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Zukunftsorientierte Bestimmung von Risikoprämien und Eigenkapitalkosten für die Unternehmensbewertung

Author

Listed:
  • Holger Daske

    (Johann Wolfgang Goethe-Universität Frankfurt am Main)

  • Günther Gebhardt

    (Johann Wolfgang Goethe-Universität Frankfurt am Main)

Abstract

Zusammenfassung Der Bestimmung risikoadäquater Diskontierungssätze kommt bei der Unternehmensbewertung eine zentrale Bedeutung zu. Wird zu deren Bestimmung das CAPM verwendet, sind risikolose Zinssätze und Risikoprämien zu bestimmen. Passend zu den zu bewertenden erwarteten zukünftigen Überschussgrößen sollten auch die zur Diskontierung verwendeten Renditeforderungen die im Bewertungszeitpunkt erwarteten künftigen Renditen vergleichbarer Anlagen widerspiegeln. Die weitaus meisten Beiträge zur Operationalisierung des CAPM leiten die Renditeforderungen jedoch aus historischen Kapitalmarktrenditen und damit vergangenheitsorientiert ab. Wir zeigen in diesem Beitrag auf, wie erwartete Risikoprämien aus beobachtbaren Größen, vor allem den Überschussprognosen von Finanzanalysten, stichtagsbezogen aus Kapitalmarktdaten abgeleitet werden können. Damit wird eine konzeptionell schlüssigere Bewertung der im Bewertungszeitpunkt erwarteten künftigen Überschüsse mit den zeitgleich erwarteten künftigen Renditen ermöglicht.

Suggested Citation

  • Holger Daske & Günther Gebhardt, 2006. "Zukunftsorientierte Bestimmung von Risikoprämien und Eigenkapitalkosten für die Unternehmensbewertung," Schmalenbach Journal of Business Research, Springer, vol. 58(4), pages 530-551, June.
    • Handle: RePEc:spr:sjobre:v:58:y:2006:i:4:d:10.1007_bf03371666
    DOI: 10.1007/BF03371666
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    References listed on IDEAS

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    More about this item

    Keywords

    G12; G14; G31; M41;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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