Company valuation and growth: theory, empirical evidence and practical implementation issues
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Münster
Verl.-Haus Monsenstein und Vannerdat
2009
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| Series: | MV-Wissenschaft
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXI, 170 S. graph. Darst. |
| ISBN: | 9783865829252 |
Staff View
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Record in the Search Index
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| adam_text | Titel: Company valuation and growth
Autor: Sievers, Sönke
Jahr: 2009
Company valuation and growth __________________________________yn
Contents
List of Tables................................................................................................................ix
List of Figures................................................................................................................x
List of Symbols and Abbreviations............................................................................xi
1 Introduction............................................................................................................1
2 Company Valuation, Risk-Sharing and the Government Cost of Capital.......7
2.1. Introduction.....................................................................................................7
2.2. Company Valuation Incorporating the Government Claim............................9
2.3. The Firm s Before-Tax Value and Cost of Capital.......................................16
2.4. The Government Cost of Capital...................................................................18
2.5. The Value of Tax Payments..........................................................................26
2.6. Conflict of Interest Arising from Capital Budgeting: Corporate Under- and
Overinvestment..............................................................................................29
2.7. Conclusion.....................................................................................................43
3 Extended Dividend, Cash Flow and Residual Income Valuation Models:
Accounting for Deviations from Ideal Conditions.....................................,......45
3.1. Introduction...................................................................................................45
3.2. Related Literature..........................................................................................48
3.3. Valuation Methods........................................................................................52
3.3.1. Valuation Methods Under Ideal Conditions.......................................52
3.3.2. Extended Valuation Methods Under Non-Ideal Conditions..............54
3.3.3. Special Cases of the Extended Valuation Methods: The Standard
Models................................................................................................64
3.4. Empirical Analysis....................................................................,...................67
3.4.1. Research Design and Data Description..............................................67
3.4.2. Empirical Results...............................................................,................73
3.5. Conclusion.....................................................................................................83
4 Valuing High Technology Growth Firms: An Implementation and
Extension of the Schwartz-Moon Model,...................................,..„...,.„„,¦.„„„. 85
4.1. Introduction...................................................................................................85
4.2. Specific Valuation Characteristics of Growth Stocks........................,..........89
4.3. Valuation Models..........................................................................................90
4.3.1. Fundamental Pricing: The Basic Schwartz-Moon Model..................90
4.3.2. Relative Pricing: The Enterprise-Value-Sales Multiple.....................96
Company valuation and growth
4.33. Market Mood-Adjusted Fundamental Pricing: The Schwartz-
...........................100
Moon Model Extension......................................................................97
4.4. Data and Methodology.......................................................................
100
4.4.1. Data Collection.................................................................................l
4.4.2. Model Implementation.....................................................................
104
4.4.3. Summary Statistics...........................................................................l
4.5. Results.........................................................................................................107
114
4.6. Default Rates...............................................................................................
123
4.7. Conclusion...................................................................................................l
5 Summary and Conclusions................................................................................
129
Appendices.................................................................................................................
129
Appendix to section 2................................................................................................
179
Appendix 2.1 Risk Sharing in a Growing Firm with Fixed Debt.....................VL
Appendix 2.2 Valuation Examples...................................................................
Appendix to section 3................................................................................................135
Appendix 3.1 Statistics on Dirty Surplus..........................................................
Appendix 3.2 Derivation of the DCF Model for a Company with an Infinite
Life Span....................................................................................136
Appendix 3.3 Derivation of the WACC Model for a Company with an
Infinite Life Span.......................................................................137
Appendix 3.4 Valuing the 3M Corporation......................................................
