Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista ENIAC pesquisa |
Texto Completo: | https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/566 |
Resumo: | One of the most commonly used methods to determine a company's value is the discounted cash flow (DCF), a method that consider financial and accounting data to measure its fair value, based on the projection of future cash flow benefits. However, despite being the most used model, this method may not adequately incorporate valuation risks, such as the risk of capital cost, which is imprecise in emerging countries, due to the constant fluctuations of interest rates, inflation and the market itself. One way to incorporate such risks in the model is to use probability distributions with Monte Carlo simulations to determine predictions of various values that a firm can undertake. Regarding to this, the main objective of this work is to verify the accuracy of the use of Monte Carlo simulations in the process of valuation of a company through the discounted cash flow method, including the uncertainty of the cost of capital assumption. After the analysis, it was concluded that the Monte Carlo simulations is a powerful tool to support decision making, because although it does not predict the exact value of the company, it helps understanding the risks and softens the subjectivity of valuation, allowing to know a range of values that a company can assume in different economic scenarios. The value found for the firm in the deterministic model is close to the average of the simulations, as is the cost of capital. |
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Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital costAplicação do modelo monte Carlo na avaliação da empresa Ambev com custo de capital imprecisovaluationmonte carlocosto de capitalvaluationmonte carlocusto de capitalOne of the most commonly used methods to determine a company's value is the discounted cash flow (DCF), a method that consider financial and accounting data to measure its fair value, based on the projection of future cash flow benefits. However, despite being the most used model, this method may not adequately incorporate valuation risks, such as the risk of capital cost, which is imprecise in emerging countries, due to the constant fluctuations of interest rates, inflation and the market itself. One way to incorporate such risks in the model is to use probability distributions with Monte Carlo simulations to determine predictions of various values that a firm can undertake. Regarding to this, the main objective of this work is to verify the accuracy of the use of Monte Carlo simulations in the process of valuation of a company through the discounted cash flow method, including the uncertainty of the cost of capital assumption. After the analysis, it was concluded that the Monte Carlo simulations is a powerful tool to support decision making, because although it does not predict the exact value of the company, it helps understanding the risks and softens the subjectivity of valuation, allowing to know a range of values that a company can assume in different economic scenarios. The value found for the firm in the deterministic model is close to the average of the simulations, as is the cost of capital.Uma das formas mais utilizadas para se apurar o valor de uma companhia (valuation) é o fluxo de caixa descontado, método que utiliza dados financeiros e contábeis da empresa para calcular o seu valor justo, com base na projeção de benefícios futuros de caixa. No entanto, apesar de ser o modelo mais utilizado, este método, pode não incorporar de maneira adequada os riscos do valuation, como o risco do custo de capital, que é impreciso em países emergentes, devido as constantes flutuações de taxas de juros, inflação e do próprio mercado. Uma forma de incorporar aos cálculos estes riscos, é usando distribuições de probabilidade com simulações Monte Carlo para se determinar previsões de diversos valores que a empresa pode assumir. Diante do exposto, o presente trabalho tem como principal objetivo verificar a acurácia da utilização da simulação de Monte Carlo no processo de avaliação de uma empresa através do método de fluxo de caixa descontado, incluindo a incerteza do cálculo de custo de capital. Após a análise dos resultados, chegou-se à conclusão de que a simulação de Monte Carlo é uma poderosa ferramenta para auxiliar na tomada de decisão, pois apesar de não prever o valor exato da empresa, ajuda a compreender os riscos e ameniza a subjetividade da avaliação, além de que permite conhecer os diversos valores que uma empresa pode assumir em diferentes cenários econômicos. O valor encontrado para a empresa no modelo determinístico está próximo da média das simulações, o mesmo ocorre com o custo de capital.Centro Universitário ENIAC2019-01-31info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/56610.22567/rep.v8i1.566Revista Eniac Pesquisa; Vol. 8 No. 1 (2019); 154-176REVISTA ENIAC PESQUISA; Vol. 8 Núm. 1 (2019); 154-176REVISTA ENIAC PESQUISA; v. 8 n. 1 (2019); 154-1762316-234110.22567/rep.v8i1reponame:Revista ENIAC pesquisainstname:Centro Universitário Eniacinstacron:ENIACporhttps://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/566/pdfhttps://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/566/739Copyright (c) 2019 REVISTA ENIAC PESQUISAhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessSilva, Carla VieiraBatista, Alexandre Teixeira NorbertoSales, Handerson LeonidasPenha, Roberto Silva da2024-07-09T18:47:53Zoai:ojs.pkp.sfu.ca:article/566Revistahttps://ojs.eniac.com.br/index.php/EniacPesquisaPRIhttp://ojs.eniac.com.br/index.php/EniacPesquisa/oai||revistaeniacpesquisa@fernandoasantos.com.br2316-23412316-2341opendoar:2024-07-09T18:47:53Revista ENIAC pesquisa - Centro Universitário Eniacfalse |
