Professional Documents
Culture Documents
Com o objetivo de contribuir com o meio ambiente, a HSM, em parceria com a Posigraf, informa
que a apostila deste evento foi produzida com madeiras de florestas certificadas e outras fontes
controladas, de acordo com rigorosos critrios sociais, ambientais e econmicos definidos pelo
FSC, o que garante o respeito ao meio ambiente e aos trabalhadores florestais.
Essa certificao recebida pela Posigraf permite que ela identifique, com o selo FSC, os produtos
de seus parceiros/clientes impressos com papel proveniente de florestas manejadas de forma
correta, como o caso deste material.
O FSC uma organizao internacional independente, no governamental e sem fins lucrativos.
O selo FSC o sistema de certificao florestal mundial mais importante da atualidade, que reconhece produtores que extraem os recursos florestais de forma correta, ou seja, respeitando as
regras do Conselho de Manejo Florestal (FSC).
O Conselho Brasileiro de Manejo Florestal uma organizao independente, no governamental,
sem fins lucrativos e que representa o FSC no Brasil. A instituio tem como objetivo principal
promover o manejo e a certificao florestal no pas.
Caso tenha mais interesse neste assunto, acesse o site www.fsc.org.br.
Atenciosamente,
Maurcio Escobar
Presidente HSM do Brasil
Ref.: FSC n 8
ENTENDENDO
O QUE FAZ O
VALOR DA EMPRESA
p y
www.posigraf.com.br
D1
P0
Inv.1
hoje
P2
D2
Inv.2
1)
2)
P1
1
Inv.3
P3
D3
P2
2
D1
P1
Inv.1
hoje
D2
P2
Inv.2 P1
1
D3
P3
Inv.3 P2
2
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Approaches to Valua on
Abordagens de Avaliao
UMA SIMULAO
20
20
20
taxa de desconto
$ 300
a ao est cara
$ 100
a ao est barata
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expectativa do vendedor
caixa a ser distribudo aos donos da ao
20
20
20
expectativa do vendedor
para a taxa de desconto
expectativa do comprador
caixa a ser distribudo aos donos da ao
30
30
30
expectativa do comprador
para a taxa de desconto
preencha o esquema com o preo justo da empresa-alvo para o vendedor e para o comprador:
vendedor
comprador
valor negociado
entre as partes
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1000
1000
1300
1000
1500
1000
100
100
100
20
20
20
1)
taxa de desconto
A criao (ou destruio) de valor para o acionista vir com a anlise do que a empresa tem de se
sacrificar para se preparar para atingir o que o setor entregar e os benefcios desse atingimento.
www.posigraf.com.br
1200
1200
100
____
____
___
___
___
20
20
20
1)
taxa de desconto
A criao (ou destruio) de valor para o acionista vir com a anlise do que acionista tem de se
sacrificar para se preparar para atingir o que o setor entregar e os benefcios desse atingimento.
E(CF1)
(1 + r)
E(CF2)
(1 +
r)2
E(CF3)
(1 +
r)3
E(CFn)
(1 + r)n
10
(FCE1)
(1 + r)
(FCE2)
(1 +
r)2
(FCE3)
(1 +
r)3
(FCEn)
(1 + r)n
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24
20
20
20
24
taxa de desconto
ANLISE PELA
TAXA
CONCLUSO:
ANLISE PELO
VALOR
CONCLUSO:
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11
hoje
12
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alternativas de
Investimentos para
um investidor
institucional que j
balanceou sua
carteira em ttulos
seguros e ttulos
arriscados
hoje
preo: 100,00
102,75
daqui 1 ano
ao de uma empresa
hoje
102,75
daqui 1 ano
1) Para se chegar ao preo justo haver um desconto sobre o caixa a ser distribudo
aos donos da ao. Esse desconto ser medido com o uso de uma taxa de juros maior
do que a do governo americano. Esta a chamada taxa de desconto. A diferena entre
a taxa de desconto e a taxa do governo americano chamada de prmio.
