Measuring Risk Structure Using the Capital Asset Pricing Model

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F15%3APU113168" target="_blank" >RIV/00216305:26510/15:PU113168 - isvavai.cz</a>

Výsledek na webu

<a href="https://acta.mendelu.cz/63/1/0227/" target="_blank" >https://acta.mendelu.cz/63/1/0227/</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201563010227" target="_blank" >10.11118/actaun201563010227</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Measuring Risk Structure Using the Capital Asset Pricing Model

Popis výsledku v původním jazyce

This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM) for calculation of equity cost, namely on determination of the beta coefficient, which is the only variable, that is dependent on entrepreneurial risk. There are combined both alternative approaches for calculation betas, which means, that there are accounting data used and there is distinguished unlevered beta and levered beta. The novelty of the proposed method is based on including of quantities for measuring operational and financial risks in beta calculation. The volatility of cash flow, as a quantity for measuring of operational risk, is included in the unlevered beta. Return on equity based on the cash flow and the indebtedness are variables used in calculation of the levered beta. This modification makes it possible to calculate the share of operational risk as the proportion of the unlevered/levered beta and the share of financial risk, which is the remainder of levered beta. The modified method is applied on companies from two sectors of the Czech economy. In the data set there are companies from one cyclical sector and from one neutral sector to find out potential differences in the risk structure. The findings show, that in both sectors the share of operational risk is over 50 %, however, in the neutral sector is this more dominant.

Název v anglickém jazyce

Measuring Risk Structure Using the Capital Asset Pricing Model

Popis výsledku anglicky

This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM) for calculation of equity cost, namely on determination of the beta coefficient, which is the only variable, that is dependent on entrepreneurial risk. There are combined both alternative approaches for calculation betas, which means, that there are accounting data used and there is distinguished unlevered beta and levered beta. The novelty of the proposed method is based on including of quantities for measuring operational and financial risks in beta calculation. The volatility of cash flow, as a quantity for measuring of operational risk, is included in the unlevered beta. Return on equity based on the cash flow and the indebtedness are variables used in calculation of the levered beta. This modification makes it possible to calculate the share of operational risk as the proportion of the unlevered/levered beta and the share of financial risk, which is the remainder of levered beta. The modified method is applied on companies from two sectors of the Czech economy. In the data set there are companies from one cyclical sector and from one neutral sector to find out potential differences in the risk structure. The findings show, that in both sectors the share of operational risk is over 50 %, however, in the neutral sector is this more dominant.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50602 - Public administration

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

2464-8310

Svazek periodika

63

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

7

Strana od-do

227-233

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-84925448034