Este trabalho descreve as práticas usuais dos avaliadores de ativos do mercado brasileiro ao estimar o valor do custo de capital próprio na composição da taxa de desconto dos fluxos de caixa a ser empregada no método do Fluxo de Caixa Descontado. O estudo consiste de duas etapas principais. Na primeira foi feito um delineamento descritivo, explicitando-se quais são os métodos utilizados na estimação do custo de capital próprio, e como são obtidos os parâmetros que alimentam esses métodos. Na segunda fase do trabalho, foram realizados testes de hipótese de relações entre variáveis pertinentes no processo de estimação da taxa de desconto do capital próprio, buscando entender as relações de causa e efeito dos fenômenos presentes no processo. Para que os objetivos desejados fossem alcançados nas fases citadas, foi realizado um levantamento de dados primários, no qual se obteve uma amostra de 93 avaliações realizadas entre 2002 e 2006, tendo sido a sua maioria, aproximadamente 70%, realizadas em 2006. Em seguida foi feito um tratamento estatístico dos dados levantados, utilizando-se o aplicativo SPSS versão 13.0, com o propósito de agrupar e quantificar os resultados obtidos e de estabelecer relações pertinentes entre as variáveis envolvidas no processo de estimação do custo do capital próprio. Ao final, os resultados atingidos mostram a predominância de duas metodologias distintas: o CAPM e o Método de Prêmios de Risco. Para cada um dos métodos observou-se um padrão predominante de determinação dos parâmetros que viabilizam a metodologia. Além disso, foi verificada a existência de um forte viés de posição do avaliador ao selecionar quais fatores de risco incluir na metodologia. Uma análise derradeira da formação da taxa de desconto mostrou a sua forte relação com o porte do ativo avaliado, o que ratifica o conceito já preconizado em diversas publicações sobre o assunto, de que o prêmio por porte do ativo avaliado é um fator a ser levado em consideração. / This work describes the usual practices of asset valuators in Brazilian Market when estimating the equity capital cost used to compose the cost of capital to discount future cash flows through the Discounted Cash Flow Method. The study consists of two main blocks. Firstly, a general guideline was constructed, explaining the principal methods used for equity cost estimation and how these methods? parameters are obtained. In the second phase of the study, hypothesis tests concerning relations among relevant variables of the process were carried out, searching to identify the cause-effect relations among the phenomena present in the process. So that the objectives were reached in the mentioned phases, a primary data survey was carried out, obtaining a sample of 93 valuations made between 2002 and 2006. About 70% of these valuations were appraised in 2006. Therefore, a statistic data analysis took place with use of SPSS 13.0 version, with the objective of grouping and quantifying the survey results and also set relevant relations among involved variables in the equity cost of capital estimation. In the end, the main results show a predominance of two distinct methodologies: CAPM and Build-up Models. For each of them it was possible to identify a predominant standard of parameter estimation. Besides that, it was possible to verify the existence of a strong position bias on the analyst part, when deciding which risk premia to consider in the model. A final analysis of the discount rate composition showed strong relation with the appraised asset size, which confirms the popular concept in many publications, that size premium is a risk factor to be taken into account when valuating assets.

