trở lại kiếm được trên sự trở lại CAPM là khoảng 8 Cochrane đã nghiên cứu tất cả các khoản đầu tư liên doanh trong cơ sở dữ liệu VentureOne từ năm 1987 thông qua tháng Sáu Sau khi điều chỉnh các dữ liệu sai lệch chọn lựa, ông ước tính một sự trở lại số học trung bình hàng năm là 57%, | 82 PRINCIPLES OF PRIVATE FIRM VALUATION return earned above the CAPM return was about 8 Cochrane studied all venture investments in the VentureOne database from 1987 through June After adjusting the data for selection bias he estimates an arithmetic average annualized return of 57 percent with an arithmetic standard deviation of 119 percent. The beta of these funds was about unity implying a return in excess of CAPM in the neighborhood of 40 percent. This return is likely to be too high since it is not net of fees and other compensation that venture capitalists ordinarily receive. The return standard deviation also suggests a great deal of variability. Despite these shortcomings it appears that firm-specific risk is significant and should be part of any cost of equity capital calculation. THE COST OF DEBT Like public firms private firms have debt on the balance sheet. For newly issued debt at par the cost is simply the coupon rate or if it is bank debt it is typically some function of the prime rate. Estimating the cost of debt becomes somewhat more difficult when the analyst needs to calculate the current cost of previously issued debt. This exercise can be carried out by undertaking a credit analysis of the firm in much the same way a bank credit analyst might do. One model that is very useful for this purpose is Altman s Z score The steps in determining the cost of a private firm s debt using this model are Estimate the firm s Z score using the Altman model. Convert the Z score to a debt rating. Determine the cost of debt for a given maturity as the rate on a Treasury security of equivalent maturity plus the expected yield spread of equivalent debt relative to the rate on the Treasury security. Add an additional risk premium to reflect firm size. The Z score model for private firms is given by Equation . Z X X1 X X2 X X3 0 .42 X X4 X X5 current assets - current liabilities where Xi total assets X2 X3 .
