Pagrindinio kapitalo kainos modelis ir jo tobulinimo galimybės

LTTeorijos naudingumas priklauso nuo jos prielaidų teisingumo ir pateikiamų prognozių tikslumo. Mokslinėje literatūroje daug diskutuojama dėl pagrindinio kapitalo kainos modelio tinkamumo, nustatant investuotojų pageidaujamą pelno normą. Pirmieji empiriniai CAPM tyrimai pagrindė šį modelį, tačiau esama tyrimų, atskleidusių tam tikrus modelio trūkumus. Straipsnyje tiriamas pagrindinio kapitalo kainos modelis, modelio prielaidos, empiriniais mokslininkų tyrimais nustatyti bendrieji CAPM trūkumai, trūkumai strategijos teorijos požiūriu ir analizuojamos mokslinėje literatūroje siūlomos šio modelio tobulinimo galimybės, susiejant strategijos teoriją ir finansų valdymo teoriją. Raktažodžiai: pagrindinio kapitalo kainos modelis, rizikos premija, laukiama pelno norma, beta, sisteminė rizika, nesisteminė rizika, makroekonominė rizika, taktinė rizika, strateginė rizika, normatyvinė rizika.

ENThe CAPM was developed, at least in part, to explain the differences in risk premium across assets. According to the CAPM, these differences are due to differences in the risk of the returns on the assets. The model asserts that the correct measure of risk is its measure--known as beta--and that the risk premium per unit of risk is the same across all assets. Given the risk-free rate and the beta of an asset, the CAPM predicts the expected risk premium for that asset. An asset pricing model provides a method of assessing the risk of cash flows from a project. The model also provides an estimate of the relationship between that risk and the cost of capital. In the CAPM the cost of capital is an exact linear function of the rate o a risk-free project and the beta of the project being evaluated. The CAPM passed its first empirical tests. However, there were studies that identified some CAPM limitations. The evidence against this model can be summarized as follows. First, for some sample periods, there was no relation between average return and beta. Second, other explanatory variables such as firm size (market equity) and the ratio of book-to-market equity seem to do better than beta in explaining cross-sectional variation in average asset returns. Furthermore, the capital asset pricing model poses a strong challenge to the field of strategy. Chatterjee, Lubatkin and Schulze proposed a framework of risk premium that offers a resolution to CAPM's challenge to the field of strategy. Their core assumption is that investors bear firm-specific risk because they are not as diversified and markets not as perfect as CAPM assumes.Therefore they hypothesize that investors require lower risk premiums from firms that are able to reduce firm-specific risk, and ground this prediction on theories from information economics, risk management, and strategy, as well as recent empirical challenges to CAPM. Specifically, they have proposed a framework of risk premium that posits that the concept is multivariate, comprising macroeconomic, tactical, strategic, and normative risks, and it is dynamic, involving an ongoing interplay between elements of the firm's activities and market forces. Their framework is consistent with the founding assumption of strategy that "management matters", while reaffirming what many finance scholars have already concluded: beta by itself is an unreliable proxy of a firm's risk premium. Whereas finance theorists have arrived at this conclusion largely through empirical discovery, their framework explains why this might be so. It illustrates how contributions from strategic management and financial economics, when combined, can build a more conceptually complete asset pricing model. Finally, their framework has practical value, for it places the responsibility for risk management on managers, where the field of strategy has always felt it belongs. The main aim of this paper is to investigate the capital asset pricing model and to assess its perfection possibilities under the context of strategic management.