摘 要

跟着社会的成长，时期的进步，权益资本成本的计算变为上市公司企业的融资发展中相当重要的一部分。本文在经济学前辈的大量理论学说与实验实践基础上对上市公司的不同方法模型下的权益资本成本进行了深入的探讨，介绍了权益资本成本的五个基本理论模型（即资本资产定价模型（CAPM）、套利定价模型（APT）、现金流折现估价模型（DCF）、三因子模型、剩余收益估价模型（RIM））。为了进一步说明问题，本文例举了海尔股份制有限公司的实例，通过使用资本资产定价模型（CAPM）法、现金流折现估价模型（DCF）法和GLS回归模型法分别计算该公司权益资本成本，得出不同方法下计算出的上市公司的权益资本成本也不同，并以不同方法产生的差异进行了假设分析与解释。并提出理想中的资本成本与现实中的差别。

关键词：上市公司；理论模型；权益资本成本；差异；原因

Assessment of the cost of equity capital of listed companies

               -- A Case Study of Haier

ABSTRACT

With the social development and progress, the cost of equity capital is determined era into financing development of listed companies in an increasingly important part. In this paper, a large number of theories and practice on experimental economics predecessors different methods to model the cost of equity of listed companies under the in-depth discussion, the theoretical model describes five basic cost of equity capital (Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), Discounted Cash Flow Valuation Models (DCF), Three-factor Model, the Residual Income Valuation Model (RIM) ). To further illustrate the problem, the paper cites examples of Haier joint-stock Co., Ltd., by using the capital asset pricing model (CAPM) method of discounted cash flow valuation model (DCF) method and GLS regression method was used to calculate the company's cost of equity capital, come under different method to calculate the cost of equity capital of listed companies is different, and the differences were produced in different ways hypothetical analysis and interpretation. And make the ideal and the reality of the cost of capital differences.

Key words: Listed Companies; Theoretical Model; Cost of Equity Capital; Difference；Reasons

目 录

1 前言 ............................................................................................................................................. 1

1.1 研究背景 .............................................................................................................................. 1

1.2 研究目的及意义 .................................................................................................................. 1

1.3 研究内容 .............................................................................................................................. 1

1.4 论文结构 .............................................................................................................................. 2

2 文献综述 ..................................................................................................................................... 3

2.1 国外文献综述 ...................................................................................................................... 3

2.2 国内文献综述 ...................................................................................................................... 4

3 权益资本成本测算基本理论 ..................................................................................................... 6

3.1 资本资产定价模型（CAPM）............................................................................................... 6

3.2 套利定价模型(APT) ............................................................................................................ 7

3.3 资本资产定价模型（CAPM）与套利定价模型(APT)的区别 ........................................... 8

3.4 现金流折现估值模型（DCF） ............................................................................................. 8

3.5 Fama-French三因子模型 ..................................................................................................... 9

3.6 剩余收益估价模型（RIM） ................................................................................................. 9

4 青岛海尔权益资本成本测算 ................................................................................................... 11

4.1 公司简介 ............................................................................................................................ 11

4.2 数据来源 ............................................................................................................................ 11

4.3 资本成本的计算 ................................................................................................................ 11

4.3.1 CAPM模型计算权益资本成本 ................................................................................ 12

4.3.2 DCF模型计算权益资本成本 .................................................................................... 13

4.3.3 GLS回归模型计算权益资本成本 ............................................................................ 15