企業創造價值的來源由傳統的有形資產如土地、廠房和設備等，轉變為無形的智慧資本，然而一般公認會計原則將創造智慧資本的投入視為費用加以處理，使得企業之帳面價值與市場價值的差距日益增加，公司的管理當局及投資人在評價時面臨重大困難，因而有效的智慧資本評價方式變得十分重要。本研究目的即在探討，採用收益基礎的評價模式下，何種資金成本估計方式所估計之資金成本較能有效反應投資人在考慮企業智慧資本之特性和風險後，所要求的必要報酬率，而使得以該資金成本作為折現率，估計企業智慧資本價值，所估計之結果較能反映企業之市場價值。本研究以Fama and French之三因子模式、益本比法以及市場模式估計企業之資金成本，實證結果發現如下： （1）不同資金成本估計方式所估計之結果存有一定程度的差異，而以不同資金成本估計方式所估計之資金成本作為折現率所計算之企業智慧資本價值亦有一定程度的歧異。 （2）三種估計企業資金成本的方式中，僅有Fama and French之三因子模式企業之Beta值呈正相關，而與公司規模呈負相關，為有效的資金成本估計方式。 （3）複迴歸分析結果發現，以三種方式所估計之資金成本作為折現率計算之智慧資本價值均對企業價值具有價值攸關性，而以三因子模式所估計之資金成本作為折現率計算之結果價值攸關性較高。 （4）若將企業依研發支出密度加以區分，在低研發支出密度公司中，以益本比法所估計之折現率計算之智慧資本價值攸關性最高；而在高研發支出密度以及零研發支出密度公司中均以三因子模式所估計之折現率計算之結果價值攸關性較高。 / Intellectual capital has become the origin of value of a company. But traditional GAAP views investment that is helpful to the value of untellectual capital such as R&D and advertisement as expenses, the gap between the book value and the market value of a business has become larger. This study confer that if we value a business through income-based method, what kind of estimated method of cost of capital should we use to make the estimated value of intellectual capital reflect the value of a business more efficiently. In this study we estimated cost of capital using three estimated method: factor model of Fama and French, earning to price ratio(E/P ratio), and market model, and we find: 1.If we use different kind of estimated methods, the estimated cost of capital can be different from each other. And if we use different kinds of cost of capital as discount rate, the estimated value of intellectual capital can be different from each other too. 2.Only the cost of capital that estimated through three factor model can be a effective method to estimate cost of capital of a company. 3.The value of intellectual capital can reflect the market value of the company when we use the cost of capital estimated through factor model, E/P ratio, and marlet model as the discount rate, and the result of Wald test suggest that using the cost of capital estimated by factor model as the discount rate to calculate the value of intellectual capital can reflect the market value more effeciently than others. 4.If we divide our sample into three group using the density of their R&D expenditure, we find that the cost of capital estimated by factor model can be the most efficient if a company has a higher R&D orzero expenditure.

[pt] Empresas não listadas em bolsa de valores exigem uma análise diferenciada em relação às companhias listadas a fim de determinar o valor justo de suas ações. Isso ocorre devido às dificuldades de diversificação e transparência das transações envolvendo empresas de capital fechado, onde apenas poucas transações são executadas ou conhecidas e não há muitos compradores e vendedores. Ademais, o preço final de ativos não listados é arbitrário e as assimetrias de informação dificultam o cálculo do valor justo. Apesar de inúmeros estudos em outros países comprovarem a existência de um desconto no valor em que companhias fechadas são transacionadas vis-à-vis seus pares listados na bolsa de valores, não existem pesquisas focando o mercado brasileiro. Neste sentido, esta dissertação utiliza informações sobre fusões e aquisições do mercado brasileiro no período entre janeiro de 2000 a julho de 2013 com o objetivo de calcular o desconto entre companhias fechadas e abertas. / [en] Private companies demand a differentiated analysis towards private enterprises in order to determine the fair price of its shares. This happens because of the diversification and transparency difficulties related to the private companies transactions, where only a few deals are executed or known and there are not many buyers and sellers. Moreover, the final price of a non-listed asset is arbitrary and the information asymmetries raise obstacle to the fair value calculations. Even though many studies in several countries confirm the existence of a discount between the value of a private company versus its stock market listed peers, there are no researches focusing in the Brazilian market. In this regard, this thesis uses the local market merger and acquisitions information occurred in the period between January of 2000 and July of 2013, with the purpose to estimate the discount between private and public companies.

