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Abstract(s)
O objetivo primordial deste estudo é demonstrar a relação entre o valor de
mercado e o valor intrínseco, calculado através dos cash flows descontados, recorrendo
aos Free Cash Flows to Equity, e através dos múltiplos de mercado, nomeadamente o
múltiplo do EBITDA e o Price Earnings Ratio. Pretende-se também perceber qual o
método que revela uma maior precisão nesta comparação.
Para cálculo dos valores intrínsecos pelos três métodos de avaliação foram
recolhidos dados financeiros das empresas não financeiras cotadas na Euronext Lisbon,
durante o período de 2012 a 2018.
Posteriormente, foram analisados os rácios calculados pela diferença entre valor
de mercado e o valor intrínseco estimado, sobre o valor de mercado, para valores
absolutos e não absolutos.
De seguida, foram efetuados cálculos econométricos no sentido de apurar qual o
modelo de regressão com melhores resultados. Iniciou-se pela análise da correlação entre
os valores intrínsecos, calculados por cada um dos métodos de avaliação selecionados,
com os respetivos valores de mercado. Após esta análise, correram-se regressões, usando
os modelos OLS, efeitos fixos e efeitos aleatórios. Depois, foram efetuados testes de
comparação dos três modelos sendo o modelo de efeitos fixos aquele que demonstrou
melhores resultados. Posteriormente foi efetuada uma análise sobre os resíduos da
regressão de efeitos fixos, nomeadamente sobre a independência e a heterocedasticidade
dos mesmos.
No seguimento dos cálculos efetuados, demonstrou-se que, dos três métodos de
avaliação empresarial, para a amostra selecionada no período em questão, o PER foi o
método de avaliação que apresentou uma maior precisão para responder ao objetivo deste
estudo.
The main objective of this study is to demonstrate the relationship between the market value and the intrinsic value, calculated through discounted cash flows, namely the FCFE discounted method, and through the market multiples, namely EBITDA and the multiple of the PER. It is also intended to understand which method is more accurate in this comparison. To calculate the intrinsic values by the three valuation methods, financial data was collected from non-financial companies listed on Euronext Lisbon, during the period from 2012 to 2018. Subsequently, the ratios calculated by the difference between the market value and the estimated intrinsic value, on the market value, for absolute and non-absolute values were analyzed. Then, econometric calculations were made in order to determine which regression model had the best results. It started by analyzing the correlation between intrinsic values, calculated by each of the selected valuation methods, with the respective market values. After this analysis, regressions were run, using the OLS models, fixed effects and random effects. Then, tests were performed to compare the three models, with the fixed effects model showing the best results. Subsequently, an analysis was carried out on the residuals of the fixed effects regression, namely on their independence and heretocedasticity. Following the calculations performed, it was demonstrated that, of the three business evaluation methods, for the sample selected in the period in question, PER was the evaluation method that showed greater precision to answer the objective of this study.
The main objective of this study is to demonstrate the relationship between the market value and the intrinsic value, calculated through discounted cash flows, namely the FCFE discounted method, and through the market multiples, namely EBITDA and the multiple of the PER. It is also intended to understand which method is more accurate in this comparison. To calculate the intrinsic values by the three valuation methods, financial data was collected from non-financial companies listed on Euronext Lisbon, during the period from 2012 to 2018. Subsequently, the ratios calculated by the difference between the market value and the estimated intrinsic value, on the market value, for absolute and non-absolute values were analyzed. Then, econometric calculations were made in order to determine which regression model had the best results. It started by analyzing the correlation between intrinsic values, calculated by each of the selected valuation methods, with the respective market values. After this analysis, regressions were run, using the OLS models, fixed effects and random effects. Then, tests were performed to compare the three models, with the fixed effects model showing the best results. Subsequently, an analysis was carried out on the residuals of the fixed effects regression, namely on their independence and heretocedasticity. Following the calculations performed, it was demonstrated that, of the three business evaluation methods, for the sample selected in the period in question, PER was the evaluation method that showed greater precision to answer the objective of this study.
Description
Keywords
Avaliação empresarial FCFE EBITDA PER Valor de mercado Valor intrínseco Business valuation Market value Intrinsic value