Quanto um investidor exige para correr o risco de comprar empresas?
igual risco ao
do mercado
menor risco
que o do
mercado
o mercado
como um
todo
remunera
ERP acima
da taxa do
governo
americano.
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13
estimativa
(+) risco-pas
19
14
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receitas
(-) custos
(-) despesas
(-) despesa de depreciao
(=) lucro antes do imposto de renda (EBIT)
(-) imposto de renda
(=) lucro aps o imposto de renda (NOPAT)
(+) despesa de depreciao
(+/-) investimento em capital de giro
(-) CAPEX
(=) fluxo de caixa para acionistas e credores instituies financeiras (FCFF free cash flow to firm)
(-) juros sobre as dvidas com credores instituies financeiras
(+) benefcio fiscal sobre os juros
(-) amortizao do principal das dvidas com instituies financeiras
(+) novas dvidas com instituies financeiras
(=) fluxo de caixa para acionistas (FCFE free cash flow to equity)
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15
(=) EBITDA
histric o
Ano 1
Ano 2
Ano 3
200,00
(110,00)
90,00
(25,00)
65,00
230,00
(115,00)
115,00
(34,50)
80,50
(20,00)
253,00
(118,91)
134,09
(43,01)
91,08
(19,46)
253,00
(111,32)
141,68
(32,89)
108,79
(19,92)
60,50
(20,57)
39,93
20,00
71,62
(24,35)
47,27
19,46
88,87
(30,22)
58,65
19,92
(0,76)
(14,62)
44,56
(1,85)
0,00
(12,84)
4,37
34,23
0,70
(24,06)
43,37
0,00
1,56
0,00
0,00
44,93
0,00
(19,92)
58,65
0,00
0,00
0,00
0,00
58,65
(20,00)
(=) EBIT
(-) IR sobre EBIT
(=) NOPAT
45,00
(15,30)
29,70
20,00
(1,00)
(20,00)
28,70
Ano 1
14,00
200,00
214,00
85,60
128,40
Ano 2
Ano 3
14,76
14,06
194,62
199,21
209,37
213,27
83,75
85,31
125,62
127,96
16
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EMPRESA AVALIADA
(preo de mercado $ 100)
12,10
11
10
hoje
EMPRESAS SIMILARES
(preo de mercado $ 220)
24,20
22
20
hoje
Approaches to Valua on
Abordagens de Avaliao
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17
18
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(=) EBITDA
histric o
Ano 1
Ano 2
200,00
(110,00)
90,00
(25,00)
65,00
230,00
(115,00)
115,00
(34,50)
80,50
(20,00)
253,00
(118,91)
134,09
(43,01)
91,08
(19,46)
253,00
(111,32) 2 driver: margem operacional
141,68
(32,89)
108,79
(19,92)
60,50
(20,57)
39,93
20,00
71,62
(24,35)
47,27
19,46
88,87
(30,22)
58,65
19,92
(0,76)
(14,62)
44,56
(1,85)
0,00
(12,84)
4,37
34,23
0,70
(24,06)
43,37
0,00
1,56
0,00
0,00
44,93
0,00
(19,92)
58,65
0,00
0,00
0,00
0,00
58,65
(20,00)
(=) EBIT
(-) IR sobre EBIT
(=) NOPAT
45,00
(15,30)
29,70
20,00
Ano 3
Ano 1
14,00
200,00
214,00
85,60
128,40
Ano 2
Ano 3
14,76
14,06
194,62
199,21
209,37
213,27
83,75
85,31
125,62
127,96
5 driver: CAPEX
1) Qual o ROI da empresa aps o ano 3? O ROI pode ser aproximao para a TIR feita com o investimento de
quais investidores? Trata-se da TIR perptua...
