DCF and Risk-Neutral Valuation: A comparison - Couverture souple

Terrani, Davide

 
9783639318999: DCF and Risk-Neutral Valuation: A comparison
Couverture souple
ISBN 10 : 3639318994 ISBN 13 : 9783639318999
Editeur : VDM Verlag Dr. Müller, 2011

Synopsis

The book illustrates an alternative corporate valuation method to the well known DCF. The limitations and drawbacks of the discounting model and especially of the CAPM question its validity for such an important practice for management as corporate valuation. Being based on the option pricing theory and on the concepts of replication and no arbitrage, risk-neutral valuation uses a completely different approach to account for the risk of a cash flow. In fact, the model applies risk-neutral probabilities to adjust the risky future cash flows of the firm to certainty equivalence. The available literature is reviewed and the two valuation approaches are tested by estimating the value for a sample of five companies and comparing the results to the market capitalisation. By analysing the companies ABB, Bâloise, Novartis, UBS and Valora, the empirical test covers different sectors, sizes and degrees of financial stability.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The book illustrates an alternative corporate valuation method to the well known DCF. The limitations and drawbacks of the discounting model and especially of the CAPM question its validity for such an important practice for management as corporate valuation. Being based on the option pricing theory and on the concepts of replication and no arbitrage, risk-neutral valuation uses a completely different approach to account for the risk of a cash flow. In fact, the model applies risk-neutral probabilities to adjust the risky future cash flows of the firm to certainty equivalence. The available literature is reviewed and the two valuation approaches are tested by estimating the value for a sample of five companies and comparing the results to the market capitalisation. By analysing the companies ABB, Bâloise, Novartis, UBS and Valora, the empirical test covers different sectors, sizes and degrees of financial stability.

Biographie de l'auteur

Davide Terrani: Master in Accounting & Finance and International Management at the University of St. Gallen, Switzerland.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2011
Langue
anglais
ISBN 10 
3639318994
ISBN 13 
9783639318999
Reliure
Broché
Nombre de pages
152
Coordonnées du fabricant
non disponible
Personne responsable
non disponible