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Advisor(s)
Abstract(s)
Os modelos tradicionais de avaliação de ações, como por exemplo o
Dividend Discount Model e o Discounted Cash Flow, apresentam diversas
limitações. Segundo Graham (1973), o principal problema destes modelos reside
na incorporação de taxas de crescimento de longo-prazo, que os tornam
demasiado especulativos. Recentemente, Penman (2006) procurou contornar
este problema, tendo em consideração uma visão fundamentalista.
De acordo com esta visão, a avaliação deve-se, nos termos do autor,
ancorar, no que efetivamente se sabe acerca do valor da empresa a avaliar, e
separá-lo da especulação. Ora, se se deve fixar no que realmente se sabe acerca
do valor, Penman (2006) advoga que essa âncora reside no valor contabilístico.
Nesse contexto, o autor descreve um modelo de avaliação contabilístico, em
particular um Residual Income Model, com pressupostos muito específicos, como
o melhor modelo para debater esta problemática.
Assim sendo, o presente trabalho apresenta uma abordagem à objeção de
Graham (1973) sob esta perspetiva de Penman (2006), resumindo-se à avaliação
de um conjunto de empresas (no caso, uma amostra de empresas do DAX-30)
com base no Residual Income Model e posteriormente à interpretação dos
respetivos resultados de acordo com a teoria fundamentalista. Desta forma,
pretende-se encontrar um valor âncora para as ações de cada empresa da
amostra, e compará-lo com as percepções do mercado espelhadas no preço.
Deste modo, foram obtidos valores âncora (não especulativos) para as
ações de 22 empresas do DAX-30, sendo que se verificou um número
significativo de empresas com um valor âncora superior ao preço de mercado.
The traditional stock valuation models, such as the Dividend Discount Model and the Discounted Cash Flow, present many limitations. According to Graham (1973), the main problem of these models lies in the incorporation of long-term growth rates, which in turn make them too speculative. Recently, Penman (2006) tried to finesse this problem, by considering a fundamentalist dictum. This fundamentalist dictum tells that one must anchor on what is known from the value of a firm, and separate it from speculation. Well, if it is to anchor on what is known, Penman (2006) claims that one shall anchor on accounting. In this context, the author describes an accrual-accounting Residual Income Model, with very specific assumptions, as the best model to address this problem. Thus, the present work provides an approach to the objection identified by Graham (1973), taking into account this perspective of Penman (2006), being summarized by the valuation of a set of firms (in this case, a sample of DAX-30 firms), based on the Residual Income Model, and an interpretation of the respective results according to the fundamentalist theory. Thereby, it is intended to find an anchor value for the shares of each sample firm and compare it with the market perceptions that are implicit in the share price. There were obtained anchor values for the shares of 22 firms from the DAX- 30, and there was a significative number of firms from the sample whose anchor share vaue (non-speculative) exceeded the market price.
The traditional stock valuation models, such as the Dividend Discount Model and the Discounted Cash Flow, present many limitations. According to Graham (1973), the main problem of these models lies in the incorporation of long-term growth rates, which in turn make them too speculative. Recently, Penman (2006) tried to finesse this problem, by considering a fundamentalist dictum. This fundamentalist dictum tells that one must anchor on what is known from the value of a firm, and separate it from speculation. Well, if it is to anchor on what is known, Penman (2006) claims that one shall anchor on accounting. In this context, the author describes an accrual-accounting Residual Income Model, with very specific assumptions, as the best model to address this problem. Thus, the present work provides an approach to the objection identified by Graham (1973), taking into account this perspective of Penman (2006), being summarized by the valuation of a set of firms (in this case, a sample of DAX-30 firms), based on the Residual Income Model, and an interpretation of the respective results according to the fundamentalist theory. Thereby, it is intended to find an anchor value for the shares of each sample firm and compare it with the market perceptions that are implicit in the share price. There were obtained anchor values for the shares of 22 firms from the DAX- 30, and there was a significative number of firms from the sample whose anchor share vaue (non-speculative) exceeded the market price.
Description
Keywords
Avaliação de ações Contabilidade em avaliação de ações Residual income model Valor âncora Valor especulativo Equity valuation Accounting for value Residual income model Anchoring Speculation