Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model
Autor(a) principal: | |
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Data de Publicação: | 2008 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Contabilidade & Finanças (Online) |
Texto Completo: | https://www.revistas.usp.br/rcf/article/view/34259 |
Resumo: | This paper uses equity analysts' forecasts for Brazilian firms to analyze whether there are significant differences between the results from the estimation of equity value when applying the discounted cash flow model (DCF) and the residual income model (OHLSON). The approach used in this research is pioneer, considering that previous papers comparing valuation models in Brazil used researchers' assumptions, based on public information, to implement the valuation models. However, the correct implementation of these models relies on market expectations (i.e. equity analysts) to calculate equity values. Additionally, we evaluate what model (DCF or OHLSON) better explains the Price-to-Book relation for future periods. Conclusions are: i) there are statistically significant differences for estimates of equity value when using discounted cash flow models and residual income models, and ii) Price-to-Book ratios calculated through discounted cash flow models have higher explanatory power for future Price-to-Book ratios than the estimates of this ratio using residual income valuation models. |
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Revista Contabilidade & Finanças (Online) |
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Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model Análise empírica de modelos de valuation no ambiente brasileiro: fluxo de caixa descontado versus modelo de Ohlson (RIV) ValuationModelo de lucros residuaisFluxo de caixa descontadoValuationResidual income valuationDiscounted cash flow This paper uses equity analysts' forecasts for Brazilian firms to analyze whether there are significant differences between the results from the estimation of equity value when applying the discounted cash flow model (DCF) and the residual income model (OHLSON). The approach used in this research is pioneer, considering that previous papers comparing valuation models in Brazil used researchers' assumptions, based on public information, to implement the valuation models. However, the correct implementation of these models relies on market expectations (i.e. equity analysts) to calculate equity values. Additionally, we evaluate what model (DCF or OHLSON) better explains the Price-to-Book relation for future periods. Conclusions are: i) there are statistically significant differences for estimates of equity value when using discounted cash flow models and residual income models, and ii) Price-to-Book ratios calculated through discounted cash flow models have higher explanatory power for future Price-to-Book ratios than the estimates of this ratio using residual income valuation models. Dentro do contexto controverso de comparações entre modelos de valuation, o presente trabalho investiga, baseado nas projeções dos analistas de mercado de capitais para empresas brasileiras, se existem diferenças entre os valores de uma empresa estimados pelo modelo de fluxo de caixa descontado (DCF) e pelo modelo de Ohlson (modelo de lucros residuais - RIV). Essa abordagem é inovadora à medida que trabalhos já realizados visando à comparação entre esses modelos consideram o valor da empresa calculado com base nas informações publicadas/divulgadas pela empresa e não com base na expectativa dos agentes de mercado (como por exemplo, o analista de mercado de capitais). Entretanto, a correta implementação dos modelos em análise deve ser realizada considerando-se as expectativas dos agentes de mercado. Adicionalmente, são realizadas regressões para verificar qual dos modelos (DCF ou OHLSON) explica melhor a relação preço/valor patrimonial (P/B) de uma empresa em períodos futuros. As conclusões obtidas foram: i) existem diferenças estatisticamente significantes para o valor estimado das empresas pelo fluxo de caixa descontado e pelo modelo de Ohlson (RIV) e ii) os índices P/B, calculados a partir das estimativas dos analistas (que utilizam o DCF), apresentam maior poder explicativo dos índices P/B futuros da empresa do que as estimativas do índice P/B feitas pelo modelo de Ohlson (RIV). Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2008-08-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/rcf/article/view/3425910.1590/S1519-70772008000200004Revista Contabilidade & Finanças; v. 19 n. 47 (2008); 31-43 Revista Contabilidade & Finanças; Vol. 19 No. 47 (2008); 31-43 Revista Contabilidade & Finanças; Vol. 19 Núm. 47 (2008); 31-43 1808-057X1519-7077reponame:Revista Contabilidade & Finanças (Online)instname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/rcf/article/view/34259/36991Copyright (c) 2018 Revista Contabilidade & Finançasinfo:eu-repo/semantics/openAccessGaldi, Fernando CaioTeixeira, Aridelmo José CampanharoLopes, Alexsandro Broedel2012-07-21T18:23:52Zoai:revistas.usp.br:article/34259Revistahttp://www.revistas.usp.br/rcf/indexPUBhttps://old.scielo.br/oai/scielo-oai.phprecont@usp.br||recont@usp.br1808-057X1519-7077opendoar:2012-07-21T18:23:52Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model Análise empírica de modelos de valuation no ambiente brasileiro: fluxo de caixa descontado versus modelo de Ohlson (RIV) |
title |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model |
spellingShingle |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model Galdi, Fernando Caio Valuation Modelo de lucros residuais Fluxo de caixa descontado Valuation Residual income valuation Discounted cash flow |
title_short |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model |
title_full |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model |
title_fullStr |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model |
title_full_unstemmed |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model |
title_sort |
Empirical analysis of valuation models in the brazilian environment: discounted cash flow versus Ohlson's model |
author |
Galdi, Fernando Caio |
author_facet |
Galdi, Fernando Caio Teixeira, Aridelmo José Campanharo Lopes, Alexsandro Broedel |
author_role |
author |
author2 |
Teixeira, Aridelmo José Campanharo Lopes, Alexsandro Broedel |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Galdi, Fernando Caio Teixeira, Aridelmo José Campanharo Lopes, Alexsandro Broedel |
dc.subject.por.fl_str_mv |
Valuation Modelo de lucros residuais Fluxo de caixa descontado Valuation Residual income valuation Discounted cash flow |
topic |
Valuation Modelo de lucros residuais Fluxo de caixa descontado Valuation Residual income valuation Discounted cash flow |
description |
This paper uses equity analysts' forecasts for Brazilian firms to analyze whether there are significant differences between the results from the estimation of equity value when applying the discounted cash flow model (DCF) and the residual income model (OHLSON). The approach used in this research is pioneer, considering that previous papers comparing valuation models in Brazil used researchers' assumptions, based on public information, to implement the valuation models. However, the correct implementation of these models relies on market expectations (i.e. equity analysts) to calculate equity values. Additionally, we evaluate what model (DCF or OHLSON) better explains the Price-to-Book relation for future periods. Conclusions are: i) there are statistically significant differences for estimates of equity value when using discounted cash flow models and residual income models, and ii) Price-to-Book ratios calculated through discounted cash flow models have higher explanatory power for future Price-to-Book ratios than the estimates of this ratio using residual income valuation models. |
publishDate |
2008 |
dc.date.none.fl_str_mv |
2008-08-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/34259 10.1590/S1519-70772008000200004 |
url |
https://www.revistas.usp.br/rcf/article/view/34259 |
identifier_str_mv |
10.1590/S1519-70772008000200004 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/34259/36991 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
dc.source.none.fl_str_mv |
Revista Contabilidade & Finanças; v. 19 n. 47 (2008); 31-43 Revista Contabilidade & Finanças; Vol. 19 No. 47 (2008); 31-43 Revista Contabilidade & Finanças; Vol. 19 Núm. 47 (2008); 31-43 1808-057X 1519-7077 reponame:Revista Contabilidade & Finanças (Online) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista Contabilidade & Finanças (Online) |
collection |
Revista Contabilidade & Finanças (Online) |
repository.name.fl_str_mv |
Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
recont@usp.br||recont@usp.br |
_version_ |
1787713776248684544 |