Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers

This paper estimates the cost of equity capital for Property/Casualty insurers by applying three alternative asset pricing models: the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and a unified CAPM/APT model (Wei (1988). The in-sample forecast ability of the models is evaluated by applying the mean squared error method, the Theil U2 (1966) statistic, and the Granger and Newbold (1978) conditional efficiency evaluation. Based on forecast evaluation procedures, the APT and Wei's unified CAPM/APT models perform better than the CAPM in estimating the cost of equity capital for the PC insurers and a combined forecast may outperform the individual forecasts.     

中国上市企业投资的资本成本敏感性估计

企业投资对资本成本的敏感性是识别货币政策利率传导渠道是否畅通以及IS曲线斜率的重要参数。本文基于新古典投资模型框架,使用2004-2017年中国上市公司非平衡面板数据,估计了中国上市企业投资的资本成本敏感性,并侧重检验了融资约束对企业投资资本成本敏感性的影响。估计结果显示:(1)上市企业投资的加权资本成本弹性显著为负,且已具有较强敏感性(长期弹性系数为-0.16～-0.27),价格型货币政策工具的传导条件在上市公司投资环节正逐渐具备 ;(2)对加权资本成本的结构性估计显示,企业投资主要对债务资本成本的变动较为敏感且系数显著为负,而对股权资本成本的变动敏感程度较低且不稳定;(3)与传统观点相反的是,非国有控股上市企业投资的资本成本敏感性显著低于国有控股上市企业;较强的融资约束是导致非国有控股上市企业投资的资本成本敏感性较低的重要原因,应重视民营经济面临较强的融资约束对价格型货币政策工具传导机制的负面影响。本文的研究为中国货币政策框架的转型以及价格型货币政策传导机制的有效性提供了微观经验证据的支持。     

Accounting for Investments in Human Capital: A Review

This paper provides an overview of the human capital literature, focusing on the firm's incentives and disincentives to invest in human capital and subsequently to account for the investments. The evidence suggests human capital investment decisions are intrinsically linked to the success of a business and ultimately to the probability of survival. However, disclosure is largely a voluntary choice by managers as there are few formal disclosure requirements. The conclusion from the evidence shows that the benefits to stakeholders of disclosing information relating to human capital investment are likely to outweigh the costs and suggests a wide range of topics for future research.     

资本成本与资金成本的区别探讨

资本成本是一个财务学概念,体现的是健全的公司治理机制和对资本风险报酬的尊重。而资金成本仅仅是一个会计学概念,未能反映出公司制的真谛。但理论界却将二者混为一谈。为了使我国的财务理论能够指导投资决策,就必须与国际接轨,全面接受资本成本理念。     

Investments in Human Capital in Different Institutional Environments

This chapter investigates the proportion of labor costs that represents investments in human capital, and the rate of amortization of this asset in all six countries for which the required data are available in the Compustat Global Vantage database. The sample includes countries with different financial and legal systems, which enables us to investigate how the growth and depreciation rates of human capital and the resulting human capital asset ratio differ in different institutional environments. The results indicate that the estimated proportion of labor expenses that represents investments in human capital is large in the so-called common-law countries with a market-based financial system. On the other hand, the depreciation rate of the estimated human capital assets is lower in these countries. The results, therefore, indicate that the human capital assets are high in equity-oriented financial reporting environments. The results also indicate that the estimated ratios of the human capital asset to market value of equity are reasonably related to firm characteristics that are hypothesized to be determinants of the human capital asset ratios. Finally, these results remain the same in different industries.     

论资本成本的计量及运用

资本成本是特定主体为取得和使用资本而发生或应当发生的经济利益的总流出。仅从筹资决策考察,不同计量模型所确定的资本成本均有标杆作用,但投资项目预期报酬高于必要报酬是企业获取超额回报,并为股东创造价值的理财思想,其决定了资本成本计量模型与预期报酬计量模型之间具有高度关联性,只有实现投资决策和筹资决策之间的高效互动,才能进一步提高该指标在财务资源配置中的适用性和科学性。     

Growth and Nongrowth Capital Investments and Future Performance*

Most studies on the impact of capital expenditure on future performance use the aggregate capital expenditure disclosed in the cash flow statement. In this study, however, we distinguish between growth capital investments (that increase production capacity) from nongrowth capital investments (that only maintain or reduce current capacity). For growth capital investments, we document a negative association with year-ahead performance, which becomes positive in the subsequent year. For nongrowth capital investments, we observe a non-negative association with year-ahead performance. For nongrowth capital investments, we document a positive association, suggesting that the divestment is beneficial. That is, firms are likely disposing of nonproductive assets. Our results suggest that disclosing the nature of capital investments is important to better assess the future impact of a firm's investment decisions.     

