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Unternehmensbewertung unter Unsicherheit — Sicherheitsäquivalent- oder Risikozuschlagsmethode?

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  • Bernhard Schwetzler

    (Handelshochschule Leipzig)

Abstract

Summary For discounting uncertain cash flows one can use certainty equivalents or risk-adjusted discount rates. In a multi-period setting these methods seem to lead to different results. This paper shows that the difference comes from different assumptions about the stochastic process governing the cash flow distributions implicitly made by frequently used formulations of the two methods. We present formulations of both valuation methods appropriate for both different stochastic processes which lead to correspondent firm values. We show that this result does not depend on whether certainty equivalents or risk adjusted discount rates are generated via capital market data or via the investor’s preferences.

Suggested Citation

  • Bernhard Schwetzler, 2000. "Unternehmensbewertung unter Unsicherheit — Sicherheitsäquivalent- oder Risikozuschlagsmethode?," Schmalenbach Journal of Business Research, Springer, vol. 52(5), pages 469-486, August.
    • Handle: RePEc:spr:sjobre:v:52:y:2000:i:5:d:10.1007_bf03372626
    DOI: 10.1007/BF03372626
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    References listed on IDEAS

    as
    1. Fama, Eugene F, 1996. "Discounting under Uncertainty," The Journal of Business, University of Chicago Press, vol. 69(4), pages 415-428, October.
    2. Myers, Stewart C & Turnbull, Stuart M, 1977. "Capital Budgeting and the Capital Asset Pricing Model: Good News and Bad News," Journal of Finance, American Finance Association, vol. 32(2), pages 321-333, May.
    3. Fama, Eugene F., 1977. "Risk-adjusted discount rates and capital budgeting under uncertainty," Journal of Financial Economics, Elsevier, vol. 5(1), pages 3-24, August.
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    Cited by:

    1. Josef Schosser & Markus Grottke, 2013. "Nutzengestützte Unternehmensbewertung: Ein Abriss der jüngeren Literatur," Schmalenbach Journal of Business Research, Springer, vol. 65(4), pages 306-341, June.

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