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[en] COST OF CAPITAL VALUATION BEST PRACTICES IN BRAZILIAN PUBLIC STOCK OFFER / [pt] PRINCIPAIS PRÁTICAS DE AVALIAÇÃO DO CUSTO DE CAPITAL NAS OFERTAS PÚBLICAS DE AÇÕES NO BRASILEDUARDO MONEGALHA RODRIGUES 14 April 2010 (has links)
[pt] No período de 2004 a 2008, foram registradas, no Brasil, 199 ofertas
públicas de ações, sendo 111 ofertas iniciais de ações, basicamente abertura de
capital registrada na Bolsa de Valores de São Paulo; e 88 ofertas públicas de ações
registradas na Comissão de Valores Mobiliários, com finalidades diversas.
Utilizando uma amostra de 50 ofertas públicas, observamos as principais práticas
de avaliação de empresas adotadas pelos principais agentes financeiros que atuam
no país. Concluímos que as avaliações respeitam os principais modelos e
premissas discutidas no meio acadêmico, aplicando-os à prática, assim como com
o que é praticado em outros países, ajustando-se a realidade brasileira.
Observamos algumas diferenças quantitativas entre as ofertas iniciais de ações e
as ofertas públicas de ações, sendo que o segundo grupo se mostrou mais
conservador quanto às premissas adotadas. / [en] Between 2004 and 2008, 199 public stock offers were registered in Brazil,
of which 111 were initial stock offers, at the São Paulo Stock Exchange, Brazil’s
main stock exchange; and 88 public stock offer registered at Comissão de Valores
Mobiliários (Brazilian SEC), with several reasons. Using a sample of 50 public
offers, we observed the best practices adopted by the main financial appraisers in
Brazil. We concluded that these appraisers tend to use the better known models
and assumptions accepted in the academic world, according with what is practiced
in other countries, adjusted to Brazilian reality. We observed some quantitative
differences between the assumptions in the pricing of initial stock offers and
public stock offers, where the second one showed more conservative assumptions
than the first.
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[en] THE IMPACT OF PRIVATE EQUITY FUNDS ON THE COST OF CAPITAL OF INVESTED COMPANIES IN BRAZIL / [pt] O IMPACTO DE FUNDOS DE PRIVATE EQUITY NO CUSTO DE CAPITAL DE EMPRESAS BRASILEIRAS INVESTIDASSERGIO BRUNO DE ANDRADE QUEIROZ 19 May 2016 (has links)
[pt] Este trabalho, O impacto dos Fundos de Private Equity no Custo de
Capital de Empresas Investidas no Brasil, tem como objetivo analisar elementos
da teoria de Custo de Capital juntamente com elementos da teoria de Private
Equity/Venture Capital (PE/VC). Supõe-se que fundos de PE/VC têm influência
sobre o desempenho e sobre o valor de curto e longo prazo das empresas através
do impacto de suas iniciativas sobre o custo de capital de empresas investidas.
Neste trabalho o custo médio ponderado de capital é calculado a partir de
estimativas do custo de capital próprio obtidas pelo método CAPM (Capital Aset
Pricing Model) ajustado para o Brasil e a partir de estimativas do custo de dívida,
baseadas na proporção representada por despesas financeiras sobre o valor médio
de empréstimos, debêntures e arrendamentos de curto e longo prazo. A introdução
de uma variável dummy representando o investimento de fundos de PE/VC
permite identificar o impacto da atuação destes fundos no custo de capital, o que
contribuirá para a discussão acerca dos fatores que influenciam o custo de capital
de empresas brasileiras. As regressões estimadas sugerem que os coeficientes
obtidos para grande parte das variáveis explicativas são estatisticamente
significantes e confirmam a maioria dos sinais esperados. A variável dummy
introduzida para controlar os efeitos dos investimentos de fundos de PE/VC
mostra-se significativa ao nível de 10 por cento, com efeito positivo sobre o custo de
capital.Este resultado sugere que fundos de PE/VC podem constituir uma fonte
alternativa de financiamento que influencia o custo de capital a partir do impacto
sobre o custo de capital próprio. Os resultados deste trabalho contribuem para
integrar as teorias de custo de capital e de Private Equity/Venture Capital, a partir
de estimativas que auxiliarão gestores corporativos e da área financeira na decisão
acerca da fonte de financiamento mais adequada. / [en] The present study,The Impact of Private Equity Funds on the Cost of
Capital of Invested Companies in Brazil, tries to combine elements from the
theory of cost of capital with that of Private Equity/Venture Capital (PE/VC).
