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(2011), The relationship betweeninternational diversification and firm performance: Why it remains apuzzle, Global Strategy Journal, Volume 1, Issue 1-2, pages 152–170, May 2011133Приложение 1. Обоснование выбранной формы зависимости дляуравнения средневзвешенных затрат на капиталВданномразделеприводитсяиллюстрацияподходакопределению уравнений зависимости компонентов WACC от СМД.Для оценки зависимости WACC от СМД проводится покомпонентнаяоценка зависимости затрат на собственный капитал (обыкновенныеакции), затрат на заёмный капитал и структуры капитала от СМД.Затраты на привилегированные акции не анализируются ввиду измалой доли: в среднем по выборке доля привилегированных акций вкапитале компании составляют 0.1%.Методология– Средневзвешенные затраты на капиталСМД – WACC: механизм влиянияСтепеньмеждународнойдиверсификацииСтепень МД(FxTx )Затраты накапиталМеханизм влиянияСтруктуракапиталаЗатраты насобственныйкапитал - CoCE12Затраты назаёмный капитал –CoD (посленалогов)Затраты напривилегированные акции- CoPEДоля привилегированных акцийв среднем ниже 0.1%WACCЗависимость WACC от СМД имеет следующий вид (без учёта капитала привилегированных акций):DDWACC ( DOI ) ( DOI ) * CoD ( DOI ) (1 ( DOI )) * CoCE ( DOI )DEDEДолжны быть оценены следующие три компоненты :D( DOI)DECoD( DOI)CoCE (DOI)Рис.
19. Анализируемые компоненты WACC: затраты на собственныйкапитал (обыкновенные акции) и затраты на заёмный капитал1341Форма зависимости CoСE от СМДСМДЗатраты накапиталМеханизм влиянияДиверсификация рисков идобавление рисков,специфичных для МДСМД(FxTx )Агентская проблемаменеджер -собственник(более дорогой мониторинг )Оборач - тьактивовВыше относительноенедоинвестирование привысоком СМДДолг/Собств.кап.Затраты насобственныйкапитал - CoCEБетаДругие детерминантыбета:• отрасль• размер фирмы(связан соперационнымирычагом)• темп роста• операционныйрычегCo С E оцененныйлокальным CAPM :CoE = Rf + бета *[внутристрановойриск ]CoCE = a0 + a1*[fsts] + a2*[debt to equity] + a3*[size] + a4*[growth rate] + a6[ind_dummy] + errorDebt to equity = b0 + b1*[fsts] + b2*[ROE5] + b3*[growth rate] + b4*[ind_dummy] + error…- переменная, оценённая как незначимаяРис.
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