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The CAPM and variations in the value in use when different assumptions are used to compute the beta
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Resumo(s)
In order to compute de discount rate to be used in the process of accounting measurements, IAS 36 recommends the use of the Capital Assets Pricing Model (CAPM). In this study, considering the use of the CAPM in practice by some entities that provide the betas, and changing some of the inputs used for the regressions performed to compute the beta, we show that the CAPM results could vary widely.
Therefore, its use could lead to differences materially relevant in the discount rate. To perform the regressions we used daily returns and changed the estimation period and the market index. The index
S&P500 was used as the proxy for the market portfolio. The evidence shows high discount rates variations and consequently potential materially relevant variations in the “value in use”.
Descrição
Palavras-chave
CAPM Value in use Discount rate IAS 36
Contexto Educativo
Citação
Lopes, José (2010). The CAPM and variations in the value in use when different assumptions are used to compute the beta. In 33rd annual Congress of European Accounting Association. Istambul.