This thesis consists of three empirical essays studying the capital market implications of the accounting for R&D costs. The first empirical study (Chapter 2) re-visits the debate over the positive R&D-returns relation. The second empirical study (Chapter 3) examines the risk relevance of current R&D accounting. The third empirical study (Chapter 4) explores the joint impact of R&D intensity and competition on the relative relevance of the idiosyncratic part of earnings. Prior research argues that the positive relation between current R&D activity and future returns is evidence of mispricing, a compensation for risk inherent in R&D or a transformation of the value/growth anomaly. The first empirical study contributes to this debate by taking into account the link between R&D activity, equity duration and systematic risk. This link motivates us to employ Campbell and Vuolteenaho (2004)'s intertemporal asset pricing model (ICAPM) which accommodates stochastic discount rates and investors' intertemporal preferences. The results support a risk based explanation; R&D intensive firms are exposed to higher discount rate risk. Hedge portfolio strategies show that the mispricing explanations is not economically significant. The second empirical study contributes to prior research on the value relevance of financial reporting information on R&D, by proposing an alternative approach which relies on a return variance decomposition model. We find that R&D intensity has a significant influence on market participants' revisions of expectations regarding future discount rates (or, discount rate news) and future cash flows (or, cash flow news), thereby driving returns variance. We extend this investigation to assess the risk relevance of this information by means of its influence on the sensitivity of cash flow and discount rate news to the market news. Our findings suggest R&D intensity is associated with significant variation in the sensitivity of cash flow news to the market news which implies that financial reporting information on R&D is risk relevant. Interestingly, we do not establish a similar pattern with respect to the sensitivity of discount news to the market news which may dismiss the impact of sentiment in stock returns of R&D intensive firms. The third empirical study examines the effect of financial reporting information on R&D to the value relevance of common and idiosyncratic earnings. More specifically, we investigate the value relevance of common and idiosyncratic earnings through an extension of the Vuolteenaho (2002) model which decomposes return variance into its discount rate, idiosyncratic and common cash flow news. We demonstrate that the relative importance of idiosyncratic over common cash flow news in explaining return variance increases with firm-level R&D intensity. Extending this analysis, we find that this relation varies with the level of R&D investment concentration in the industry. Those results indicate that the market perceives that more pronounced R&D activity leads to outcomes that enable the firm to differentiate itself from its rivals. However, our results also suggest that the market perceives that this relation depends upon the underlying economics of the industry where the firm operates.

This diploma thesis is concerned to the valuation of the firm. The result of the valuation process should be the investment value. The thesis is divided into the 4 parts. The first 2 parts are concerning to the analyses of the firm -- financial and strategic. Their aim is to set the financial health and growth potential. In the next part of the thesis are described and predicted the value generators, the main economic characteristics creating the value of the firm. Based on their prediction is determined the financial plan as the base for the valuation. The last part of the thesis consists from the setting of discount rate, which will be on the level of the opportunity costs of the shareholders, and valuation of the firm through the discounted cash flow to the equity model. Additionally will be determined the book value and the value by market comparison.

This master thesis intents on analysing of economic efficiency of the investment project. Theoretical part of the thesis describes particular periods of the investment decision, what compromise a definition of more types of investments, investment projects and their classification. At the practical part of this thesis is applied the theoretical knowledge to evaluation of the planned investment, then is analysed the most profitable of the evaluated alternates and the last step is to propound next measure for the succesful realization of the project.

Předmětem diplomové práce je vyhodnocení investičního návrhu do zahraničí. V teoretické části práce je důraz kladen na analýzy, jež pomáhají popsat okolí a průmysl v zemi investice. Je zde dána definice přímé zahraniční investice a práce se zmiňuje i o historii. Hlavní náplní teoretické části je příprava investice, způsoby vyhodnocení a stavba cash flow. Poslední kapitola se zabývá riskem, který vyplývá ze změn v kurzech měn. V teoretické části je provedena analýza PESTLE a Portrův model pěti sil. Jsou popsány přímé zahraniční investice v Německu a v neposlední řadě je vyhodnocena zamýšlená investice.

Diploma thesis deals with options of development of the transport company MK Doprava. Using strategic analysis evaluates his current position and suggest realisation of investment project, whose economic efficiency is measured by net present value method.