Application of the Capital Asset Pricing Model to Multi-period Investments

This paper presents a method for evaluating a multi-period asset that is consistent with the valuations implied by the capital asset pricing model, and shows how the results of the valuation processes can be expressed in terms of a number of commonly used valuation formulas.
Ce papier expose tout d'abord une méthode permettant d'estimer une valeur immobilisée à multiples périodes qui soit compatible avec les évaluations fournies par le modéle d'bvaluation de l'actif immobilisé. II montre ensuite comment les résultats des opérations d'haluation peuvent être exprimés au moyen d'un nombre de formules d'estimation couramment utilisées.
Dieser Beitrag stellt eine Methode für die Bewertung einer mehrperiodischen Investition dar, die mit den Bewertungen, die das 'Capital Asset Pricing' Modell impliziert, übereinstimmt. Er zeigt, wie die Ergebnisse des Bewertungsprozesses mittels einer Anzahl gebrluchlicher Formeln ausgedruckt werden konnen.     

数字化转型能否降低企业资本成本

依据2007—2020年我国上市公司数据,考量数字化转型对企业资本成本的影响。结果显示,数字化转型可以有效降低企业资本成本;机制检验结果表明,数字化转型通过缓解信息不对称、强化企业创新动能、提高内部控制质量等路径降低企业资本成本。进一步研究发现,高科技企业以及企业面临较高环境不确定性时,数字化转型降低企业资本成本的效果更显著。结论从降低企业资本成本的视角为企业如何推进数字化转型战略提供了经验证据。     

The Effect of Venture Capital Financing on the Sensitivity to Cash Flow of Firm's Investments

This work studies the effect of venture capital (VC) financing on firms' investments in a longitudinal sample of 379 Italian unlisted new‐technology‐based firms (NTBFs) observed over the 10‐year period from 1994 to 2003. We distinguish the effects of VC financing according to the type of investor: independent VC (IVC) funds and corporate VC (CVC) investors. Previous studies argue that NTBFs are the firms most likely to be financially constrained. The technology‐intensive nature of their activity and their lack of a track record increase adverse selection and moral hazard problems. Moreover, most of their assets are firm‐specific or intangible and hence cannot be pledged as collateral. In accordance with this view, we show that the investment rate of NTBFs is strongly positively correlated with their current cash flows. We also find that after receiving VC financing, NTBFs increase their investment rate independently of the type of VC investor. However, the investments of CVC‐backed firms remain sensitive to shocks in cash flows, whereas IVC‐backed firms exhibit a low and statistically not significant investment–cash flow sensitivity that we interpret as a signal of the removal of financial constraints.     

投资农业首要事

美国泰山投资公司在投资福建闽中食品公司蔬菜加工项目时做的第一件事,就是帮助企业从新加坡高薪聘请了CFO。发展现代农业是社会主义新农村建设的首要任务,也是以科学发展观统领农村工作的必然要求。2006～2010年,中央财政对发展现代农业支持接近1.88万亿元。2011年是"十二五"的开局年,也是巩     

Estimating the Cost of Equity Capital for Property-Liability Insurers

This article presents new evidence on the cost of equity capital by line of insurance for the property‐liability insurance industry. To do so we obtain firm beta estimates and then use the full‐information industry beta (FIB) methodology to decompose the cost of capital by line. We obtain full‐information beta estimates using the standard one‐factor capital asset pricing model and extend the FIB methodology to incorporate the Fama–French three‐factor cost of capital model. The analysis suggests the cost of capital for insurers using the Fama–French model is significantly higher than the estimates based upon the CAPM. In addition, we find evidence of significant differences in the cost of equity capital across lines.     

The Cost of Capital and the Relevance of Non-diversifiable Risk

The conventional solutions to the corporate investment decision have been seriously challenged by recent developments in portfolio theory. In this paper, the author argues that, assuming the security market is composed of efficient diversifiers, there is no need, in the evaluation of investment projects, to adjust the time value of money to take account of risk. He concludes that the appropriate cut-off rate for any investment is equal to the yield on a 'risk-free' security such as undated or long-dated Government Stock.     

The Cost of Capital of Cross‐listed Firms

This paper analyses the cost of capital of firms with foreign equity listings. Our purpose is to shed light on the question whether international and domestic asset pricing models yield a different estimate of the cost of capital for cross‐listed stocks. We distinguish between (i) the multifactor ICAPM of Solnik (1979) and Sercu (1980) including both the global market portfolio and exchange rate risk premia and (ii) the single factor domestic CAPM. We test for the significance of the cost of capital differential in a sample of 336 cross‐listed stocks from nine countries in the period 1980–99. Our hypothesis is that the cost of capital differential is substantial for firms with international listings, as these are often large multinationals with a strong international orientation. We find that the asset pricing models yield a significantly different estimate of the cost of capital for only 12% of the cross‐listed companies. The size of the cost of capital differential is around 50 basis points for the US, 80 basis points for the UK and 100 basis points for France.