ISTRAŽIVANJE ODNOSA IZMEĐU PROSEČNE PONDERISANE CENE KAPITALA I ODABRANIH RACIJA PROFITABILNOSTI PREDUZEĆA U REPUBLICI SRBIJI
Ključne reči:
WACC, cena sopstvenog kapitala, CAPM, cena dugoročnog duga, ROA, ROE, neto profitna marža, diskontna stopa
Sažetak
Prosečna ponderisana cena kapitala (WACC) se utvrđuje kao prosečna
ponderisana cena kapitala svih dugoročnih izvora finansiranja preduzeća. WACC se
koristi kao diskontna stopa prilikom utvrđivanja vrednosti preduzeća, zatim u
investicionoj analizi pri donošenju odluke o prihvatanju/odbacivanju projekta, kao i
prilikom evaluacije performansi top menadžmenta. U radu je izvršeno izračunavanje
WACC za sva nefinansijska preduzeća koja sačinjavaju korpu indeksa Belex15, a potom
je ispitan odnos između prosečne ponderisane cene kapitala i racio brojeva
profitabilnosti ROA, ROE i neto profitne marže. Rezultati istraživanja pokazuju da se
WACC kreće između 3.45% i 17.77% za preduzeća iz uzorka. Takođe, rezultati
pokazuju da između WACC, sa jedne, i odabranih racija profitabilnosti, s druge strane,
postoji negativna korelacija. Treba, međutim, istaći da je ta veza statistički značajna
samo između WACC i neto profitne marže.
Reference
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Bekaert, G., & Harvey, C. R. (2014). Emerging Equity Markets in a Globalizing World. SSRN Working Paper No. 2344817.
Beogradska berza. www.belex.rs.
Benson, K., & Faff, R. (2013). β. ABACUS. 49(S1): 24-31.
Brealey, R. A., Stewart, C. M., & Allen, F. (2011). Principles of Corporate Finance. New York: McGraw-Hill Irvin.
Brooks, C. (2014). Introductory Econometric for Fnance. Cambridge: Cambridge University Press.
Brotheron, W. T., Eades, K. M., Harris, R. S., & Higgins, R. C. (2013). “Best Practices” in Estimating the Cost of Capital: An update. Journal of Applied Finance, 1. 1-19.
Bruner, R. F., Eades, K. M., Harris, R. S., & Higgins, R. C. (1998). Best Practices in Estimating the Cost of Capital: Survey and Synthesis. Financial Practice and Education, 27(1). 13-28.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic Forces and the Stock Market. Journal of Business, 59(3): 383-403.
CFA Institute (2020). Corporate Finance and Equity. Level I, Volume 4. New Yersey: Wiley Global Finance.
Da, Z., Guo, R. J., & Jagannathan, R. (2012). CAPM for Estimating Cost of Equity Capital: Interpreting the Empirical Evidence. Journal of Financial Economics, 103(1): 204-220.
Damodaran, A. Damodaran Online, http://people.stern.nyu.edu/adamodar (data updated 01.01.2021).
Damodaran, A. (2009). Volatility Rules: Valuing Emerging Companies. (Taken from https://pages.stern.nyu.edu/~adamodar/pdfiles/papers/emergmkts.pdf, accessed on 01.07.2021).
Damodaran, A. (2015). Applied Corporate Finance (4th Ed.). Hoboken, NJ: John Wiley & Sons Inc.
Dempsey, M. (2013). The Capital Asset Pricing Model (CAPM): The History of a Failed Revolutionary Idea in Finance? ABACUS, 49(S): 7-23.
European Central Bank. Statistical Data Warehouse. http://sdw.ecb.europa.eu.
Estrada, J. (2007). Mean-Semivariance Behavior: Downside Risk and Capital Asset Pricing. International Review of Economics and Finance, 16(2): 169–185.
Fama, E. F., & French, K. R. (1992). Cross-Section of Expected Returns. Journal of Finance, 47(2): 427-466.
Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on the Stocks and Bonds. Journal of Financial Economics, 33(1): 3-56.
Fama, E. F., & French, K. R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116(1): 1-22.
Jacobs, M. T., & Shivdasani, A. (2012). Do You Know Your Cost of Capital? Harvard Business Review, 90(7/8). 118-124.