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近年來，生物技術的快速進步，逐漸被公認為是繼資訊產業之後最具發展潛力的產業。生技產業不同於傳統的製造業或電子產業，前者之進入障礙高、產品研發時程長及研發投入成本高。雖然生技產品開發成功後，投資報酬率高、產品的生命週期長，但由於其研發過程較長，具有相當高的不確定性，加上研發的失敗率高，致使生技產業成為投資風險極高的產業。 生技產業屬於知識密集的知識型產業，其主要價值來自於研發創新的無形資產，而難以傳統的評價方法及標的來估算。因此，探討如何評估生技公司的價值，是本研究之主要目的。 本研究範圍以「生技醫藥產業」為研究重點，生技產業的應用範圍包括醫藥開發、醫療器材、診斷試劑、農業生技、健康食品及生技服務業等領域。醫藥品的開發是生物技術最早應用的領域，目前全球生技產業中，也以生技醫藥領域的市場最大，是目前發展較為成熟且成功的領域。 但因生技醫藥公司之投資的評估考量與傳統評價模式有差異，生技醫藥公司之營運，通常需要先投入數年的研發，開發出具有市場潛力的產品或技術、並取得專利後，再透過授權或合作方式，向有意承接之單位或藥廠收取前期金(up-front payment)或研究經費(research fund)，以及收取各階段的里程金(milestone payment)，待產品成功上市後，生技醫藥公司再依銷售金額，分配到一定比率的授權金。上述的收入或獲利過程，往往長達4到7年，而其收入結構因合作模式的差別而有不同的組合變化。如果依一般公認的會計原則認列損益，將造成公司某一年有一大筆收入，但接下來幾年收入可能都掛零的現象。不但無法反映生技公司的真正營運狀況，亦可能造成投資人或主管單位的誤解，這正是生技公司價值無法依傳統評價模式進行評估的原因。 然而，究竟應該如何對一生技公司進行評價？本研究使用目前最佳的生技公司評價方法：風險調整淨現值法(rNPV)，並以一個案公司為題，探索生技醫藥產業的投資與評價過程。此法的評估結果，對生技公司的現有價值，即使仍在R&D的早期階段，仍能運用於生技公司投資、授權、取得等交易之需要。 關鍵字：生技產業、公司評價、風險調整淨現值、折現率 / Due to the rapid growth of the biotechnology industry, it is now considered the hottest industry after the information technology industry. Unlike the traditional production industry (the labor intensive) or the electronic industry, the biotechnology requires higher R&D costs, and usually the life span of its product lasts longer, which leads to a certain barrier in this particular field. Although the return of investment tends to be profitable if the product succeeds, yet the lengthy R&D process still makes the business highly risky. The innovation of intangible assets is the main value of biotechnology; in other words, this is a knowledge-intensive industry, and it is hard to measure the potential risks and returns through traditional evaluation models. Hence, the main purpose of this study is to evaluate how a biotechnology company is worth. This study will be mainly focus on “Bio-Pharmaceutical”, which includes New Drugs, Medical Devices and Instruments, Diagnostic Reagents and Platforms, Agricultural Biotech, Health Care Products, and Contract Services. A large number of biotechnology companies have viewed pharmaceuticals as their target market since 1997. Cleary, the Bio-Pharmaceutical is regarded as the mainstream of this industry. Owing to the different models of evaluation as mentioned earlier, biotechnology industry is different from the traditional ones. Biotech companies usually need to go through a long-range research process before developing a success product or technique, and they will usually authorize the selling rights to a partner in order to demand the up-front payment, research funds, and the follow up milestone payments. If the product hits the market, the companies will be paid with a certain ratio royalty. The process generally takes about 4 to 7 years, and the revenue varies depending on the partnership. It is possible for a company to have a huge gain in one particular year and then a deficit for the coming years if the financial condition is viewed from the general accepted accounting principles. Not only does it not reflect the real situation of a biotech company, but also misleads investors and regulatory authorities. This is why the value of a biotech company needs to be reconsidered in different ways, not the traditional ones. How, then, can we put a price tag on biotechnology? The best solution is to evaluate a biotechnology by estimating its risk-adjusted net present value (rNPV). To illustrate the rNPV method, the study has created a hypothetical scenario. Through the case study, we have arrived at a realistic value of a bio-company even at early R&D stages. Using the rNPV, researchers and potential investors can price the bio-company that they are considering selling, investing in or acquiring. Keywords：Biotechnology Industry、Evaluation、rNPV、Discount Rate

