
69.91% |
3.17% |
19.21% |
30.09% |
Insurance (Life) |
Страхование (Life) |
25 |
1,04 |
8.16% |
58.40% |
3.17% |
24.30% |
41.60% |
Insurance (Prop/Cas.) |
Страхование (Опора / Cas). |
52 |
0,83 |
6,94% |
75.24% |
3.17% |
22.18% |
24.76% |
Investments & Asset Management |
Инвестиции и Управление активами |
148 |
1.10 |
8,48% |
57.45% |
3.17% |
6,84% |
42.55% |
Machinery |
Машины |
137 |
1.23 |
9.22% |
83.03% |
3.17% |
15.64% |
16.97% |
Metals & Mining |
Металлы и Добыча |
124 |
1,28 |
9.54% |
66.36% |
4.17% |
1,80% |
33.64% |
Office Equipment & Services |
Офисное оборудование и услуги |
25 |
1,34 |
9.89% |
65.84% |
3.17% |
18.65% |
34.16% |
Oil/Gas (Integrated) |
Нефть / газ (интегрированный) |
8 |
0,81 |
6,81% |
90.04% |
3.17% |
14.56% |
9.96% |
Oil/Gas (Production and Exploration) |
Нефть / газ (разведки и добычи) |
392 |
1,27 |
9.45% |
67.49% |
4.17% |
7,04% |
32.51% |
Oil/Gas Distribution |
Нефть / Газораспределение |
85 |
0,96 |
7,71% |
67.68% |
3.17% |
4,68% |
32.32% |
Oilfield Svcs/Equip. |
Нефтегазовое Svcs / персонаже. |
161 |
1,54 |
11.04% |
78.35% |
4.17% |
10.99% |
21.65% |
Packaging & Container |
Упаковка и контейнер |
26 |
0,95 |
7,62% |
67.30% |
3.17% |
18.18% |
32.70% |
Paper/Forest Products |
Бумага / Forest Products |
22 |
0,84 |
6,97% |
66.22% |
3.17% |
11.54% |
33.78% |
Power |
Мощность |
82 |
0,83 |
6,94% |
56.90% |
3.17% |
20.77% |
43.10% |
Precious Metals |
Драгоценные металлы |
147 |
1,29 |
9.61% |
71.02% |
5,17% |
1,33% |
28.98% |
Publshing & Newspapers |
Publshing и прессы |
43 |
1,15 |
8.77% |
67.85% |
3.67% |
14.93% |
32.15% |
REIT |
REIT |
213 |
0,79 |
6,69% |
53.05% |
3.17% |
1.24% |
46.95% |
Real Estate (Development) |
Недвижимость (разработка) |
18 |
1.02 |
8,04% |
68.77% |
3.17% |
7,21% |
31.23% |
Real Estate (General/Diversified) |
Недвижимость (General / Разные) |
11 |
1,82 |
12.63% |
78.39% |
3.17% |
9.39% |
21.61% |
Real Estate (Operations & Services) |
Недвижимость (операции и услуги) |
52 |
1.30 |
9,66% |
63.56% |
3.67% |
8.63% |
36.44% |
Recreation |
Отдых |
68 |
1.21 |
9.14% |
75.97% |
3.67% |
11.25% |
24.03% |
Reinsurance |
Перестрахование |
4 |
1,35 |
9.91% |
72.68% |
2,67% |
15.53% |
27.32% |
Restaurant/Dining |
Ресторан / Столовая |
79 |
0,89 |
7,30% |
78.20% |
3.17% |
15.14% |
21.80% |
Retail (Automotive) |
Розничная торговля (Automotive) |
30 |
1.18 |
8.93% |
66.58% |
3.17% |
18.76% |
33.42% |
Retail (Building Supply) |
Розничная торговля (Строительство Поставка) |
5 |
1,44 |
10.46% |
83.71% |
3.67% |
30.64% |
16.29% |
Retail (Distributors) |
Розничная торговля (дистрибьюторы) |
90 |
1.12 |
8.58% |
67.57% |
3.67% |
16.84% |
32.43% |
Retail (General) |
Розничная торговля (General) |
23 |
1.03 |
8,10% |
76.12% |
3.17% |
21.36% |
23.88% |
Retail (Grocery and Food) |
Розничная торговля (Бакалея и пищевых продуктов) |
21 |
1,05 |
8.20% |
64.05% |
3.67% |
22.94% |
35.95% |
Retail (Online) |
Розничная торговля (Интернет) |
46 |
1.40 |
10.19% |
93.01% |
4.17% |
9.38% |
6.99% |
Retail (Special Lines) |
Розничная торговля (специальные линии) |
128 |
1,07 |
8.35% |
70.70% |
3.67% |
20.44% |
29.30% |
Rubber& Tires |
Резина и Шины |
4 |
1.02 |
8,04% |
53.26% |
3.17% |
13.58% |
46.74% |
Semiconductor |
Полупроводник |
100 |
1.21 |
9.15% |
90.29% |
3.67% |
10.11% |
9.71% |
Semiconductor Equip |
Semiconductor персонаже |
47 |
1.23 |
9.26% |
85.01% |
3.67% |
6,88% |
14.99% |
Shipbuilding & Marine |
Судостроение и морская |
14 |
1,36 |
10.00% |
65.10% |
4.17% |
6,75% |
34.90% |
Shoe |
Обувной |
13 |
0,84 |
7,01% |
93.16% |
3.17% |
20.15% |
6,84% |
Software (Entertainment) |
Программное обеспечение (Развлечения) |
20 |
1.12 |
8.58% |
85.25% |
4.17% |
1,46% |
14.75% |
Software (Internet) |
Программное обеспечение (Интернет) |
327 |
1,29 |
9.57% |
94.71% |
4.17% |
5,07% |
5.29% |
Software (System & Application) |
Программное обеспечение (System & Application) |
259 |
1.10 |
8.52% |
91.16% |
3.67% |
6,86% |
8.84% |
Steel |
Сталь |
40 |
1.31 |
9.72% |
60.96% |
3.67% |
13.99% |
39.04% |
Telecom (Wireless) |
Телеком (Wireless) |
21 |
1,15 |
8.78% |
39.31% |
3.67% |
5.76% |
60.69% |
Telecom. Equipment |
Телеком. Оборудование |
126 |
1.24 |
9.32% |
89.51% |
3.67% |
8.70% |
10.49% |
Telecom. Services |
Телеком. Услуги |
77 |
1,07 |
8,31% |
60.45% |
3.67% |
11.83% |
39.55% |
Tobacco |
Табак |
20 |
1,09 |
8.41% |
83.51% |
3.17% |
12.39% |
16.49% |
Transportation |
Транспорт |
21 |
0,86 |
7.10% |
82.62% |
3.17% |
20.08% |
17.38% |
Transportation (Railroads) |
Транспорт (Железные дороги) |
10 |
1,05 |
8.19% |
83.19% |
3.17% |
21.30% |
16.81% |
Trucking |
Грузоперевозки |
30 |
1,32 |
9.78% |
60.00% |
3.17% |
27.38% |
40.00% |
Unclassified |
Незакрытый |
8 |
0.10 |
2,77% |
79.20% |
# N / |
3.93% |
20.80% |
Utility (General) |
Utility (General) |
21 |
0,59 |
5.58% |
62.00% |
2,67% |
30.59% |
38.00% |
Utility (Water) |
Утилита (вода) |
19 |
1,09 |
8.41% |
66.59% |
3.17% |
15.10% |
33.41% |
Total Market |
Всего рынка |
7887 |
1,06 |
8.29% |
60.19% |
3.67% |
10.76% |
39.81% |