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19
20
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VALOR:
CRIAO, CRESCIMENTO
E DESTRUIO
VALUATION
Aswath Damodaran
COMO AS EMPRESAS
CRIAM OU DESTROEM
VALOR
Aswath Damodaran
Website: http://www.damodaran.com
Blog: http://aswathdamodaran.blogspot.com
Twitter: @AswathDamodaran
App (iPad/iPhone): uValue (in iTunes app store)
Site: http://www.damodaran.com
Blog: http://aswathdamodaran.blogspot.com
Twitter: @AswathDamodaran
App (iPad/iPhone): uValue (na loja iTunes)
23
Aswath Damodaran
Consideraes Iniciais
Cem mil lemingues no podem estar errados.
Grafite
24
www.posigraf.com.br
Aswath Damodaran
Truth 1.1: All valuations are biased. The only questions are how much and in
which direction.
Truth 1.2: The direction and magnitude of the bias in your valuation is directly
proportional to who pays you and how much you are paid.
Truth 2.1: There are no precise valuations
Truth 2.2: The payo to valuation is greatest when valuation is least precise.
www.posigraf.com.br
25
Aswath Damodaran
Approaches to Valuation
Abordagens de Avaliao
26
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Aswath Damodaran
What is it: In discounted cash flow valuation, the value of an asset is the
present value of the expected cash flows on the asset.
Philosophical Basis: Every asset has an intrinsic value that can be
estimated, based upon its characteristics in terms of cash flows, growth
and risk.
Information Needed: To use discounted cash flow valuation, you need
www.posigraf.com.br
27
Aswath Damodaran
E(CF1)
(1 + r)
E(CF2)
(1 +
r)2
E(CF3)
(1 +
r)3
E(CFn)
(1 + r)n
1.
The IT Proposition: If it does not affect the cash flows or alter risk (thus changing
discount rates), it cannot affect value.
2.
The DUH Proposition: For an asset to have value, the expected cash flows have to
be positive some time over the life of the asset.
3.
The DONT FREAK OUT Proposition: Assets that generate cash flows early in their
life will be worth more than assets that generate cash flows later; the latter may
however have greater growth and higher cash flows to compensate.
4.
The VALUE IS NOT PRICE Proposition: The value of an asset may be very different
from its price.
6
(1 + r)
(FCE2)
(1 + r)2
(FCE3)
(1 + r)3
(FCEn)
(1 + r)n
1.
2.
3.
A proposio NO FIQUE FORA DE SI. Ativos que geram fluxos de caixa no comeo
de sua vida til valero mais do que do que ativos que gerem fluxos mais tarde;
todavia, estes ltimos podem ter crescimento e fluxos de caixas maiores para
compensar.
4.
28
(FCE1)
r = taxa de desconto
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Aswath Damodaran
Assets
Liabilities
Existing Investments
generate cashflows today
Includes long lived (fixed) and
short lived (working capital)
assets
Assets in place
Debt
Growth Assets
Equity
Ativo
Passivo
Ativos
in place*
Capital de
terceiros
Ativos de
crescimento
Capital
prprio
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29
Aswath Damodaran
Efficiency growth
Growth generated by
using existing assets
better
Terminal value of firm (equity)
Current cashflows
These are the cash flows from
existing investments, net of any
reinvestment needed to sustain future
growth. They can be computed before
debt cashflows (to the firm) or after
debt cashflows (to equity investors).
Os Direcionadores do Valor
Aumento da eficincia
Crescimento gerado
pelo melhor uso dos
ativos existentes.
