Надежность определения систематического риска в анализе инвестиционной привлекательности проекта

Известия Санкт-Петербургского государственного экономического университета. 2022. № 5-2(137). С. 42–49.

Цехомский Н. В., Tikhomirov D.

Development of any business or investment project is associated with many risks and uncer-tainties. Estimating the current value of a business or project involves discounting flows at a certain, often specifically calculated rate, one of the main components of which is a measure of systematic risk beta. The article briefly presents the possible mistakes, risks and uncertainties of a business or a new project, con-siders the traditional approach to assessing the cost of capital and measure of systematic risk beta (β), problems in calculation and applicability for certain cases. The main result is a critical analysis of the available publicly available data (using the data of Prof. A. Damodaran as an example), including con-sideration of their significant changes over several years, significant fluctuations / deviations from the average, which may cast doubt on the possibility of using ratios for project valuation and companies in the long run. The authors pay special attention to examples of such deviations, give recommendations for verifying the ratios in open-source analytics and give examples of such verification and necessary adjust-ments of values for specific industries.

Keywords: инвестиционная привлекательность, бета-коэффициент, модель CAPM, CAPM, Beta, investment attractiveness