Apart from performance improvements, it is expected that PE/VC funds influence
short and long term valuation of companies through their influence in the cost of
capital for invested companies. The weighted average cost of capital is estimated
having the cost of equity based on adjusted Capital Asset Pricing Model
(CAPM)and cost of debt based on the ratio between financial expenses and
average loans, debentures and short and long term financial rents. The
introduction of a dummy variable to account for PE/VC investment will indicate
any impact of such participant on the cost of capital.The analysis of the impact of
PE/VC may add to the discussion on the factors that influence Brazilian
companies cost of capital.Estimated regressions show significant coefficients for
most of the explanatory variables and confirm most of the expected signs. The
dummy introduced to control for investment by PE/VC funds is significant at the
10 percent level with a positive influence on cost of capital. Such result indicates
PE/VC funds may constitute an alternative source of financing that will influence
the cost of capital on the equity share of that cost. Since studies carried out so far
have done little to integrate both cost of capital and PE/VC theories, a quantitative
estimate the impact of PE/VC on cost of capital will shed light on managers
decision of funding sources.
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Higher capital requirements and banks’ cost of capital : An empirical study of the Swedish major banksGunell, John, Åhlund, Niklas January 2017 (has links)
In the wake of the financial crisis the systemic importance of banks for the stability of the financial system became evident. Finansinspektionen classifies the banks Nordea, Skandinaviska Enskilda Banken, Svenska Handelsbanken and Swedbank as systemically important for the Swedish financial system. The Basel accords strive to increase the resilience of banks and the financial system by imposing stricter regulatory capital requirements. It is debated how these restraints affect the banks’ cost of capital which prompt the first research question of the study: How has the increase in regulation regarding the capital structure of banks affected Sweden’s major banks’ cost of capital? According to Modigliani & Miller a firm’s cost of capital is independent of its capital structure. The second research question is thus: Does the development regarding Sweden’s major bank’s cost of capital align itself with the Modigliani-Miller theorem? The purpose of the study is thus to assess how the increase in regulatory capital requirements have affected the Swedish major banks’ cost of capital and to what extent these developments align with the Modigliani-Miller theorem. The researchers utilizes a quantitative method and collected secondary data for the period 2008 to 2016 to answer the formulated hypotheses which are deduced from the theoretical framework. The results from the study illustrate significant correlations between increased regulatory capital requirements and the cost of capital. The authors can however not assert the irrelevance of capital structure for the banks’ cost capital but find that reduced tax shields only have modest effects on the banks’ cost of capital.
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Zmeny kapitálovej štruktúry v rámci životného cyklu podniku / Capital structure changes over business life cycleCentko, Milan January 2017 (has links)
The main aim of the thesis is to describe the decision-making mechanism of companies regarding the capital structure over the business life cycle. The study analyses the use of main capital structure theories in practice. Moreover it links the financial theory with the concept of business life cycle. Secondly, the thesis includes detailed comparative analysis of various sources of business financing and their costs, quantification of the costs of capital and analysis of any calculation inaccuracy of this parameter in practice. Finally, the thesis defines the fundamental decision-making formulas about the capital structure in individual phases of life cycle while using the relevant data. The thesis is, on the grounds of research, focused on the trade-off theory and relating calculation of optimal capital structure.
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Optimalizace kapitálové struktury a zhodnocení majetku vlastníků / Optimization of capital structure and shareholder's investment returnKudela, Petr January 2008 (has links)
Management of most of the companies pays substantially less attention to structure of raising capital, than to investing it. Sometimes managers forget that the value of the company can be increased not only through proper investments but also through choosing the right proportion of capital structure. There are many theories dealing with this issue. The best known, Miller-Modigliani theory considers as an optimal capital structure the one with the lowest weighted average cost of capital. This thesis is based on these theories and tries to apply them on Czech firm and its Brazilian daughter company.
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Náklady cizího kapitálu pro tržní ocenění podniku / Cost of debt in market business valuationPlíva, Jan January 2009 (has links)
The work deals with the role of cost of debt capital in the process of market valuation. Analyses used as a basis for determining the cost of debt, simple and advanced methods of cost of debt capital estimation, as well as the issue of determining the value of debt itself are explained. Further, the work briefly examines the impact of aspects that are not directly related to the credit quality of the firm on its cost of debt; by these aspects, legal conditions for interest payments tax deductibility and third-party guarantees are meant. The pivotal part of the work designs its own model for debt rating and a premium over the risk-free rate of return estimation, with the premium consisting of a premium for expected and unexpected loss of a potential creditor.
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Analýza kapitálové struktury podniku a možnosti její optimalizace / Analysis of company's capital structure and its optimalizationPagáčová, Šárka January 2013 (has links)
The diploma thesis "Analysis of company's capital structure and its optimization options" explores the choice of financial resources of the company. The aim is to summarize the main theories of capital structure optimization and present empirical studies on the factors that affect the choice of structure. Then practice the idea of optimizing the capital structure on chosen company. The practical part deals firstly with the recent development of the capital structure in the industry in which selected company operates. Followed by analysis of the cost of capital of the company itself. The analysis of the capital structure showed that companies in the Czech Republic in the NACE 28 during the years 2003 to 2012 increased the use of equity. Companies rarely finance their needs by long-term debt, more used is short-term debt. The cost of capital calculations of chosen company showed that the model of average cost of capital corresponds to the theory of MM II. Recommendations for the company's increase debt to achieve lower cost of capital.
