Empirical justification of the cost of equity of domestic companies according to the "Capital Assets Pricing Model"

Abstract

The subject of the study is the values of the Capital Assets Pricing Model (CAPM) components required to calculate the required return (cost) equity capital of public and non-public resident companies of the Russian Federation operating in the system of the national economy of the Russian Federation. The calculations of the 5-year and 2-year bet have been performed for all companies related to the domestic stock market. The values of these betas and their statistical characteristics are given. The value of the risk premium of a public company of small capitalization (small capitalization premium, SCP) is justified. A model of accounting for the risk premium of an average (or small) small non-public company and the value of this premium is proposed. The value of the market risk premium is empirically justified.