Submitted by Laura Simonsen Leal (arula@fgvmail.br) on 2016-06-22T12:59:34Z No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-06-22T13:18:16Z (GMT) No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-06-29T13:38:50Z (GMT) No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) / Made available in DSpace on 2016-06-29T13:39:56Z (GMT). No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) Previous issue date: 2016-03-21 / The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente (2016), which rely in solving dual minimization problems of Cressie Read discrepancy functions in spaces of probability measures. Due to the recently documented robustness of the Hellinger estimator (Kitamura et al., 2013), we adopt within the Cressie Read family, this specific discrepancy as loss function. From this choice, we derive a minimum Hellinger risk-neutral measure that correctly prices an observed panel of hedge fund returns. The estimated risk-neutral measure is used to construct our tail risk measure by pricing synthetic out-of-the-money put options on hedge fund returns of ten specific categories. We provide a detailed description of our methodology, extract the aggregate Tail risk hedge fund factor for Brazilian funds, and as a by product, a set of individual Tail risk factors for each specific hedge fund category.

Given the wide range of macroeconomic, financial and econometric frameworks commonly used to accommodate uncomfortable empirical evidence associated with the Forex market, this article aims to model and predict the monthly variation in American Dollar-Brazilian Real exchange rate, from January 2000 to December 2009, based on asset pricing theory. Wang (2008) and Engel and West (2005) are closer to ours, in terms of fundamentals of finance, while methodologically, we are close to Chong, Chung and Ahmad (2002) and da Costa et al. (2010). Our work is relevant to the empirical literature, since the prediction results are better than the random walk approach ones. The prediction error is about 5% and 14% for the exchange rate variation and in level, respectively. In 57.5% of the changes, our model predicts the correct change direction. The main contribution based on this framework, already used to understand the Forward Premium Puzzle for advancedeconomies, consists in the derivation and the implications of a system of linear relationships characterized by a Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M), useful empirically, once we have extracted a time series for a Stochastic Discount Factor (SDF) able to price the covered and the uncovered trading with U.S. Government bonds. The results suggest to the theoretical literature that, at least for monthly frequency, one should not omit the temporal variation of conditional moments of the second order. The hypothesis about the lognormal distribution of discounted returns and a parsimonious specification for conditional Heteroskedastic models can influence the predictive power of SDF, as well as the effects of the inclusion of risk premium. / Diante da vasta gama de arcabouÃos macroeconÃmicos, economÃtricos e financeiros que visam acomodar evidÃncias empÃricas desconfortÃveis associadas ao mercado cambial, este artigo visa modelar e prever a variaÃÃo mensal entre as moedas real brasileiro e dÃlar americano, de janeiro de 2000 a dezembro de 2009, baseado na teoria de apreÃamento de ativos. Este estudo agrega-se à literatura empÃrica, ao obter resultados preditivos superiores a um modelo de passeio aleatÃrio, com erros de previsÃo da ordem de grandeza de 5% e 14% para depreciaÃÃo e para o cÃmbio em nÃvel, respectivamente, e um acerto em 57,5% das vezes com relaÃÃo à direÃÃo da variaÃÃo cambial. Alinhado em fundamentos a Wang (2008) e Engel e West (2005) e metodologicamente a Chong, Chung e Ahmad (2002) e da Costa et al. (2010), a principal contribuiÃÃo no uso deste arcabouÃo, jà utilizado no entendimento do Forward Premium Puzzle para economias avanÃadas, consiste na derivaÃÃo e nas implicaÃÃes de um sistema de relaÃÃes lineares caracterizado por um Generalized Autoregressive Conditional Heteroskedasticity-in- Mean (GARCH-M) bivariado, o qual pode ser testÃvel, a partir da extraÃÃo via componentes principais da sÃrie temporal para um Fator EstocÃstico de Desconto capaz de apreÃar operaÃÃes coberta e descoberta de aquisiÃÃo de tÃtulos do governo americano. Os resultados sugerem, ainda, à literatura teÃrica que, ao menos para frequÃncia mensal, nÃo se deve desprezar a variaÃÃo temporal dos momentos condicionais de segunda ordem. A hipÃtese sobre a distribuiÃÃo lognormal dos retornos descontados e uma especificaÃÃo parcimoniosa para modelos de heterocedasticidade condicional podem prejudicar a capacidade preditiva associada do Fator EstocÃstico de Desconto, assim como os efeitos da incorporaÃÃo do prÃmio de risco.

