<p>Bakgrund: Den mest använda värderingsmodellen för noterade bolag är diskonterat kassaflödes analys. Denna modell kräver dock att ett avkatnings krav beräknas, vilket oftast beräknas med CAPM. En av variablerna i CAPM är beta, vilket är ett matt på risk. Betavärdet beräknas oftast genom att jämföra en enskilds akties volalitet med ett index. Detta kräver dock att bolaget är noterat på en aktie markand. </p><p>Syfte: Syftet med denna uppsats är att undersöka vilka metoder det finns för att värdera onoterade bolag och att avgöra vilken modell som ger det mest realistiska värdet samt är minst subjektivt. </p><p>Genomförande: Jag har läst böcker tidskrifter och artiklar om detta ämne. Jag har också genomför djupintervjuer med personer som jobbar med värdering samt gjort ett test av de olika modellerna. </p><p>Resultat: Kassaflödes analysen är den bäst modellen för att värdera onoterade bolag, dock måst ett tillägg för storleks premie, illikviditet och osystematisk risk göras i avkastningskravet.</p> / <p>Background: The most frequently used valuation method for traded firms is the Discounted Cash Flow Analysis. The required rate of return used to discount the cash flows for traded firms is calculated by the CAPM. One of the variables in the CAPM is beta, which is a measure of risk. Normally the beta is calculated by comparing the volatility of a stock compared to an index over a period of time, however this requires that the company is traded on the stock market.</p><p>Purpose: The purpose of this thesis is to examine which methods there are to value non traded firms, and also determine which method that gives the most reasonable value and is the least affected by the appraiser’s own judgment.</p><p>Realization: I have read books, journals and articles about this subject. I have also made in depth interviews with professionals and made a test of four different valuation methods.</p><p>Results: The Discounted Cash Flow Analysis is still the gives the most objective and reasonable valuation. However a number of adjustments have to be made due to the unique characteristics of non traded firms.</p>

Bakgrund: Den mest använda värderingsmodellen för noterade bolag är diskonterat kassaflödes analys. Denna modell kräver dock att ett avkatnings krav beräknas, vilket oftast beräknas med CAPM. En av variablerna i CAPM är beta, vilket är ett matt på risk. Betavärdet beräknas oftast genom att jämföra en enskilds akties volalitet med ett index. Detta kräver dock att bolaget är noterat på en aktie markand. Syfte: Syftet med denna uppsats är att undersöka vilka metoder det finns för att värdera onoterade bolag och att avgöra vilken modell som ger det mest realistiska värdet samt är minst subjektivt. Genomförande: Jag har läst böcker tidskrifter och artiklar om detta ämne. Jag har också genomför djupintervjuer med personer som jobbar med värdering samt gjort ett test av de olika modellerna. Resultat: Kassaflödes analysen är den bäst modellen för att värdera onoterade bolag, dock måst ett tillägg för storleks premie, illikviditet och osystematisk risk göras i avkastningskravet. / Background: The most frequently used valuation method for traded firms is the Discounted Cash Flow Analysis. The required rate of return used to discount the cash flows for traded firms is calculated by the CAPM. One of the variables in the CAPM is beta, which is a measure of risk. Normally the beta is calculated by comparing the volatility of a stock compared to an index over a period of time, however this requires that the company is traded on the stock market. Purpose: The purpose of this thesis is to examine which methods there are to value non traded firms, and also determine which method that gives the most reasonable value and is the least affected by the appraiser’s own judgment. Realization: I have read books, journals and articles about this subject. I have also made in depth interviews with professionals and made a test of four different valuation methods. Results: The Discounted Cash Flow Analysis is still the gives the most objective and reasonable valuation. However a number of adjustments have to be made due to the unique characteristics of non traded firms.

