Details

Valuation of the Liability Structure by Real Options

1. Aufl.

von: David Heller
126,99 €
Verlag:	Wiley
Format:	PDF
Veröffentl.:	15.06.2022
ISBN/EAN:	9781119988298
Sprache:	englisch
Anzahl Seiten:	208

In den Warenkorb

Als Gutschein

DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.

Beschreibungen

Titelbeschreibung

The valuation of the liability structure can be determined by real options because the shares of a company can be regarded as similar to the purchase of a financial call option. Therefore, from this perspective, debt can be viewed as the sale of a financial put option. As a result, financial analysts are able to establish different valuations of a company, according to these two financing methods. Valuation of the Liability Structure by Real Options explains how the real options method works in conjunction with traditional methods. This innovative approach is particularly suited to the valuation of companies in industries where an underlying asset has high volatility (such as the mining or oil industries) or where research and development costs are high (for example, the pharmaceutical industry). Integration of the economic value of net debt (rather than the accounting value) and integration of the asset volatility are the main advantages of this approach.

Inhaltsverzeichnis

Introduction ix Chapter 1 The Utility of Real Options in the Valuation of Liabilities 1 1.1 Introduction 1 1.2 Real options: a mitigating alternative to the deficiency of traditional valuation methods 2 1.2.1 The limits of traditional approaches 3 1.2.2 The alternative of real options 7 1.2.3 Black–Scholes optional modeling 10 1.3 Intersections between approaches to assets valuation 12 1.3.1 Convergence between the Cox–Ross–Rubinstein (1979) and the Black–Scholes (1973) models and the Merton formula (1973) 12 1.3.2 Convergence between the CAPM and the Modigliani–Miller theory 15 1.3.3 Convergence between the Black–Scholes model and the Modigliani–Miller theory outside of taxation 18 1.4 Valuation of liabilities structures with real options 22 1.4.1 The economic value of equity and net debt 22 1.4.2 The impact of the risk debt on the time value of equity and he resolution of conflict between creditors and shareholders 27 1.5 Conclusion 30 Chapter 2 The New Allocation of Company Value Using the Optional Approach 31 2.1 Introduction 31 2.2 Economic value of debt and systematic risk adjustment of equity 34 2.2.1 Optional valuation of debt and the issues associated with getting into debt 34 2.2.2 Combination of CAPM and the options model: the systematic risk of equity and the rate of return required by shareholders 36 2.2.3 Situations that impact financial structure 42 2.3 Integration of organizational problems between shareholders and debtors 45 2.3.1 The interaction of financing decisions 47 2.3.2 Accounting for information costs and protection clauses 53 2.3.3 Bankruptcy costs, getting into permanent debt and optimizing the debt ratio 61 2.4 Mechanisms of refinancing debt and the impact on the value of equity 70 2.4.1 Risks of refinancing 71 2.4.2 Reimbursing loans at intermediate intervals and the impact on the value of equity 76 2.5 Conclusion 82 Chapter 3 Applications of Real Options on Financial Structure Valuation 85 3.1 Introduction 85 3.2 Application to the stock market index of a country: the CAC 40 86 3.2.1 Databases, methodology and hypotheses 87 3.2.2 Equality test for asset and equity volatility and the interpretation of results 94 3.2.3 Equality test for growth potential of stock prices based on the approach of brokers and Black–Scholes–Merton and the interpretation of results 94 3.2.4 Equality test for debt ratios based on net debt from the financial states of companies and the recalculation of net debt using the Black–Scholes–Merton approach, and the interpretation of results 95 3.2.5 Regression coefficient to explain growth potential of stock prices 96 3.3 Application to a business sector: the cinema industry 97 3.3.1 Databases, methodology and hypotheses 97 3.3.2 Equality test for volatility of assets and equity and interpretation of results 100 3.3.3 Equality test for the growth potential of stock prices based on the approach of brokers and Black–Scholes–Merton 100 3.3.4 Test for equal debt ratios based on net debt from the financial reports of companies and the recalculation of net debts using the Black–Scholes–Merton approach 101 Conclusion 103 Appendices 105 Appendix 1 107 Appendix 2 109 Appendix 3 111 Appendix 4 113 Appendix 5 115 Appendix 6 117 Appendix 7 119 Appendix 8 123 Appendix 9 125 Appendix 10 127 Appendix 11 129 Appendix 12 131 Appendix 13 133 Appendix 14 135 Appendix 15 137 Appendix 16 139 Appendix 17 141 Appendix 18 143 Appendix 19 145 Appendix 20 147 Appendix 21 149 Appendix 22 151 Appendix 23 153 Bibliography 159 Index 165