30
www.posigraf.com.br
Aswath Damodaran
Expected growth
Reinvestment rate
* Return on capital
FCFF1
FCFF2
FCFF3
FCFF4
FCFF5
FCFFn
Forever
Discount at WACC = Cost of equity (equity/(debt + equity)) + cost of debt (debt/(debt + equity))
Cost of debt:
(Riskfree rate
+ Default spread) (1-t)
Cost of equity
Riskfree rate:
No default risk
No reinvestment risk
In same currency and in
same terms (real or
nominal as cash flows)
Beta
Measures market risk
Type of
business
Operating
leverage
Weights:
Based on market value
Risk premium
Premium for average risk
investment
Financial
leverage
Base equity
premium
Country risk
premium
9
Crescimento esperado
Taxa de reinvestimento
* Retorno do capital
Empresa em crescimento
estvel: cresce sempre a
uma taxa constante.
FCFF1
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FCFF3
FCFF4
FCFF5
FCFFn
Perpetuidade
Custo do capital
prprio
FCFF2
Beta
Mede o risco do mercado
Tipo de
empresa
Alavancagem
operacional
Pesos:
Baseados no valor
de mercado
Alavancagem
financeira
Prmio
bsico do CP
Prmio pelo
risco-pas
t = alquota de imposto
g = crescimento
31
Aswath Damodaran
Reinvestment
rate: 60%
Expected growth in
EBIT (1-t)
.60* .16 = .096
9.6%
First 5 years
Op. assets
+ Cash
- Debt
= Equity
- Options
Value/share
94214
1283
8272
87226
479
$74.33
Year
EBIT
EBIT (1-t)
- Reinvestment
FCFF
1
$9221
$6639
$3983
$2656
2
$10106
$7276
$4366
$2911
3
$11076
$7975
$4785
$3190
4
$12140
$8741
$5244
$3496
5
$13305
$9580
$5748
$3832
6
$14433
$10392
$5820
$4573
7
$15496
$11157
$5802
$5355
8
$16463
$11853
$5690
$6164
9
$17306
$12460
$5482
$6978
10
$17998
$12958
$5183
$7775
Cost of equity
11.70%
Riskfree rate:
Riskfree rate = 4.78%
Stable growth
g = 4%; beta = 1.10;
Debt ratio = 20%; Tax rate=35%
Cost of capital = 8.08%
ROC = 10.00%
Reinvestment rate = 4/10 = 40%
Return on
capital: 16%
Cost of debt:
(4.78% + .85%)(1- .35)
= 3.66%
Beta
1.73
Term Yr
18718
12167
4867
7300
Weights:
E = 90%
D = 10%
On May 1, 2007
Amgen was trading
at $55/share
Risk premium
4%
D/E = 11.06%
10
Taxa de
reinvestimento:
60%
Crescimento esperado em
EBIT (1-t)
0,60 * 0,16 = 0,096
9,6%
5 primeiros anos
Ativos oper.
+ Caixa
- Dvida
= Capital prprio
- Opes
Preo/ao
94214
1283
8272
87226
479
$74,33
Ano
EBIT
EBIT (1-t)
- Reinvestimento
FCFF
1
$9221
$6639
$3983
$2656
2
$10106
$7276
$4366
$2911
Beta
1,73
Beta no alavancado
do setor: 1,59
Capex = Despesas de capital
32
3
$11076
$7975
$4785
$3190
4
$12140
$8741
$5244
$3496
5
$13305
$9580
$5748
$3832
6
$14433
$10392
$5820
$4573
7
$15496
$11157
$5802
$5355
8
$16463
$11853
$5690
$6164
9
$17306
$12460
$5482
$6978
Crescimento estvel
g = 4%; beta = 1,10;
Tx. Endiv. = 20%; Alquota = 35%
Custo do capital = 8,08%
Retorno do capital = 10,00%
Tx. Reinvestimento = 4/10 = 40%
Retorno do
capital: 16%
Pesos:
CP = 90%
CT = 10%
10
$17998
$12958
$5183
$7775
Ano term.
18718
12167
4867
7300
Taxa de endividamento
aumenta para 20%.
Beta diminui para 1,10.
Em 1 de maio de 2007,
as aes da Amgen estavam
sendo negociadas a $55.