dc.title.none.fl_str_mv |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost Aplicação do modelo monte Carlo na avaliação da empresa Ambev com custo de capital impreciso |
title |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost |
spellingShingle |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost Silva, Carla Vieira valuation monte carlo costo de capital valuation monte carlo custo de capital |
title_short |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost |
title_full |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost |
title_fullStr |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost |
title_full_unstemmed |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost |
title_sort |
Application of the Monte Carlo method in evaluation of the Ambtev company with unusual capital cost |
author |
Silva, Carla Vieira |
author_facet |
Silva, Carla Vieira Batista, Alexandre Teixeira Norberto Sales, Handerson Leonidas Penha, Roberto Silva da |
author_role |
author |
author2 |
Batista, Alexandre Teixeira Norberto Sales, Handerson Leonidas Penha, Roberto Silva da |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Silva, Carla Vieira Batista, Alexandre Teixeira Norberto Sales, Handerson Leonidas Penha, Roberto Silva da |
dc.subject.por.fl_str_mv |
valuation monte carlo costo de capital valuation monte carlo custo de capital |
topic |
valuation monte carlo costo de capital valuation monte carlo custo de capital |
description |
One of the most commonly used methods to determine a company's value is the discounted cash flow (DCF), a method that consider financial and accounting data to measure its fair value, based on the projection of future cash flow benefits. However, despite being the most used model, this method may not adequately incorporate valuation risks, such as the risk of capital cost, which is imprecise in emerging countries, due to the constant fluctuations of interest rates, inflation and the market itself. One way to incorporate such risks in the model is to use probability distributions with Monte Carlo simulations to determine predictions of various values that a firm can undertake. Regarding to this, the main objective of this work is to verify the accuracy of the use of Monte Carlo simulations in the process of valuation of a company through the discounted cash flow method, including the uncertainty of the cost of capital assumption. After the analysis, it was concluded that the Monte Carlo simulations is a powerful tool to support decision making, because although it does not predict the exact value of the company, it helps understanding the risks and softens the subjectivity of valuation, allowing to know a range of values that a company can assume in different economic scenarios. The value found for the firm in the deterministic model is close to the average of the simulations, as is the cost of capital. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-01-31 |
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://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/566 10.22567/rep.v8i1.566 |
url |
https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/566 |
identifier_str_mv |
10.22567/rep.v8i1.566 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/566/pdf https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/566/739 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 REVISTA ENIAC PESQUISA https://creativecommons.org/licenses/by/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 REVISTA ENIAC PESQUISA https://creativecommons.org/licenses/by/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Centro Universitário ENIAC |
publisher.none.fl_str_mv |
Centro Universitário ENIAC |
dc.source.none.fl_str_mv |
Revista Eniac Pesquisa; Vol. 8 No. 1 (2019); 154-176 REVISTA ENIAC PESQUISA; Vol. 8 Núm. 1 (2019); 154-176 REVISTA ENIAC PESQUISA; v. 8 n. 1 (2019); 154-176 2316-2341 10.22567/rep.v8i1 reponame:Revista ENIAC pesquisa instname:Centro Universitário Eniac instacron:ENIAC |
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Centro Universitário Eniac |
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ENIAC |
institution |
ENIAC |
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Revista ENIAC pesquisa |
collection |
Revista ENIAC pesquisa |
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Revista ENIAC pesquisa - Centro Universitário Eniac |
repository.mail.fl_str_mv |
||revistaeniacpesquisa@fernandoasantos.com.br |
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1809207908308615168 |