Authors
Lopes, José
Advisor(s)
Abstract(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”.
Description
Keywords
CAPM Value in use Discount rate IAS 36
Citation
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.