Kayo, E. K., Martelance, R., Brunaldi, E. O., & da Silva, E. (2020). Capital Asset Pricing Model. Beta Stability. and the Pricing Puzzle of Electricity Transmission in Brazil. Energy Policy, 142(July): 1-8.
Kočović, J., Paunović, M., & Jovović, M. (2016). Determining the Discount Rate: The Case of Oil Industry in Serbia. Ekonomika preduzeća, 64(5-6). 371-381.
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budget. Review of Economics and Statistics, 47(1): 13-37.
Liu, E. (2006). A Liquidity-Augmented Capital Asset Pricing Model. Journal of Financial Economics, 82(3): 631-671.
Momcilovic, M., Vlaovic Begovic, S., & Zivkov, D. (2015). Cost of Equity: The Case of Serbian Food Industry. Custos e @gronegócioon line, 11(1): 184-197.
Momcilovic, M., Zivkov, D. & Vlaovic Begovic, S. (2017). The Downside Risk Approach to Cost of Equity Determination for Slovenian, Croatian and Serbian Capital Markets. E+M Ekonomie a Management, 20(3): 147-158.
Momčilović., M. & Vlaović Begović, S. (2020). The Relationship between Weighted Average Cost of Capital and Profitability of Companies in Sebia: Case Study. In: Damnjanović. J. & Stankov. B. (edit.). Second Biennial International Scientific and Expert Conference Economic development and copetitiveness of European countries: Challenges of economic integration (98-102). Novi Sad: Novi Sad School of Business.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4). 768-783.
Nel, W. S. (2011). The Application of the Capital Asset Pricing Model (CAPM): A South African Perspective. African Journal of Business Management, 5(13): 5336-5347.
Newey, W. K., & West, K. D. (1987). A Positive Semi-definite, Heteroskedasticity and Autocorrelation-consistent Covariance Matrix. Econometrica, 55 (3), 703–708.
Partington, G. (2013). Death Where is The Sting? A Response to Dempsey’s Dispatching of the CAPM. ABACUS, 49(S1): 69-72.
Partridge, I. (2018). Cost comparisons for wind and thermal power generation. Energy Policy, 112(January): 272-279.
Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Condition of Risk. Journal of Finance, 19(3). 425-442.
Smith, T., & Walsh, K. (2013). Why the CAPM is Halp-Right and Everything Else is Wrong. ABACUS, 49(S1): 73-78.
Syed, W. H., Ghayanfar, A., & Zia, U. I. (2012). Impact of WACC on Corporate Profitability. Impact of Risk and Diversification, 4: 1-7.
Statistical Portal for Market Data. www.statista.com.
Treynor. J. L. (1962). Toward a Theory of Market Value of Risky Assets. Unpublished paper. Final version of the paper is published in the book Korajczyk, R. (1999). Asset Pricing and Portfolio Performance. London: Risk Books. pp. 15-22.
Van Horne, J. C., & Wachowicz, J. M. (2009). Fundamentals of Financial Management (13th Ed.). Harlow: Pearson Education Ltd.
Bekaert, G., & Harvey, C. R. (2014). Emerging Equity Markets in a Globalizing World. SSRN Working Paper No. 2344817.
Beogradska berza. www.belex.rs.
Benson, K., & Faff, R. (2013). β. ABACUS. 49(S1): 24-31.
Brealey, R. A., Stewart, C. M., & Allen, F. (2011). Principles of Corporate Finance. New York: McGraw-Hill Irvin.
Brooks, C. (2014). Introductory Econometric for Fnance. Cambridge: Cambridge University Press.
Brotheron, W. T., Eades, K. M., Harris, R. S., & Higgins, R. C. (2013). “Best Practices” in Estimating the Cost of Capital: An update. Journal of Applied Finance, 1. 1-19.
Bruner, R. F., Eades, K. M., Harris, R. S., & Higgins, R. C. (1998). Best Practices in Estimating the Cost of Capital: Survey and Synthesis. Financial Practice and Education, 27(1). 13-28.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic Forces and the Stock Market. Journal of Business, 59(3): 383-403.
CFA Institute (2020). Corporate Finance and Equity. Level I, Volume 4. New Yersey: Wiley Global Finance.
Da, Z., Guo, R. J., & Jagannathan, R. (2012). CAPM for Estimating Cost of Equity Capital: Interpreting the Empirical Evidence. Journal of Financial Economics, 103(1): 204-220.
