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Este trabalho implementa um modelo estrutural de valorização de participações em
empresas. O modelo Silva (2017) baseia-se no modelo de Goldstein et al. (2001). No
entanto, ao contrário deste último, considera-se a existência de custos fixos, para além
de se escolher como variàvel de estado uma medida baseada em fluxos de caixa em vez
do resultado operacional. O principal objectivo deste trabalho é calcular o preço do risco
implicito no valor de mercado das ações. São utilizados dados relativos a empresas não
financeiras pertencentes ao índice S&P 500 durante o período entre 1998 e 2017. As conclusões
sugerem que existe um crescimento no preço de risco do mercado durante a bolha
das "dot-com" e a crise financeira global de 2007-2008. Os resultados são, igualmente,
comparados numa base sectorial, concluindo-se que nem todas as empresas e setores são
igualmente afetados por estes grandes episódios económicos. Por último, o coeficiente de
variação é calculado mostrando diferenças significativas ao nível do preço do risco entre
empresas do mesmo setor. Adicionalmente, observou-se uma diminuição do coeficiente de
variação do preço de mercado do risco, durante a crise financeira de 2007-2008 e a crise
da dívida soberana sinalizando o caráter sistémico destas crises. O trabalho apresentado
assenta no entanto em algumas hipoteses simplicadoras, como seja uma expectativa de
crescimento constante e igual para todas as empresas em análise.
This paper implements a structural model of corporate contingent claims. The model by Silva (2017) is based on the model of Goldstein et al. (2001). However, unlike the latter, fixed costs are taken into account. In addition the state variable is based on a cash flow measure instead of the operating results. The primary objective of this work is to compute the market price of risk implied in the market value of shares. Non-financial firms belonging to the S&P 500 index are used during the period 1998 to 2017. The findings suggest a that there is a growth in the market price of risk during the dotcom bubble and global financial crisis of 2007-2008. The results are also analyzed on a per sector basis, concluding that not all firms and sectors are equally affected by these major economic events. Lastly, the coefficient of variation was observed in the price of risk among companies in the same industry. In addition, the coefficient of variation was observed during the financial crisis of 2007-2008 and the sovereign debt crisis, indicating the systemic character of these crises. The work presented, however, is based on several simplified hypotheses, such as an expectation of constant and equal growth for all the companies under analysis.
This paper implements a structural model of corporate contingent claims. The model by Silva (2017) is based on the model of Goldstein et al. (2001). However, unlike the latter, fixed costs are taken into account. In addition the state variable is based on a cash flow measure instead of the operating results. The primary objective of this work is to compute the market price of risk implied in the market value of shares. Non-financial firms belonging to the S&P 500 index are used during the period 1998 to 2017. The findings suggest a that there is a growth in the market price of risk during the dotcom bubble and global financial crisis of 2007-2008. The results are also analyzed on a per sector basis, concluding that not all firms and sectors are equally affected by these major economic events. Lastly, the coefficient of variation was observed in the price of risk among companies in the same industry. In addition, the coefficient of variation was observed during the financial crisis of 2007-2008 and the sovereign debt crisis, indicating the systemic character of these crises. The work presented, however, is based on several simplified hypotheses, such as an expectation of constant and equal growth for all the companies under analysis.
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Risco Determinação de risco Preço de mercado do risco Modelização de risco de crédito S&P500 Ações Valorização/avaliação das ações Modelos estruturais de análise de participações contingentes em empresas Risk Risk pricing Market price of risk Credit risk modeling Equity Equity valuation Structural models of corporate contingent claims