Avaliação de empresas em condição de incerteza

• Autor(a) principal: Amaral, Amaury de Souza
• Data de Publicação: 2008
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da PUC_SP
• Texto Completo: https://tede2.pucsp.br/handle/handle/1692
• topic: Avaliação de empresas; Minimização de riscos; Empresas -- Avaliacao; Investimentos -- Analise; Incerteza (Economia); Processos estocasticos; Risco (Economia); Valuation enterprise; Uncertainty; Risk minimization; Real options; Stochastic processes; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS

In this work, one presents different enterprise valuation models and approaches, like the discounted free cash flow, the EVA model and all the way up to more recent option pricing theory of applied equity capital valuation. This last theory (options pricing theory) is believed to be the best theory that better qualifies the value of an enterprise. It is based on the premises that the enterprise value can be based on the debt market value and the equity capital where the accumulated amounts can be negotiated. This project presents models developed by Arzac (2005) about enterprise valuation in continuous -time formulation, regarding the revenue as an underlying asset of the option theory, where a hedged portfolio is built (with the same logic as the Black-Scholes model). The revenue presents stochastic behavior, represented by a brownian motion, providing reasonable representation of the revenues behavior. Furthermore, the best moment to enter in a firm is evaluated, establishing the revenue value that makes safe realize an investment. After that, the enterprise value is determined in that case that the possibility to enter and exit the firm is considered when the revenue is not satisfactory. The possibility of re-entering the firm is also possible. At last, is presented the enterprise valuation with expansion possibility through new investments. Thus, a new approach to valuation of companies in uncertainty conditions is proposed, based on risk minimization theory of Bouchaud & Potters (2003), in that the revenue trajectory will directly influence the enterprise entry options. The study, that uses Arzac's mathematical approach (continuous-time formulation, building of riskless portfolio, etc.), proposes a less intuitive risk measurement based on recent past behavior, transforming the random process of the revenue (risk asset) in a process based on future tendencies of revenue in a probabilistic way and trajectory dependents