Submitted by João Paulo Mesquita Villela (jpmv_nit@yahoo.com.br) on 2018-03-05T22:41:17Z No. of bitstreams: 1 Dissertação JP - WACC-GN - Final.pdf: 4843974 bytes, checksum: 53a8c6a560387b7ac0c7d2f370bdc655 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-03-12T15:00:37Z (GMT) No. of bitstreams: 1 Dissertação JP - WACC-GN - Final.pdf: 4843974 bytes, checksum: 53a8c6a560387b7ac0c7d2f370bdc655 (MD5) / Made available in DSpace on 2018-03-16T17:17:30Z (GMT). No. of bitstreams: 1 Dissertação JP - WACC-GN - Final.pdf: 4843974 bytes, checksum: 53a8c6a560387b7ac0c7d2f370bdc655 (MD5) Previous issue date: 2018-01-18 / The objective of this work is to propose a methodology for determining the weighted average cost of capital to be employed by the regulatory agency in the tariff review process of natural gas distributors in the state of São Paulo. The challenge in this process is to establish a remuneration that guarantees the lowest cost with the greatest benefit to the customers and at the same time provides the maintenance of the economic balance and the incentive to expand the services provided by the concessionaires. The complexity of the study becomes evident when we verify the great dispersion of values proposed in the contributions sent to the Sanitation and Energy Regulatory Agency of the State of São Paulo (ARSESP) during the public consultation process. In this sense, the different approaches used by other regulatory agencies also make it difficult to establish a standardized solution to the problem. In this way, we analyzed initially the methodology defined by the ARSESP, the contributions received during the public consultation process carried out by the agency and some references of national and international regulatory practices. Finally, we sought to solve the issue by proposing a methodology considered adequate to estimate the weighted average cost of capital for the natural gas distributors in the state of São Paulo. / O objetivo deste trabalho é propor uma metodologia para a determinação do custo médio ponderado de capital a ser empregado pela agência reguladora no processo de revisão tarifária das distribuidoras de gás natural do estado de São Paulo. O desafio nesse processo é estabelecer uma remuneração que garanta o menor custo com o maior benefício para os clientes e ao mesmo tempo proporcione a manutenção do equilíbrio econômico e do estímulo a ampliação dos serviços prestados pelas concessionárias. A complexidade do estudo torna-se evidente ao verificarmos a grande dispersão de valores propostos nas contribuições enviadas a Agência Reguladora de Saneamento e Energia do Estado de São Paulo (ARSESP) durante o processo de consulta pública. Nesse sentido, as diferentes abordagens utilizadas por outras agências regulatórias também dificultam a definição de uma solução padronizada para o problema. Desta forma, analisou-se inicialmente a metodologia definida pela ARSESP, as contribuições recebidas durante o processo de consulta pública realizado por esta agência e referências das práticas regulatórias nacionais e internacionais. Finalmente, procurou-se solucionar a questão propondo uma metodologia considerada adequada para estimar o custo médio ponderado de capital para as distribuidoras de gás canalizado do estado de São Paulo.

The theme of the thesis is to compare the accounting and economic value added. The theoretical part describes the value added and its determinants. It is defined as economic value added. The first is the basic formula for calculating the economic value added, and the identification of variables that are needed to calculate. The most important variable is the weighted average cost of capital. The next section is defined by other methods which can calculate EVA. The practical section provides the necessary methods and procedures for calculating the financial and economic value added. Methods chosen for the calculation were: the CAPM method, Modular method and Benchmarking diagnostic system of financial indicators INFA.

