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Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежного потока? Свидетельства иррациональности в нефтегазовом секторе // Does Enterprise Value Really Depend on WACC and Free Cash Flow? The Evidence of Irrationality from the Oil and Gas Sector

Author

Listed:
  • P. Zhukov E.

    (Financial University under the Government of the Russian Federation)

  • П. Жуков Е.

    (Финансовый университет)

Abstract

The main objective is to check whether traditional DCF model, based on stable rational expectations for cash flows and discount rates really works in an intermediate term-from a quarter to three years. The sample was formed from six major companies of oil and gas sector. The main conclusions are-changes of enterprise value are independent of the changes WACC, free cash flow, and operating cash flows. This may be explained by the impossibility to make durable assessment neither for expected cash flow nor for the discount rate, which in fact means failure of strongly rational models like CAPM or MM. To handle out this implied irrationality the new model proposed, based on the stochastic cost of capital, which follows the model of generalized method of moments by J. Cochrane. Основная задача статьи - проверка, действительно ли традиционная модель DCF (Discounted Cash Flow - модель дисконтированных денежных потоков), основанная на стабильных рациональных ожиданиях денежных потоков и ставок дисконтирования, работает в промежуточном периоде - от квартала до трех лет. Выборка была сформирована из шести крупных компаний нефтегазового сектора. Основные выводы - изменения стоимости предприятия не зависят от изменения средневзвешенной стоимости капитала, свободного денежного потока и текущего денежного потока. Это может быть объяснено невозможностью осуществления долговременной оценки ни ожидаемых денежных потоков, ни учетной ставки, что фактически означает несостоятельность строго рациональных моделей САРМ (Capital Asset Pricing Model - Модель оценки долгосрочных активов) или ММ (Market Model). В статье предлагается учесть подразумеваемую иррациональность в новой модели, базирующейся на стохастической стоимости капитала, связанной с моделью обобщенного метода моментов J. Cochrane (ОММ; англ. GMM - Generalized Method of Moments).

Suggested Citation

  • P. Zhukov E. & П. Жуков Е., 2018. "Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежного потока? Свидетельства иррациональности в нефтегазовом секторе // Does Enterprise Value Real," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(1), pages 17-28.
    • Handle: RePEc:scn:00rbes:y:2018:i:1:p:17-28
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    References listed on IDEAS

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