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Новые модели анализа изменений стоимости компании, основанные на стохастических ставках дисконтирования // New Models for Analyzing Changes in Company Value Based on Stochastic Discount Rates

Author

Listed:
  • P. Zhukov E.

    (Financial University, Moscow)

  • П. Жуков Е.

    (Финансовый университет, Москва)

Abstract

We propose new models for analyzing changes in the value of the company using stochastic discount rates. It is shown that for the majority of the companies under study, local changes in the rate of the company value growth (percentage changes to the previous level) are not explained by the corresponding changes neither in the weighted average cost of capital (WACC), nor in the cash flows. This fact, as well as the research results by J. Cochrane, who proved that discount rates volatility is the main contributor to price volatility, became initial prerequisites for building models based on stochastic discount rates. The work presents three models built on stochastic discount rates, where cash flows are assumed to be growing with a certain trend, and the factors affecting the price of the company are described by stochastic discount factors. These models are alternative in relation to the commonly used traditional cash flow discounting (DCF) models where the free cash flow is discounted through the WACC, or the free flow to capital at the opportunity cost of equity. The first model is used to analyze the dependence of the company value on investments. It uses free cash flow subject to zero growth. The second model uses net cash flow from operating activities plus interest, minus the minimum investment subject to zero growth. The third model uses net cash flow from operating activities plus interest adjusted to taxes. This model requires to estimate the rates of the company downsizing subject to zero investment. The third model is applicable for companies with volatile investments, where it is difficult to reliably estimate free cash flow in case of zero growth. The models are designed for analysis of the factors influencing the value of the company for value-based management. Another application of the models is the evaluation of investment value of the company and the answer to the question of its possible overestimated or underestimated value. The third way to apply this model is the empirical evaluation of the weighted average cost of capital applicable to the company’s investment projects, alternative to WACC, assessed by standard methods. В работе предлагаются новые модели анализа изменений стоимости компании с использованием стохастических ставок дисконтирования. Показано, что для большинства исследованных компаний локальные изменения скорости роста стоимости компаний (процентные изменения к предыдущему уровню) не объясняются соответствующими изменениями ни в средневзвешенной стоимости капитала (weighted average cost of capital, WACC), ни в денежных потоках. Этот факт и результаты исследования Дж. Кохрейна, доказавшего, что главный вклад в волатильность цен вносит изменчивость ставок дисконтирования, стали исходными предпосылками для построения моделей, основанных на стохастических ставках дисконтирования. В работе построены три модели, основанные на стохастических ставках дисконтирования, в которых денежные потоки предполагаются растущими с некоторым трендом, а факторы, влияющие на цену компании, описываются стохастическими факторами дисконтирования. Эти модели носят альтернативный характер по отношению к обычно применяемым традиционным моделям дисконтирования денежных потоков (DCF), в которых дисконтируется свободный денежный поток по WACC либо свободный поток на капитал по альтернативным издержкам на собственный капитал. Первая модель используется для анализа зависимости стоимости компаний от инвестиций. В ней применяется свободный денежный поток при условии нулевого роста. Во второй модели — чистый денежный поток по операционной деятельности плюс проценты, за вычетом минимальных инвестиций при условии нулевого роста. В третьей модели — чистый денежный поток по операционной деятельности плюс проценты, скорректированные на налоги. В последней модели применяется оценка скорости сворачивания деятельности компании при условии нулевых инвестиций. Третья модель применима для компаний с нестабильными инвестициями, для которых трудно надежно оценить свободный денежный поток при условиях нулевого роста. Модели могут применяться для анализа факторов, влияющих на стоимость компании с целью управления стоимостью компании. Другое применение моделей — оценка инвестиционной стоимости компании и ответ на вопрос о ее возможной переоцененной или недооцененной стоимости. Третье применение — для эмпирической оценки средневзвешенной стоимости капитала, применимой к инвестиционным проектам компании, альтернативной WACC, оцениваемой стандартными методами.

Suggested Citation

  • P. Zhukov E. & П. Жуков Е., 2019. "Новые модели анализа изменений стоимости компании, основанные на стохастических ставках дисконтирования // New Models for Analyzing Changes in Company Value Based on Stochastic Discount Rates," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(3), pages 35-48.
  • Handle: RePEc:scn:financ:y:2019:i:3:p:35-48
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    References listed on IDEAS

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    6. Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2016. "Can stochastic discount factor models explain the cross-section of equity returns?," Review of Financial Economics, Elsevier, vol. 28(C), pages 56-68.
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