Prmio por
risco 4%
CT/CP =
11,06%
Nesta apostila, o
debt-equity ratio ser
indicado como CP/CT.
10
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Aswath Damodaran
Average reinvestment rate
from 2005-09: 179.59%;
without acquisitions: 70%
Tata Motors:
April 2010
Reinvestment
rate: 70%
Stable growth
g = 5%; beta = 1.00
Country premium = 3%
Cost of capital = 10.39%
Tax rate = 33.99%
ROC = 10.39%
Reinvestment rate = g/ROC =
5/10.39 = 48.11%
Return on
capital: 17.16%
Expected growth from
new inv.
.70 * .1716 = 0.1201
Rs cashflows
Op. assets
+ Cash
- Debt
= Equity
- Options
Value/share
94214
1283
8272
87226
479
74.33
Year
EBIT (1-t)
- Reinvestment
FCFF
1
22533
15773
6760
2
25240
17668
7572
4
31668
22168
9500
5
35472
24830
10642
6
39236
25242
13994
7
42848
25138
17711
8
46192
24482
21710
9
49150
23264
25886
10
51607
21503
30104
Cost of equity
14.00%
Riskfree rate:
Rs Riskfree rate = 5%
3
28272
19790
8482
Cost of debt:
(5% + 4.25% + 3)(1- .3399)
= 8.09%
Beta
1.20
Mature market
premium
4.5%
Growth declines to 5%
and cost of capital moves
to stable period level
Weights:
E = 74.7%
D = 25.3%
Lambda
0.80
On April 1 2010
Tata Motors price = Rs 781
Country equity
risk premium
4.50%
Country
default spread
3%
Term Yr
45278
21785
23493
Rel equity
mkt vol
1.50
11
Tata Motors:
Abril de 2010
Taxa de
reinvestimento:
70%
Crescimento estvel
g = 5%; beta = 1,00
Risco-pas = 3%
Custo do capital = 10,39%
Alquota = 33,99%
Retorno do capital = 10,39%
Taxa de reinvestimento = g/ROC =
5/10,39 = 48,11%
Retorno do
capital: 17,16%
Crescimento esperado de
novos investimentos:
0,70 * 0,1716 = 0,1201
Ativos oper.
+ Caixa
- Capital de terceiros
= Capital prprio
- Opes
Preo por ao
94214
1283
8272
87226
479
74,33
Ano
EBIT (1-t)
- Reinvestimento
FCFF
1
22533
15773
6760
2
25240
17668
7572
Beta
1,20
Beta no alavancado
do setor: 1,04
ROC = Retorno do capital
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4
31668
22168
9500
5
35472
24830
10642
6
39236
25242
13994
7
42848
25138
17711
8
46192
24482
21710
9
49150
23264
25886
10
51607
21503
30104
3
28272
19790
8482
Prmio por
mercado
maduro: 4,5%
CT/CP da empresa
= 33%
Pesos:
CP = 74,7%
CT = 25,3%
Lambda:
0,80
Ano term.
45278
21785
23493
Em 1 de abril de 2010, as
aes da Tata Motors estavam
sendo negociadas a 781.
Prmio pelo
risco-pas:
4,50%
Spread do
risco-pas:
3%
Rel equity
mkt vol
1,50
11
33
Aswath Damodaran
Natura
February 2014
Reinvestment
rate: 54.6%
Return on
capital: 39.66%
Op. assets
+ Cash
- Debt
- Min int.
