隐含资本成本估计方法的适用性问题——以中国上市公司为例

隐含资本成本对于金融投资决策和资产估值有着极为重要的意义,隐含资本成本的测算方法具有避免标准资产定价模型估计公司层面资本成本的误差问题、不依赖于传统资产定价模型的设定以及信息含量丰富等特点。本文梳理和比较了隐含资本成本的八类估计方法,并采用中国上市公司的数据进行了实际测度。单变量的相关性检验,支持OJN、GGM、CT三种方法对隐含资本成本估测的效果更好的判断;多元回归分析显示,GGM和CT两种方法的计量结果较为理想,能更准确地反映风险,并可作为预期收益的无偏估计。

The Applicability of the Implied Cost of Capital: Evidences from Chinese Listed Companies

As expected returns on capital investment,the cost of capital is estimated with ex ante approach,and usually called the implied cost of capital,which has the advantage to avoid the dependence on the settings of the traditional CAMP model and the measurement error from the firm-level.It can reveal more information and improves precision than the former indexes.Based on the introduction and comparison 8 types of methods in measuring ICC,we estimate the implied cost of capital of Chinese listed companies.The result shows that in the correlation matrix between the cost of capital and risk factors,OJN,GGM and CT are found to show a significant correlation in consistency with the expected sign,and in the multiple regression analysis,GGM and CT reflects risk more appropriately.