Appendix 3.5 Variable Definitions for the DDM, the RIM and the DCF
Model.........................................................................................141
Appendix to section 4.............................„.................................................................^
Appendix 4.1 Example of the Schwartz-Moon Market Mood-Adjusted
Valuation....................................................................................l43
Appendix 4.2 Technical Appendix on Stochastic Optimization......................l46
Appendix 4.3 Variable Definitions and Data Sources for the Schwartz-
Moon Model...............................................................................l49
Appendix 4.4 Sample Selection for the Schwartz-Moon Model......................153
Company valuation and growth_______________________________ _______ix
List of Tables
Table 2.1: Basic Trading Strategy................................................................................21
Table 2.2: Overinvestment in the Case of a Fixed Debt Policy....................................42
Table 3.1: The Different Correction Terms - An Overview........................................66
Table 3.2: Summary Statistics by Year........................................................................71
Table 3.3: Valuation Errors for the Standard Models and the Extended Models.........73
Table 3.4: Valuation Errors for Different Forecast Horizons.......................................76
Table 3.5: The Importance of the Proposed Correction Terms....................................79
Table 4.1: The Simplified Income Statement...............................................................91
Table 4.2: The Simplified Balance Sheet.....................................................................91
Table 4.3: Summary Statistics....................................................................................105
Table 4.4: Valuation Errors........................................................................................108
Table 4.5: Valuation Errors by Industry Classification and Firm Size....................... 112
Table 4.6: S P Long-Term Issuer Credit Rating Distribution...................................115
Table 4,7: Model-Implied Default Probability...........................................................116
Table 4.8: Relation between Rating Class and Schwartz-Moon Default Predictions 120
Table 5.1: Valuation of a Hypothetical Firm Following a Constant Leverage Policy 131
Table 5.2: Valuation of a Hypothetical Firm Following a Fixed Debt Policy...........133
Table 5.3: Descriptive Statistics on Dirty Surplus......................................................135
Table 5.4: Excerpt of the Financial Statements for the 3M Corporation.................... 138
Table 5.5: Calculated Input Parameters for the 3M Corporation...............................139
Table 5.6: Intrinsic Values Estimated by the DDM, the RIM and the DCF Model... 139
Table 5.7: Variable Measurement for the DDM, the RIM and the DCF Model........141
Table 5.8: Variable Defintions for the DDM, the RIM and the DCF Model.............142
Table 5.9: Peer Group Example..................................................................................144
Table 5.10: Variable Measurement for the Schwartz-Moon Model...........................149
Table 5.11: Variable Definitions for the Schwartz-Moon Model...............................151
Table 5.12: Sample Selection for the Schwartz-Moon Model...................................153
x Company valuation and growth
List of Figures
Figure 2.1: Cost of Capital in a Non-Growing Default Free Firm...............................26
Figure 2.2: The Investment Opportunity Set in a Steady State....................................31
Figure 2.3: The Investment Opportunity Set in Dollar Amounts.................................32
Figure 2.4: Stockholder Optimization..........................................................................35
Figure 2.5: Government Optimization...............................................,..........................37
Figure 2.6: (Hypothetical) Overinvestment in the Constant Leverage Case................39
Figure 3.1: Mean Bias by Year.....................................................................................75
Figure 3.2: Magnitude of the Different Correction Terms...........................................82
Figure 4.1: Valuation Error Distribution....................................................................HO
Figure 4.2: Quarterly Median Absolute Valuation Errors..........................................111
Figure 4.3: Median Quarterly Defaults.......................................................................122
|
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| spelling | Sievers, Sönke Verfasser aut Company valuation and growth theory, empirical evidence and practical implementation issues Sönke Sievers Münster Verl.-Haus Monsenstein und Vannerdat 2009 XXI, 170 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier MV-Wissenschaft Zugl.: Köln, Univ., Diss., 2009 Unternehmenswachstum (DE-588)4078620-1 gnd rswk-swf Return on Investment (DE-588)4049628-4 gnd rswk-swf Unternehmensbewertung (DE-588)4078594-4 gnd rswk-swf Steuervergünstigung (DE-588)4057476-3 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Unternehmensbewertung (DE-588)4078594-4 s Unternehmenswachstum (DE-588)4078620-1 s Return on Investment (DE-588)4049628-4 s DE-604 Investition (DE-588)4027556-5 s Steuervergünstigung (DE-588)4057476-3 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018701699&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sievers, Sönke Company valuation and growth theory, empirical evidence and practical implementation issues Unternehmenswachstum (DE-588)4078620-1 gnd Return on Investment (DE-588)4049628-4 gnd Unternehmensbewertung (DE-588)4078594-4 gnd Steuervergünstigung (DE-588)4057476-3 gnd Investition (DE-588)4027556-5 gnd |
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| title | Company valuation and growth theory, empirical evidence and practical implementation issues |
| title_auth | Company valuation and growth theory, empirical evidence and practical implementation issues |
| title_exact_search | Company valuation and growth theory, empirical evidence and practical implementation issues |
| title_full | Company valuation and growth theory, empirical evidence and practical implementation issues Sönke Sievers |
| title_fullStr | Company valuation and growth theory, empirical evidence and practical implementation issues Sönke Sievers |
| title_full_unstemmed | Company valuation and growth theory, empirical evidence and practical implementation issues Sönke Sievers |
| title_short | Company valuation and growth |
| title_sort | company valuation and growth theory empirical evidence and practical implementation issues |
| title_sub | theory, empirical evidence and practical implementation issues |
| topic | Unternehmenswachstum (DE-588)4078620-1 gnd Return on Investment (DE-588)4049628-4 gnd Unternehmensbewertung (DE-588)4078594-4 gnd Steuervergünstigung (DE-588)4057476-3 gnd Investition (DE-588)4027556-5 gnd |
| topic_facet | Unternehmenswachstum Return on Investment Unternehmensbewertung Steuervergünstigung Investition Hochschulschrift |
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