= Equity
- Options
Value/share
R$ 14397
R$ 960
R$ 2610
R$ 18
R$ 12731
R$ 65
R$ 28.67
Stable growth
g = 10%; beta = 1.00
Cost of capital = 16.35%
Tax rate = 34.00%
ROC = 25%
Reinvestment rate = g/ROC =
10% / 25% = 40%
Year
EBIT
Tax rate (%)
EBIT (1-t)
- Reinvestment
= FCFF
2014
1628
31.89
1109
605
503
2015
1980
32.12
1344
734
610
2016
2409
32.36
1629
890
740
2017
2931
32.59
1975
1079
897
2018
3565
32.83
2395
1307
1087
2019
4254
33.06
2848
1472
1376
2020
4977
33.30
3320
1619
1701
2021
5707
33.53
3793
1739
2054
2022
6410
33.77
4246
1822
2424
2023
7051
34.00
4654
1862
2792
Cost of equity
19.83%
Cost of debt:
(11.28% + 1.90% + 1.30%)
(1 - .34) = 9.56%
Weights:
E = 86.65%
D = 13.35%
Beta
1.07
Riskfree rate:
R$ Riskfree rate = 11.28%
Unlevered beta for
sectors: 0.97
Brazil
Argentina
Chile
Peru
Mexico
Colombia
Natura
88.72%
2.57%
2.57%
2.57%
1.79%
1.79%
7.85%
14.75%
5.90%
7.85%
7.40%
8.30%
88.72%
2.57%
2.57%
2.57%
1.79%
1.79%
100.00%
7.98%
100.00%
12
Natura
Fevereiro 2014
Fluxo de caixa atual para empresa
EBIT (1-t) = 1338 (1 0,3165) =
R$ 914
- Capex liq.= 603 - 150
R$ 453
- Alt. cap. giro
R$ 46
= FCFF
-R$ 415
Tx. reinv. = (453 + 46) / 914 =
54,6%
Retorno do capital = 914 / 2226 = 39,66%
Ativos oper.
R$ 14397
+ Caixa
R$ 960
- Capital de terceiros R$ 2610
- Min int.
R$ 18
= Capital prprio
R$ 12731
- Opes
R$ 65
Preo por ao
R$ 28,67
Taxa de
reinvestimento:
54,6%
Crescimento estvel
g = 10%; beta = 1,00
Custo do capital = 16,35%
Alquota = 34,00%
Retorno do capital = 25%
Taxa de reinvestimento = g/ROC =
10% / 25% = 40%
Retorno do
capital: 39,66%
Crescimento esperado de
novos investimentos:
0,546 * 0,3966 = 0,2165
Ano
EBIT
Alquota (%)
EBIT (1-t)
- Reinvestimento
= FCFF
2014
1628
31.89
1109
605
503
2015
1980
32.12
1344
734
610
2016
2409
32.36
1629
890
740
2017
2931
32.59
1975
1079
897
2018
3565
32.83
2395
1307
1087
2019
4254
33.06
2848
1472
1376
2020
4977
33.30
3320
1619
1701
2021
5707
33.53
3793
1739
2054
2022
6410
33.77
4246
1822
2424
2023
7051
34.00
4654
1862
2792
Em 14 de fevereiro de 2014,
as aes da Natura estavam
sendo negociadas a R$ 38,34.
Beta
1,07
Pesos:
CP = 86,65%
CT = 13,35%
CT/CP da empresa
= 15,4%
Brasil
Argentina
Chile
Peru
Mxico
Colmbia
Natura
88,72%
2,57%
2,57%
2,57%
1,79%
1,79%
7,85%
14,75%
5,90%
7,85%
7,40%
8,30%
88,72%
2,57%
2,57%
2,57%
1,79%
1,79%
100,00%
7,98%
100,00%
12
34
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Aswath Damodaran
DCF INPUTS
Garbage in, garbage out
13
INSUMOS DO FLUXO DE
CAIXA DESCONTADO
Se entra lixo, sai lixo.
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13
35
Aswath Damodaran
Comparable
firms
Operating leases
R&D expenses
Normalize
earnings
Financial expenses
Capital expenses
Non-recurring expenses
Measuring earnings
Update
Trailing earnings
Unofficial numbers
14
Empresas
similares
Leasings operacionais
Converter em dvida
Ajustar receita operacional
Despesas de P&D
Converter em ativo
Ajusta receita operacional
Normalizar os
lucros
Despesas financeiras
Despesas de capital
Despesas no recorrentes
14
36
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Aswath Damodaran
Amgen has lease commitments and its cost of debt (based on its A rating) is 5.63%.