As proposições seminais de Modigliani e Miller iniciaram um campo novo de estudos na moderna teoria de finanças. Com o passar do tempo, suas premissas básicas foram sendo relaxadas, de tal sorte que atualmente são raras as situações em que podem ser aplicadas plenamente, obtendo resultados satisfatórios e consistentes. Por outro lado, pelo fato desse conjunto simples de proposições ter se tornado mundialmente conhecido e de fácil aplicação, acabou sendo adotado como receita geral para a avaliação de empresas. Este trabalho revisita, criticamente, as idéias de Modigliani e Miller, verificando que a aplicação simples e imediata das proposições pode enviesar os valores da firma e do capital próprio. Em situações em que não existe viés de metodologia, os valores resultantes são herméticos, não possibilitando a análise e administração dos elementos individuais que compõem o valor da firma e do capital próprio. O presente trabalho sugere uma metodologia alternativa de avaliação da firma e do capital próprio que independe da validade das premissas de Modigliani e Miller, de tal forma que seja possível a identificação analítica dos componentes de seu valor. A metodologia de avaliação proposta considera que o valor dos ativos independe da estrutura de capital, mas que existe certo componente de valor da firma (diferente do valor dos ativos) que depende da interação entre o financiamento pelo capital próprio e os investimentos operacionais, e que esse valor pode ser identificado e contabilizado isoladamente. A metodologia de avaliação proposta também considera o ganho da dívida como componente do valor da firma e do capital próprio, pelo fato de ser, do ponto de vista do acionista, o quanto de valor o capital de terceiros agrega à firma e ao capital próprio. O arcabouço teórico da metodologia apresentada neste trabalho é encontrado no desenvolvimento do Valor Presente Ajustado, pois, conceitualmente, abrange todos os ´efeitos colaterais´ que podem advir da interação entre estrutura de capital e de investimentos. / The seminal proposals by Modigliani and Miller constituted the start of a new study area in modern finance theory. Over time, their basic premises were slackened to the extent that, nowadays, there are few situations in which they can fully be applied and obtain satisfactory and consistent results. On the other hand, due to the fact that this simple set of proposals became known around the world and is easy to apply, it ended up being adopted as a general recipe for company valuation. We present a critical review of Modigliani and Miller’s ideas, verifying that the simple and immediate application of these proposals can bias firm and equity values. In situations where no methodological bias is present, the resulting values are hermetic and do not permit the analysis and management of the individual components of firm and equity values. This study suggests an alternative methodology for firm and own capital valuation which does not depend on the validity of Modigliani and Miller’s premises, allowing for the analytical identification of firm and equity value components. The proposed valuation methodology considers that asset value does no depend on capital structure, but that there exists a certain component of firm value (different from asset value) which depends on the interaction between debt and equity financing and operational investments, and that this value can be identified and accounted for in itself. The valuation methodology proposed here also considers the gain on debt as a component of firm and equity value, due to the fact that, from the stockholder’s perspective, it represents the amount of value debt adds to the firm and to the own capital. The theoretical framework of the methodology presented here resides in the development of Adjusted Present Value, as it conceptually covers all ´collateral effects´ that may stem from the interaction between capital structure and investments.

Submitted by João Miranda (joao.moraes.miranda@gmail.com) on 2013-09-23T13:58:17Z No. of bitstreams: 1 Um estudo sobre a probabilidade de default para bancos de médio e pequeno porte.pdf: 1263567 bytes, checksum: 4587c672711e5c3b9ae677b492e5f6c4 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-09-23T15:15:26Z (GMT) No. of bitstreams: 1 Um estudo sobre a probabilidade de default para bancos de médio e pequeno porte.pdf: 1263567 bytes, checksum: 4587c672711e5c3b9ae677b492e5f6c4 (MD5) / Made available in DSpace on 2013-09-23T15:41:37Z (GMT). No. of bitstreams: 1 Um estudo sobre a probabilidade de default para bancos de médio e pequeno porte.pdf: 1263567 bytes, checksum: 4587c672711e5c3b9ae677b492e5f6c4 (MD5) Previous issue date: 2013-08-27 / This dissertation aims to find a primary risk metric for banks that can be a specific component in future models of cost of capital. As a secondary objective, this paper discloses a modeling process that can be extended to other banking segments. The set of contributions of this work consists in the vision application, the object of study (banks small and medium sized businesses with low diversification of products or segments in the Brazilian financial system) and the accessibility of the structured modeling process / Esta dissertação tem por objetivo primário encontrar uma métrica de risco para bancos elegível a ser uma componente específica em futuros modelos de custo de capital. Como objetivo secundário, este trabalho descreve um processo de modelagem passível de ser estendido a outros segmentos bancários. O conjunto de contribuições deste trabalho consiste na visão de aplicação, no objeto de estudo (bancos de pequeno e médio porte com baixa diversificação de produtos ou segmentos no sistema financeiro brasileiro) e na acessibilidade do processo de modelagem estruturado

This master thesis deals with the proposal of a chosen company by using the income-based methods called Discounted Cash Flow and Economic Value Added. The theoretical part provides the description of the methodology of business valuation process. The practical part presents financial, strategic and SWOT analysis of the company. Furthermore particular valuation methods are applied. In conclusion statement of value is reported.

本研究使用資金成本(cost of capital)、信用供給(credit supply)和資源基礎理論（resource-based view）來探討政府政策與公司投資決策的關係。在資金成本(cost of capital）理論的解釋下，政府政策實施後，企業外部融資成本的下降使企業無謂的損失減少，增加企業投資的動機。同時本研究使用信用供給(credit supply)理論來解釋當政府政策增加金融市場的信用供給後，企業外部融資限制的降低促使其進行投資。結果顯示在資源基礎理論（resource-based view）之下，國家政策對公司投資決策產生顯著的影響，並不是透過改變公司的外部融資條件實現。 / Our research used the cost of capital credit supply and resource-based view to explain the changing in investment decisions after implement policy. The government policy effect will increase the willingness of investment. Meanwhile, we used the credit supply theory to explain the changing of external financing constraints in companies increases investment. Our results showed that based on the resource-based view, government policy significantly affects the investment decisions without having impact on external financing.

