llqiiitcommay be ta The final element of the CAPM calculation is the relative risk of the asset/company, as captured by the equity beta. When measuring the equity beta the risk that matters ¡s referred to as market or non-diversi fiable risk. This is because investors are assumed to have an efficient portfolio of assets which allow some risk to be mitigated through the ownership of assets that benefit from the risk that is negatively affecting another asset. As such, the only risk that matters is that which cannot be diversified away through the creation of an efficient portfolio.
The market as a whole has an equity beta value of 1 and if a company has an equity beta of less than 1 then it is less risky than the market as a whole and if the value is greater than 1 then the company îs morc risky. Two factors drive the equity beta value for a company: • underlying business risk reflecting the n on-di v ersi fia ble risks of the business relative to the market as a whole (measured through the asset beta); and • financial risk which magnifies the underlying business risk's effects on equity caused by the increasing use of debt. In principle this should be measured against the average gearing (financial structure) of the market asa whole, however, this is normally assumed to be constant and it is just the actual level of gearing for the asset that is considered.4 3.2.2. The cost of debt (COD) The COD is traditionally measured as two separate elements: • the risk-tree rate (described earlier); and • the debt premium.
The debt premium is a measure of the additional risk faced bv investors for lending money to a company rather than the government. It is estimated bv comparing the yield to maturity of the corporate bond with the yield to maturity of the appropriate government bond. This spread is then the debt premium.
When choosing government comparator bonds it is important to consider: • the ma t u ri tv of the lion d; and • the coupon.
Maturity is the most important determinant of the yield and so ensuring comparator bonds have as close a maturity to the corporate bond as possible is key. However, if there is then a choice concerning coupon it is better to find a coupon similar to that of the corporate bond since tax clientele effects might lead to different levels of demand and so yield.
II SÉRIE-B — NÚMERO 226
___________________________________________________________________________________________________________________
178

Consultar Diário Original