Odhad nákladů vlastního kapitálu simulační metodou v porovnání s modelem CAPM pro účely ocenění malých a středních podniků

This master’s thesis deals with the estimation of the cost of equity using a simulation method and its comparison with the CAPM model in the valuation of small and medium-sized enterprises. The theoretical part defines the importance of the cost of equity in income-based valuation, the limitations of the CAPM model for privately held companies, and the methodological basis of the simulation approach according to Ernst. The practical part is applied to the valuation of the operating business of Adventura s.r.o. as of 31 December 2023. The valuation is based on a reference financial plan, which is extended in the simulation variant by risks related to the development of the tourism market, market share, EBITDA margin, investment needs, and working capital. The simulation-derived cost of equity in the first phase of the valuation ranges from 15.99% to 20.90%, while the CAPM model uses a constant rate of 12.26%. The resulting net operating value of the company amounts to CZK 71,711 thousand using the simulation method and CZK 79,332 thousand using the CAPM model. The thesis shows that the simulation method is more methodologically demanding, but it enables a more transparent connection between specific business risks, future cash flows, and the resulting cost of equity.