Year
1
2
3
4
5
6-12
Commitment
$96.00
$95.00
$102.00
$98.00
$87.00
$107.43
Present Value
$90.88
$85.14
$86.54
$78.72
$66.16
$462.10 ($752 million prorated)
Comprometimento
$96,00
$95,00
$102,00
$98,00
$87,00
$107,43
Valor presente
$90,88
$85,14
$86,54
$78,72
$66,16
$462,10 ($752 milhes rateados)
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37
Aswath Damodaran
R&D Expense
Unamortized portion
Current
3366.00
1.00
3366.00
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10
2314.00
2028.00
1655.00
1117.00
865.00
845.00
823.00
663.00
631.00
558.00
0.90
0.80
0.70
0.60
0.50
0.40
0.30
0.20
0.10
2082.60
1622.40
1158.50
670.20
432.50
338.00
246.90
132.60
63.10
0.00
$10,112.80
$1,149.90
Despesa de P&D
Parcela no amortizada
Atual
3366,00
1,00
3366,00
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10
2314,00
2028,00
1655,00
1117,00
865,00
845,00
823,00
663,00
631,00
558,00
0,90
0,80
0,70
0,60
0,50
0,40
0,30
0,20
0,10
2082,60
1622,40
1158,50
670,20
432,50
338,00
246,90
132,60
63,10
0,00
$10.112,80
$231,40
$202,80
$165,50
$111,70
$86,50
$84,50
$82,30
$66,30
$63,10
$55,80
$1.149,90
38
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Aswath Damodaran
Research and development expenses, once they have been recategorized as capital expenses.
Acquisitions of other firms, whether paid for with cash or stock.
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39
Aswath Damodaran
$ 1,218 million
$ 963 million
$ 255 million
$ 255 million
$ 2,216 million
$ 3,975 million
$ 6,443 million
$ 1,218 bilho
$ 963 milhes
$ 255 milhes
$ 255 milhes
$ 2,216 bilhes
$ 3,975 bilhes
$ 6,443 bilhes
40
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Aswath Damodaran
When valuing Amgen in US dollars, the US$ ten-year bond rate of 4.78%
was used as the risk free rate. We assumed that the US treasury was
default free.
When valuing Tata Motors in Indian rupees in 2010, the Indian
government bond rate of 8% was not default free. Using the Indian
governments local currency rating of Ba2 yielded a default spread of
3% for India and a riskfree rate of 5% in Indian rupees.
To value a Brazilian company in nominal Reais, you would need a risk free
rate in $R. The ten-year Brazilian government bond rate in $R was
13.18% in January 2013. Given Brazils local currency rating of Baa2, the
default spread for Brazil is 1.90%.