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THE IMPACT OF OPERATIONAL RISK LOSS EVENT ANNOUNCEMENTS ON THE COST OF CAPITAL OF U.S. BANKSThompson, Rose M. 16 May 2014 (has links)
The purpose of this research is to examine whether U.S. banks that announced material operational risk loss (oprisk loss) events can still enjoy a lower cost of capital. I use the bank's credit rating as a proxy for the cost of debt capital, and the actual oprisk loss amounts announced by publicly traded U.S. banks for $10 million and over during the period 1998 to 2012 compiled from my own database. I also investigate whether the type of oprisk loss event and business line in which the loss event was incurred matter to credit rating agencies. I perform additional analysis to determine whether a downgrade in a bank's credit rating associated with the announcement of a material oprisk loss amount impacts the bank's reputation. This study focuses on the U.S. banking industry because of the increased market and regulatory scrutiny of oprisk losses; especially during the financial crisis of 2008 to 2010. The logistic analysis shows that banks' announcement of material oprisk loss amount is associated with a decline in credit ratings. The findings did not support the position that the type of loss event and business line in which the loss event was incurred matter to credit rating agencies. The results for the event study show that a downgrade in a bank's credit rating associated with an announcement of a material loss amount has a robust, statistically significant negative stock market reaction. Furthermore, the results reveal that the losses in market value significantly exceed the announced loss amounts associated with credit rating downgrades, indicating reputational loss to the banks. This research was limited to announcements of material oprisk loss amounts by U.S. banks publicly traded on major U.S. stock exchanges. Investigating the impact of announcements of material oprisk loss amounts by financial institutions publicly listed on major stock exchanges worldwide provides an avenue for future research. This study contributes to the literature on operational risk and the cost of debt capital as reflected in credit ratings by providing empirical evidence of the impact of oprisk losses on credit ratings of U.S. banks.
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Index revisions, market quality and the cost of equity capital.Aldaya, Wael H. January 2012 (has links)
This thesis examines the impact of FTSE 100 index revisions on the various aspects of stock market quality and the cost of equity capital. Our study spans over the period 1986¿2009. Our analyses indicate that the index membership enhances all aspects of liquidity, including trading continuity, trading cost and price impact. We also show that the liquidity premium and the cost of equity capital decrease significantly after additions, but do not exhibit any significant change following deletions. The finding that investment opportunities increases after additions, but do not decline following deletions suggests that the benefits of joining an index are likely to be permanent. This evidence is consistent with the investor awareness hypothesis view of Chen et al. (2004, 2006), which suggests that investors¿ awareness improve when a stock becomes a member of an index, but do not diminish after it is removal from the index. Finally, we report significant changes in the comovement of stock returns with the FTSE 100 index around the revision events. These changes are driven mainly by noise-related factors and partly by fundamental-related factors. / International Fellows Program, USA, (IFP) and American-Mideast-Educational and Training Services, Inc. (AMIDEAST).
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Determinants and consequences of attribution statements on corporate financial performance outcomes in the annual report. An empirical analysis of UK listed firms.Meier, Florian January 2012 (has links)
This thesis explores causal attribution statements on performance outcomes given
in annual reports of UK listed rms. The objectives are three-fold. First, it analyses
the nature and extent of attribution statements provided. Second, it explores
corporate governance factors and rm-speci c characteristics that are related to the
provision of attribution statements. Finally, it investigates the economic consequences
of providing attribution statements by examining their association with the rm's cost
of equity capital.
Using data drawn from a sample of 142 UK rms listed on the London Stock
Exchange, content analysis was used to measure the extent of attributions in the
annual reports for the year 2006. The results show that the volume of attribution
statement provision is generally low and variation across rms is low. Firms also show
a strong tendency to explain performance with internal rather than with external
reasons. The results from regression analysis show that the volume of attribution
statements and the space given to internal and external attribution statements is
associated with the proportion of non-executive directors, director share ownership,
audit committee size, market value, gearing, pro tability and new share issues.
With respect to the relationship between the attribution statements and the cost
of capital, the PEG model was employed to estimate the cost of equity capital. The
ndings indicate an association between attribution statement provision and the cost
of equity capital, but only for rms with low analyst following. For these rms,
more extensive performance explanations and more extensive internal explanations
are associated with a higher cost of equity capital. However, attribution statements
are unrelated to the cost of equity capital for rms with high analyst following.
The thesis makes two contributions in the area of attribution determinants. First,
it measures attribution provision with a measure that has not been previously applied
in the literature to measure attribution statements. Second, it provides evidence
on how rm-speci c characteristics and the rm's corporate governance mechanisms
in uence the extent and the type of performance explanations provided by rms.
The thesis makes four contributions regarding the e ect of attribution statements
on the cost of capital. First, it uses a quantitative approach to directly estimate the cost of capital e ects of attribution statements. Second, it provides evidence that the
association between attribution statements and the cost of equity capital is in uenced
by an interaction between attribution statements and analyst following. Third, the
thesis provides the rst evidence of the relationship between attribution statements
and the cost of equity capital in a UK setting. Fourth, it provides evidence that
the relationship between disclosure and the cost of equity capital is complex and is
in uenced by interactions between disclosure and information intermediaries.
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