Submitted by Fernando Luiz Cordeiro (fernandolpcordeiro@gmail.com) on 2018-06-22T20:12:54Z No. of bitstreams: 1 SDFDecomposition_finalv.pdf: 845158 bytes, checksum: 5ceb09364caa557c2198d20e41ee5522 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-06-29T19:55:51Z (GMT) No. of bitstreams: 1 SDFDecomposition_finalv.pdf: 845158 bytes, checksum: 5ceb09364caa557c2198d20e41ee5522 (MD5) / Made available in DSpace on 2018-07-02T18:21:34Z (GMT). No. of bitstreams: 1 SDFDecomposition_finalv.pdf: 845158 bytes, checksum: 5ceb09364caa557c2198d20e41ee5522 (MD5) Previous issue date: 2018 / In this work, we use the framework developed by Christensen (2017) and Hansen and Scheinkman (2009) to study the long-term interest rates in the US and Brazil. In our first set of results, we assess Christensen (2017) estimator using Monte Carlo simulations in order to evaluate the estimator performance in the rare disasters and habit formation asset pricing models. Generally, the estimation quality is not uniform and, in some cases, requires a large sample size to attain reasonable results. Next, we apply the nonparametric estimation to US and Brazilian data and estimate how the yield of a long-term zero-coupon bond responds to the initial state of the economy. Using a flexible specification for the state process leads to an interesting non-linear response of the yield to changes in the initial state. We find that the Brazilian long-term interest rate is about 5.3% per year.

The aim of the thesis is to decide, whether to invest in the shares of E4U, a. s. as of January 1st, 2016. The work is divided into several parts, which can be grouped in notional terms into thirds. The first one deals with the analysis of the surveyed company, from the macroeconomic environment and its development, in which the subject is working, to the internal financial strength. The second third is devoted to the forecast of the future of the company, which is shown in its financial plan. The last part, which is developed in 3 scenarios to see how the results can change, deals with the determining of the possible length of the investment and its expected return.

The topic of this thesis is valuation of selected e-shop. The  theorethical knowledge including the keyword definitions and details of  valuation methods will be worked out and processed in this thesis. These  findings will be stated in theoretical part of this thesis. The practical  part will address the actual valuation of e-shop. The practical part  will include several analyzes such as strategic and financial analysis.  There will be created three variants of the financial plan – realistic,  optimistic as well as pessimistic version. The aim  is to determine the subjective value of e-shop on the date January 1st,  2013.

The purpose of this thesis is valuation of the Zentiva, k.s. enterprise. The value of this enterprise will be determined as of 1.1. 2014, using the discounted free cash flows valuation method. This thesis is divided into a theoretical and a practical section. The theoretical section acquaints readers with the key terms and methods used during valuation. The theoretical section includes a chapter about the pharmaceutical industry and will familiarise readers with current factors influencing this sector, such as price regulation in the field of medicaments, demographic development, life style and others, which have significant impact on determining the company's final value. The practical section consists of a description of Zentiva, k.s., a strategic analysis, financial analysis, execution of a financial plan and, finally, actual valuation. The result of this thesis is valuation of the enterprise, taking into account socio- economic factors to determine its final value.

This diploma thesis deals with the estimation of the market value of the company, which has long been active in the bakery market. The aim of this diploma thesis is to find the market value of JIZERSKÉ PEKÁRNY spol. S.r.o., which would reflect the real situation on the bakery market. The conclusion of the thesis should be a range of values and justification. The diploma thesis is divided into financial analysis, strategic analysis, value generators, financial plan and final evaluation. The first part of the thesis deals with the analysis of the valued company and selected competitors. Financial analysis attempts to justify the amount and changes of values, including comparison with competitors and the value creation test. The strategic analysis focuses on the internal and external potential of the valued business. In terms of internal potential, especially in comparison with competitors, the external potential emphasizes the description of the position of the valued company in the Czech Republic market. The financial plan is based on the analysis and prognosis of the value generators. The final valuation method uses standard yield valuation methods and, in a simplified version, valuating in accounting value.

The topic of the thesis is valuation of insurance companies. The thesis is separated into two parts, theoretical and practical. The theoretical part of the thesis describes characteristics of the insurance sector and its specific aspects that play significant role in the operation of insurance companies as well as economical and financial analysis necessary for valuations. Financial ratios used in financial analysis of insurance companies, their interpretation and methods used for valuation are also presented in this part. The practical part of the thesis then describes two methods of valuation, their application and comparison.