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Abstract(s)
A avaliação de empresas que se encontram na sua fase inicial é de extrema dificuldade para os investidores devido à fraca disponibilidade de dados financeiros.
Nestas situações, o método de avaliação mais utilizado que consiste em estimar de forma relativamente rígida os free cash flows (FCF), taxas de crescimento e de desconto, é muito propensa a problemas de assimetria de informação entre o empreendedor e o investidor.
Muitas vezes o financiamento é feito em seed stages, ou seja, quando a empresa se encontra em períodos de investigação e desenvolvimento (I&D). Nestas fases existe uma grande possibilidade dos projetos não serem viáveis, gerando perdas inteiras do capital dos investidores.
O método de avaliação por opções utilizado neste trabalho pretende ultrapassar estas limitações. Foi construído de forma a oferecer a possibilidade de comparar as seguintes hipóteses: financiar imediatamente a totalidade do investimento, adquirir uma opção de compra (correspondente à capitalização posterior do investimento) com um horizonte temporal de 6 meses, ou não investir por completo.
É utilizado o método integrado de avaliação que se distingue por permitir dividir o risco em dois tipos - público e privado – e posteriormente avaliá-los. O primeiro é avaliado através de árvores binomiais, numa ótica neutral ao risco. O risco privado, por outro lado, é inerente ao próprio negócio e requer a utilização de métodos de estimação subjetivos.
The valuation of companies during their initial stage is extremely difficult for investors due to the lack of availability of financial data. In these situations, the most used valuation method, which consists in estimating in a relatively rigid way the free cash flows (FCF), growth and discount rates, is very prone to information asymmetry problems between the investor and the entrepreneur. In many cases, the investment is done in seed stages, when the company is performing investigation and development. At this stage, there is a big possibility that the projects are not viable, generating full capital loss for the investors. The option valuation model used in this work, aims to solve this problems. It was built to offer the possibility of comparing the following hypothesis: immediately financing the total investment, acquiring a call option (corresponding to the following capitalization on the investment) with a six month expiration time, or not investing at all. The valuation method used is called “integrated method of valuation” and distinguishes from the other models by allowing risk to be divided into two types – public and private – and then evaluating them separately. The first is valued with risk neutral binomial trees. The private risk, on the other hand, is inherent to the business itself and requires the utilization of subjective estimation methods.
The valuation of companies during their initial stage is extremely difficult for investors due to the lack of availability of financial data. In these situations, the most used valuation method, which consists in estimating in a relatively rigid way the free cash flows (FCF), growth and discount rates, is very prone to information asymmetry problems between the investor and the entrepreneur. In many cases, the investment is done in seed stages, when the company is performing investigation and development. At this stage, there is a big possibility that the projects are not viable, generating full capital loss for the investors. The option valuation model used in this work, aims to solve this problems. It was built to offer the possibility of comparing the following hypothesis: immediately financing the total investment, acquiring a call option (corresponding to the following capitalization on the investment) with a six month expiration time, or not investing at all. The valuation method used is called “integrated method of valuation” and distinguishes from the other models by allowing risk to be divided into two types – public and private – and then evaluating them separately. The first is valued with risk neutral binomial trees. The private risk, on the other hand, is inherent to the business itself and requires the utilization of subjective estimation methods.
Description
Keywords
Avaliação por opções reais Método integrado de avaliação Árvores de decisão Risco privado Risco público Valuation through real options Integrated valuation Decision trees Private risks Public risks