Damodaran, A. Damodaran Online, http://people.stern.nyu.edu/adamodar (data updated 01.01.2021).
Damodaran, A. (2009). Volatility Rules: Valuing Emerging Companies. (Taken from https://pages.stern.nyu.edu/~adamodar/pdfiles/papers/emergmkts.pdf, accessed on 01.07.2021).
Damodaran, A. (2015). Applied Corporate Finance (4th Ed.). Hoboken, NJ: John Wiley & Sons Inc.
Dempsey, M. (2013). The Capital Asset Pricing Model (CAPM): The History of a Failed Revolutionary Idea in Finance? ABACUS, 49(S): 7-23.
European Central Bank. Statistical Data Warehouse. http://sdw.ecb.europa.eu.
Estrada, J. (2007). Mean-Semivariance Behavior: Downside Risk and Capital Asset Pricing. International Review of Economics and Finance, 16(2): 169–185.
Fama, E. F., & French, K. R. (1992). Cross-Section of Expected Returns. Journal of Finance, 47(2): 427-466.
Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on the Stocks and Bonds. Journal of Financial Economics, 33(1): 3-56.
Fama, E. F., & French, K. R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116(1): 1-22.
Jacobs, M. T., & Shivdasani, A. (2012). Do You Know Your Cost of Capital? Harvard Business Review, 90(7/8). 118-124.
Kayo, E. K., Martelance, R., Brunaldi, E. O., & da Silva, E. (2020). Capital Asset Pricing Model. Beta Stability. and the Pricing Puzzle of Electricity Transmission in Brazil. Energy Policy, 142(July): 1-8.
Kočović, J., Paunović, M., & Jovović, M. (2016). Determining the Discount Rate: The Case of Oil Industry in Serbia. Ekonomika preduzeća, 64(5-6). 371-381.
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budget. Review of Economics and Statistics, 47(1): 13-37.
Liu, E. (2006). A Liquidity-Augmented Capital Asset Pricing Model. Journal of Financial Economics, 82(3): 631-671.
Momcilovic, M., Vlaovic Begovic, S., & Zivkov, D. (2015). Cost of Equity: The Case of Serbian Food Industry. Custos e @gronegócioon line, 11(1): 184-197.
Momcilovic, M., Zivkov, D. & Vlaovic Begovic, S. (2017). The Downside Risk Approach to Cost of Equity Determination for Slovenian, Croatian and Serbian Capital Markets. E+M Ekonomie a Management, 20(3): 147-158.
Momčilović., M. & Vlaović Begović, S. (2020). The Relationship between Weighted Average Cost of Capital and Profitability of Companies in Sebia: Case Study. In: Damnjanović. J. & Stankov. B. (edit.). Second Biennial International Scientific and Expert Conference Economic development and copetitiveness of European countries: Challenges of economic integration (98-102). Novi Sad: Novi Sad School of Business.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4). 768-783.
Nel, W. S. (2011). The Application of the Capital Asset Pricing Model (CAPM): A South African Perspective. African Journal of Business Management, 5(13): 5336-5347.
Newey, W. K., & West, K. D. (1987). A Positive Semi-definite, Heteroskedasticity and Autocorrelation-consistent Covariance Matrix. Econometrica, 55 (3), 703–708.
Partington, G. (2013). Death Where is The Sting? A Response to Dempsey’s Dispatching of the CAPM. ABACUS, 49(S1): 69-72.
Partridge, I. (2018). Cost comparisons for wind and thermal power generation. Energy Policy, 112(January): 272-279.
Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Condition of Risk. Journal of Finance, 19(3). 425-442.
Smith, T., & Walsh, K. (2013). Why the CAPM is Halp-Right and Everything Else is Wrong. ABACUS, 49(S1): 73-78.
Syed, W. H., Ghayanfar, A., & Zia, U. I. (2012). Impact of WACC on Corporate Profitability. Impact of Risk and Diversification, 4: 1-7.
Statistical Portal for Market Data. www.statista.com.
Treynor. J. L. (1962). Toward a Theory of Market Value of Risky Assets. Unpublished paper. Final version of the paper is published in the book Korajczyk, R. (1999). Asset Pricing and Portfolio Performance. London: Risk Books. pp. 15-22.
Van Horne, J. C., & Wachowicz, J. M. (2009). Fundamentals of Financial Management (13th Ed.). Harlow: Pearson Education Ltd.
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