Cost of Equity Calculator
Using CAPM, compute the cost of equity (the return shareholders require) from the risk-free rate, beta and market return.
輸入資料
計算結果
重點速覽：Cost of equity = the minimum return shareholders require, via CAPM: Re = risk-free rate + beta x (market return - risk-free rate). The bracket term is the market risk premium; beta (β) measures stock volatility vs the market — higher beta means higher required return. It is the discount rate for DDM/DCF valuation and the equity component of WACC. WARNING: CAPM is theoretical; beta and market premium are estimates (beta varies by period/frequency). HK risk-free often = HKD Exchange Fund notes or US Treasuries. Treat as a range, run sensitivity. Education, not advice.
計算公式
權益資本成本 Re = 無風險利率 + 貝塔 ×(市場預期回報率 − 無風險利率)。
$$R_e = R_f + \beta \times (R_m - R_f)$$使用說明
- Enter the risk-free rate (e.g. government bond yield).
- Enter the stock's beta.
- Enter the market return to see the cost of equity.
以無風險利率 3%、市場預期回報率 9% (市場風險溢價 6%) 為例，不同貝塔下的權益資本成本。
| 貝塔 (β) | 風險特性 | 權益資本成本 Re |
|---|---|---|
| 0.5 | 波動遠低於大市 (防守型) | 6.0% |
| 0.8 | 波動低於大市 | 7.8% |
| 1.0 | 與大市同步 | 9.0% |
| 1.2 | 波動高於大市 | 10.2% |
| 1.5 | 明顯高於大市 (進取型) | 12.0% |
| 2.0 | 極高波動 | 15.0% |
理財情境案例
案例一：防守型 vs 進取型股票的要求回報
在同一市場環境下 (無風險利率 3%、市場預期回報率 9%，即市場風險溢價 6%)，比較兩類香港股票。
某公用事業股貝塔僅 0.6，業務穩定、股價波動小，Re = 3% + 0.6 ×6% = 6.6%；某高增長科技股貝塔高達 1.6，股價大上大落，Re = 3% + 1.6 ×6% = 12.6%。
同樣的市場環境下，科技股股東要求的回報 (12.6%) 幾乎是公用股 (6.6%) 的兩倍 —— 因為承擔的系統性風險更高。用於估值時，這也意味著科技股的未來現金流要用更高的折現率折現，在其他條件相同下估值會更保守。
案例二：無風險利率上升，權益成本水漲船高
某公司貝塔 1.2、市場風險溢價維持 6%。原本無風險利率為 3% 時，Re = 3% + 1.2 ×6% = 10.2%。
其後市場利率上行，無風險利率升至 5%，其他條件不變，Re = 5% + 1.2 ×6% = 12.2%，要求回報整整上升了 2 個百分點。
這說明利率環境對權益資本成本的直接影響：加息週期會同步推高無風險利率，令所有股票的要求回報上升、折現率提高，在盈利不變下對估值 (尤其是高增長、現金流集中在遠期的股票) 構成壓力。這也是為何利率預期是股市估值的關鍵變數之一。
常見問題
What is beta and how do I get it?
Beta measures a stock's price sensitivity to the overall market. β=1 moves with the market; >1 is more volatile; <1 is steadier. It is derived by regressing the stock's historical returns against a market index; finance sites and broker reports provide it. Note different sources differ by sample period (2 vs 5 years) and frequency (daily/weekly/monthly).
What rates should I use in Hong Kong?
Risk-free rate: a government bond yield matching the horizon — often HK Exchange Fund notes or US Treasuries (HKD pegged to USD). Market return / premium: historical Hang Seng average minus risk-free, or risk-free plus a 5%-8% premium (a debated estimate). Because inputs are subjective, test several values and watch sensitivity.
What is the cost of equity used for?
It is the shareholders' required return: the discount rate for dividend/discounted-cash-flow valuation, the equity part of WACC, and the hurdle for value-creation metrics. If ROE or ROIC persistently falls below it, the company is not meeting shareholders' requirements.
What are the limits of CAPM, and alternatives?
CAPM assumes an efficient market, homogeneous expectations, unlimited risk-free borrowing and that only systematic risk (beta) is priced — unrealistic. It also struggles with the small-cap/value premia and depends on hard-to-estimate beta and premium. Alternatives: the Gordon growth model (Re = dividend/price + growth) for stable dividend payers, multi-factor models (Fama-French), or bond-yield-plus-risk-premium. Use CAPM as the base and cross-check with others.
How should I pick risk-free, market return and beta in HK?
Risk-free (Rf): the current market yield of a medium/long government bond (e.g. 10Y), not a historical average. Market return (Rm) / premium (Rm-Rf): the premium is the hardest and most contested input — use historical HSI average minus Rf, or a forward estimate (dividend yield + earnings growth); 5%-7% is common for mature markets. Beta (β): take the regression beta vs the Hang Seng Index from data platforms, mindful that 2-year vs 5-year and daily vs monthly samples differ; unlisted or recent IPOs use unlevered peer betas. Since all three are estimates, treat the result as a range and run sensitivity.
相關工具
參考資料
內容審核：香港計算器財經團隊。計算邏輯與公式參考香港金融管理局（HKMA）及投資者及理財教育委員會（IFEC）之個人理財計算指引，結果僅供參考，實際以相關機構公佈為準。