Baigiamajame magistro darbe nagrinėjami tarptautiniame versle veikiančių įmonių vertinimo ypatumai ir pasiūlomas tinkamiausias metodas, tokioms įmonėms vertinti. Pirmoje darbo dalyje yra analizuojami tarptautinio verslo ypatumai, išskiriant politinę ir valiutų kursų svyravimo riziką, verslo vertinimo esmė, seniau žinomi ir naujai sukurti verslo vertinimo metodai ir parenkamas metodas, kuris geriausiai tinka tarptautiniam verslui vertinti. Antroje dalyje analizuojamas diskontuotų pinigų srautų metodo tinkamumas tarptautiniam verslui vertinti ir šio metodo etapai, išskiriant pinigų srautų nustatymą, diskonto normos apskaičiavimą, tęstinės vertės ir pinigų srautų diskontavimą. Didžiausias dėmesys skiriamas diskonto normos apskaičiavimui. O trečioje dalyje atliekamas praktinis tarptautinio verslo vertinimas tarptautinėje alkoholinių gėrimų rinkoje veikiančios Lietuvos įmonės AB „Stumbras“ pavyzdžiu. Šiame etape yra atlikta pasaulio, Europos ir Lietuvos alkoholinių gėrimų rinkos ir Lietuvos makroekonominės situacijos analizė, įmonės konkurencinė ir SWOT analizė, įvertinta įmonės 2002–2009 metų finansinė būklė, naudojant vertikaliąją, horizontaliąją ir santykinę analizę, nustatyta įmonės vertė ir nustatyta, kurie veiksniai daro didžiausią įtaką verslo vertei. Darbo pabaigoje pateikiamos išvados ir siūlymai. Darbą sudaro 6 dalys: įvadas, teorinė dalis, diskontuotų pinigų srautų metodo tinkamumo tarptautiniam verslui vertinti analizė, tarptautinio verslo vertinimas AB „Stumbras“... [toliau žr. visą tekstą] / In this final master thesis are analyzing international business evaluation features and suggested the best method to evaluate international business. In the first part of the work are analyzed international business features, highlighting the political and currency fluctuation risks, business evaluation aspects, long established and newly developed business evaluation methods and selected the method which is best suited to evaluate international business. In the second part of the work is analyzed the feasibility of discounted cash flow method to evaluate international business and the steps of the method, highlighting the determination of cash flows, the discount rate calculation, continuous value and cash flow discounting. The focus is on discount rate calculation. In the third part of the work is done the practical business evaluation of Lithuanian company AB „Stumbras“ which is working in the international alcohol sphere. In this stage is given the characterization of world, Europe and Lithuanian alcohol drinks sectors. Also there is analyzed the Lithuanian macroeconomics situation. There is performed company competitive and SWOT analyze. Also there is done company’s financial analyze (vertical, horizontal and financial ratio analyze), determined the company value and factors which have the greatest impact to business value. Structure: introduction, theoretical part, discounted cash flow feasibility to evaluate the international business analyze, practical international... [to full text]

[pt] O Prêmio de Risco do mercado acionário, infelizmente, não possui uma definição universalmente aceita. O material já publicado sobre o tema Prêmio de Risco do mercado acionário é muito vasto e abrangente, abordando desde análises ex- post sobre dados históricos (com diversos períodos amostrais, intervalos de observação, fatores de ajuste e em diversos países) até estimativas do prêmio ex-ante através dos mais variados modelos baseados em variáveis tais como aversão a risco, crescimento do consumo, dados contábeis e dividend yield, entre outros. O objetivo desta dissertação será analisarmos uma condensação das várias abordagens utilizadas, seus resultados e contribuições. Frente as significativas diferenças encontradas ao se computar o prêmio de risco, é fundamental o usuário da estimativa do prêmio de risco saber claramente qual a definição usada na estimativa e por que tal definição seria apropriada para seu propósito particular. No final dessa dissertação realizaremos uma estimativa do prêmio de risco no Brasil com base em um estudo de 1993 realizado pela McKinsey e Company, Inc. / [en] Unfortunately, there is no universally accepted definition of the Equity Risk Premium. Available material on the theme are very broad and deep, ranging from ex-post analysis on historical data -with distinct samples in different time periods- to ex-ante estimates of the equity premium making use of several models based in variables such as risk aversion, consumption growth, accounting data and dividend yield, among others. The objective of this paper will be to analyze a compilation of several approaches taken, their results and contributions. In face of the significant differences presented when computing the equity premium, it is key for the investor who will make use of the equity premium estimate to know clearly which definition of the premium he will be using and why is that definition appropriate for his particular purpose. In the final chapter we will estimate the equity risk premium in Brazil based on a study developed in 1993 by McKinsey and Company, Inc.