愛同學
2023-02-27 14:40怎么理解去杠桿和加杠桿呢？為什么把βEquity轉(zhuǎn)化成β資產(chǎn)，叫做去杠桿呢？反之又叫加杠桿？
所屬：CFA Level II > Corporate Issuers 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
roushan助教
2023-02-27 20:45
該回答已被題主采納
去杠桿是指將上市公司的beta equity轉(zhuǎn)換為資產(chǎn)beta asset。去除財務杠桿對beta的影響。
加杠桿是指根據(jù)求得的beta asset重新計算非上市公司的權(quán)益beta*equity
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追問
為什么βequity體現(xiàn)了財務杠桿呢？A=E+L, 為什么βequity既體現(xiàn)了財務風險又體現(xiàn)了經(jīng)營風險呢？
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追答
equity beta 衡量的是股東所承擔的風險，也就是包含財務風險的 equity risk，如果一個公司不借債，那么βasset和βequity相等。
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追問
所以βasset包括了借債的風險和equity的風險呀，因此βasset應該大于βequity呀。。
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追答
Unlevered beta (a.k.a. Asset Beta) is the beta of a company without the impact of debt. It is also known as the volatility of returns for a company, without taking into account its financial leverage. It compares the risk of an unlevered company to the risk of the market. It is also commonly referred to as “asset beta” because the volatility of a company without any leverage is the result of only its assets.
Levered beta (or “equity beta”) is a measurement that compares the volatility of returns of a company’s stock against those of the broader market. In other words, it’s a measure of risk, and it includes the impact of a company’s capital structure and leverage. Equity beta allows investors to gauge how sensitive a security might be to macro-market risks.
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