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估计贝塔(β)值是运用CAPM进行投资决策的重要环节。本文基于非上市公司和投资项目难以从公开市场获得充分数据以估计β值的实际情况,研究了在上市公司β值基础上进行调整,进而估计非上市公司和投资项目β值的方法,包括基于财务杠杆不同的β值调整和基于经营杠杆不同的β值调整。并提出当不存在性质相同或类似上市公司时,基于确定性等值估计非上市公司和投资项目β值的方法。
Estimating beta (β) values is an important part of making CAPM investment decisions. Based on the fact that it is difficult for private companies and investment projects to obtain sufficient data from the open market to estimate the value of β, this paper studies how to adjust β values of listed companies to estimate β values of unlisted companies and investment projects. Different beta adjustments of financial leverage and beta adjustments based on different operating leverage. And put forward the method of estimating the β value of unlisted companies and investment projects based on deterministic equivalence when there is no listed company of the same or similar nature.