A private company lacks a direct observable market value and several situations may require a practitioner to compute the value of a private company. Since most of the valuation methods in use are based on data derived from the public stock markets certain adjustments may be appropriate when valuing a private company. Marketability and liquidity is said to be one of the more observable differences between a public and a private company. This implies that the shares in a private company have a lack of marketability and liquidity in comparison to the shares in a public company, which practitioners may have to adjust for. Several quantitative studies are conducted on the subject in order reassure price differences between public and private companies, namely a private company discount (PCD). Furthermore, several quantitative studies strive to establish a general and standardized cost for lack of marketability (liquidity) expressed as the illiquidity discount or the discount for lack of marketability (DLOM). These studies have different perceptions and use different hypothesis to identify illiquidity, which in turn will lead to a large span of different discounts. Essentially, earlier research examines assets marketability and liquidity with the assumption of them being equal in all other aspects. Professional practitioners constantly seek guidance in these studies to justify their estimated and applied illiquidity discount/DLOM when performing a valuation on a privately held company. Furthermore, we have also observed survey-studies adopting a more qualitative method in order to appreciate the level of discounts applied in a valuation by professional practitioners. Consequently, this sea of studies provides the practitioner with a discount that ranges from 5% to 60% to take a stand on. The impossibility to determine the most adequate theory contributes to the inconsistency of how this issue is handled in reality by market participants and courts. In our study we first provide the reader with a rigorous literature study, which describes earlier research on the subject of illiquidity discount/DLOM. We conclude that research has gone one step too far when conducting all of these quantitative studies. This is why we conduct our own empirical data through semi-structured in-depth interviews with professional valuation experts on the Swedish market. This makes our approach a retake on the issue in order to generate suggestions to further studies. What we find is that all of the independent consultants, primarily, does not apply a discount when valuing a majority interest due to the paradigm on the Swedish market. In contrast, the private equity fund manager, which only acquires majority interest, can use this type of discounts in their dependent valuation of majority interests. However, when valuing a minority interest the independent valuation consultants use quantitative empirical studies to derive a starting point of the discount. The level of the discount is then estimated upon the purpose of the valuation and firm-specific variables, which all of the participant’s states to be the most important ones when estimating a illiquidity discount/DLOM. Based on these results we argue that one should be very careful when taking guidelines from quantitative empirical studies. Our interpretation is that the level of illiquidity/DLOM applicable depends on the level of attractiveness, which in turn has a bearing on all firm-specific variables. When it comes to applying the appropriate discount all of the participants argue in favor for a discount-on-value and not as some research suggest; a risk premium added to the discount rate. We also generate adequate suggestions to further studies based on these interviews. Since courts and in particular the Swedish tax-court is inconsistent when approving or rejecting illiquidity discounts/DLOM we suggest legal actions on the issue. Furthermore we suggest a survey-like study in order to catch consensus take on how to estimate the level of discount. In fact, this can be done every year in a similar way as PwC’s market risk premium study is conducted.

Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. In an attempt to demystify the illiquidity conundrum, shadow allocations are attached to the classical mean-variance framework to account for liquidity activities. The framework is further improved by replacing the variance for the coherent risk measure conditional value at risk (CVaR). This framework is then used to first stress test and optimize a theoretical portfolio and then analyze real-world data in a case study. The investors’ liquidity preferences are based on common institutional investors such as Foundations &amp; Charities, Pension Funds, and Unions. The theoretical results support previous findings of the shadow allocations framework and decrease the allocation towards illiquid assets, while the results of the case study do not support the shadow allocations framework. / Trots det faktum att illikvida tillgångar medför flera svårigheter när det gäller portföljallokeringsproblem för investerare, så ökar allt fler investerare sin allokering mot dem. Alternativa tillgångar kännetecknas av att de är svårare att värdera och handla på grund av sin illikviditet, vilket väcker frågan om hur de ska hanteras ur ett allokeringsoptimeringsperspektiv. I ett försök att avmystifiera illikviditetsproblemet adderas skuggallokeringar till det klassiska ramverket för modern portföljteori för att ta hänsyn till likviditetsaktiviteter. Ramverket förbättras ytterligare genom att ersätta variansen mot det koherenta riskmåttet CVaR. Detta ramverk används sedan för att först stresstesta och optimera en teoretisk portfölj, och sedan analysera verkliga data i en fallstudie. Investerarnas likviditetspreferenser baseras på vanliga institutionella investerare såsom stiftelser &amp; välgörenhetsorganisationer, pensionsfonder samt fackföreningar. De teoretiska resultaten stödjer tidigare forskning om ramverket för skuggallokeringer och sänker allokeringen mot illikvida tillgångar, samtidigt som resultaten från fallstudien inte stödjer ramverket för skuggallokeringar.