The aim of this diploma thesis is to characterize the process of investment calculations at Bosch Diesel company and to compare Bosch Diesel s effectiveness of investment evaluation methodology with the methodology recommended in teaching literature. The thesis is divided into two parts. The theoretical part defines various methods for evaluation of investments. It also deals with estimation of cash flow of an investment, calculation of a discount rate and risk analysis. The practical part illustrates the process of investment calculations at Bosch Diesel company by the means of the real investment in production of CP4 pumps. According to the found deviations the investment calculation of this project is recalculated. In the conclusion there are proposals for how the investment process of the company could be improved.

The aim of my diploma thesis is to estimate the market value of the company MSV Metal Studénka, a. s. as of 31st December 2015. The evaluated company produces large variation of steel forgings, pressings and railcar components. The thesis will bring financial analysis of the company and based on strategic analysis and value drivers of the company the financial plan will be drawn up. The valuation of the company will be estimated using income methods of discounted cash flows APV adding market comparison method specifically called similar public company method.

Ce travail propose une analyse de l’évaluation des capitaux propres de l’entreprise obtenue des modèles d’évaluation de la rente économique. La qualité des estimations dépend de la pertinence des hypothèses et du calibrage empirique de ces modèles. Dans un premier temps, les fondements théoriques des différentes hypothèses sur la croissance et/ou la persistance de la rente économique et de son influence sur l’évaluation des fonds propres sont analysés. S’appuyant sur le modèle des accroissements anormaux du résultat, nous montrons que la rente économique du nouvel investissement ou de l’accroissement anormal du résultat devrait converger vers zéro du fait des forces concurrentielles. Cette proposition, différente de ce qui est couramment admis suite au travail d’Ohlson et Juettner-Nauroth, apparaît influencer sensiblement l’estimation des fonds propres de l’entreprise. Une analyse asymptotique des multiples présentés dans le deuxième chapitre de cette thèse souligne ces aspects en dehors des biais et des difficultés que pourraient amener les mesures empiriques du phénomène. Le travail propose notamment une explication de la surévaluation systématique des fonds propres obtenue par le modèle des accroissements anormaux du résultat. Par la suite, une méthode d’estimation de la persistance de l’accroissement anormal du résultat par firme est proposé afin d’améliorer le calibrage de ce modèle. Dans le dernier chapitre, un modèle analytique synthétisant les deux grands types d’approche concernant la modélisation de la rente, le modèle des résultats résiduels et le modèle des accroissements anormaux du résultat, est proposé. Une équation de valorisation linéaire en est dérivée et est mobilisée afin de caractériser le contenu informationnel des prévisions de la variation du bénéfice à court terme avancées par les analystes financiers. / This research proposes an analysis of equity valuation of firm, obtained from the models valuing economic rents. The quality of the estimations depends on the pertinence of the hypothesis and the empirical calibration of these models. In the first place, the theoretical foundations of different hypotheses on the growth rate and/or the persistence level of economic rent and the influence of these hypotheses on equity valuation are analyzed. Through the abnormal earnings growth model, we show that the economic rent of the new investment or the abnormal earnings growth should converge towards zero due to the market competition. This proposition, different from Ohlson and Juettner-Nauroth’s assumption often adopted in prior studies, is found having sensitive influence on equity valuation. The asymptotic analysis of valuation ratios in the second chapter of this thesis underlines these aspects while being immune from the bias and the difficulties that the empirical studies on this issue could induce. This research notably proposes an explanation for the problem of systematic overvaluation of equity by the abnormal earnings growth model. In the second place, to improve the calibration of the abnormal earnings growth model, a method is proposed to estimate the firm-specific persistence level of the abnormal earnings growth. In the last chapter, an analytical model is proposed to synthesize the two main approaches concerning rent modeling: the residual income valuation model and the abnormal earnings growth model. A linear valuation equation is derived from the analytical model and mobilized to characterize the value relevance of the short-term earnings variation forecasted by financial analysts.

This master thesis deals with the valuation of the firm NHKZ Steel s.r.o. by using income capitalization approach. In the first part, there are described theoretical foundations of the thesis and process used for valuation of the company. The practical part contains the strategic and financial analysis, compilation of value drivers, proposal of the financial plan and cost of capital. At the end of the thesis, there is the valuation of the firm to the date 1. 1. 2017 using the method of discounted cash flow method DCF entities and the economic value added method.