www.posigraf.com.br
41
0,00%
42
Japanese Yen
Taiwanese $
Swiss Franc
icelandic Krona
Czech Koruna
Phillipine Peso
Bulgarian Lev
Euro
Danish Krone
HongKong $
Lithuanian Litas
Thai Baht
Dutch Guilder
Croa anKuna
Swedish Krona
Singapore $
Israeli Shekel
Bri sh Pound
Canadian dollar
Malaysian Ringgit
Hungarian Forint
Norwegian Krone
US$
Romanian Leu
Polish Zloty
Vietnamese Dong
Pakistani Rupee
Chinese Remimbi
Australian Dollar
Chilean Peso
Colombian Peso
Mexican Peso
Peruvian Sul
NewZealand $
Argen ne Peso
Russian Rouble
Venezuelan Bolivar
Indonesian Rupiah
South African Rand
Indian Rupee
Turkish Lira
Kenyan Shilling
Nigerian Naira
Brazilian Reais
0.00%
iene japons
dlar taiwans
franco suo
coroa islandesa
coroa tcheca
peso filipino
lev blgaro
euro
coroa dinamarquesa
dlar de Hong Kong
litas lituano
baht tailands
guilder holands
kuna croata
coroa sueca
dlar de Singapura
shekel israelense
libra esterlina
dlar canadense
ringuite malaio
florim hngaro
coroa norueguesa
dlar americano
leu romeno
zl polons
dongue vietnamita
rupia paquistanesa
renminbi chins
dlar australiano
peso chileno
peso colombiano
peso mexicano
sol peruano
dlar neozelands
peso argen no
rublo russo
bolvar venezuelano
rupia indonsia
rand sulafricano
rupia indiana
lira turca
xelim queniano
naira nigeriano
real brasileiro
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
20
12,00%
10,00%
8,00%
6,00%
4,00%
2,00%
20
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Aswath Damodaran
Aswath Damodaran
In US$
5.00%
2.00%
4.00%
1.00%
Cost of capital
High growth
Stable growth
12.50%
10.39%
9.25%
7.21%
12.01%
5.00%
8.78%
2.00%
Return on capital
High growth
Stable growth
17.16%
10.39%
13.78%
7.21%
Rs 614
$12.79/share (roughly
Rs 614 at current
exchange rate)
21
Em US$
5,00%
2,00%
Inflao esperada
4,00%
1,00%
Custo do capital
Alto crescimento
Crescimento estvel
12,50%
10,39%
9,25%
7,21%
12,01%
5,00%
8,78%
2,00%
Retorno do capital
Alto crescimento
Crescimento estvel
17,16%
10,39%
13,78%
7,21%
Rs 614
$12,79/ao (cerca de
614 na taxa de
cmbio atual)
Preo por ao
21
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43
Aswath Damodaran
22
22
44
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Aswath Damodaran
23
23
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45
Aswath Damodaran
Determinants of Betas
Beta of Equity
Beta of Firm
Financial Leverage:
Nature of product or
service offered by
company:
Operating Leverage
(Fixed Costs as percent
of total costs):
Implications
Implications
Implications
Highly levered firms should have higher
betas than firms with less debt.
24
Determinantes do Beta
Beta do Capital Prprio
Beta da empresa
46
Natureza do produto ou
servio oferecido pela
empresa
Alavancagem operacional
(custos fixos como
porcentagem do custo total)
Implicaes
Implicaes
Alavancagem financeira
Outros fatores permanecendo iguais,
quanto maior a proporo de capital
de terceiros, maior ser o beta do
capital prprio.
Implicaes
Empresas mais alavancadas devem
ter betas maiores do que empresas
menos endividadas.
24
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Aswath Damodaran
Bottom-up Betas
Step 1: Find the business or businesses that your firm operates in.
Possible Refinements
Step 2: Find publicly traded firms in each of these businesses and obtain
their regression betas. Compute the simple average across these
regression betas to arrive at an average beta for these publicly traded
firms. Unlever this average beta using the average debt to equity ratio
across the publicly traded firms in the sample.
Unlevered beta for business = Average beta across publicly traded firms/
(1 + (1- t) (Average D/E ratio across firms))
Step 3: Estimate how much value your firm derives from each of the
different businesses it is in.
Step 5: Compute a levered beta (equity beta) for your firm, using the
market debt to equity ratio for your firm.
Levered bottom-up beta = Unlevered beta (1+ (1-t) (Debt/Equity))
25
Fundamentos de Investimento:
Bottom-up Betas
1 passo: determine o setor ou setores em que sua empresa opera.
Refinamentos possveis
2 passo: encontre empresas de capital aberto em cada um desses
setores e calcule seus betas por regresso linear. Calcule a mdia simples
desses betas regressivos para obter o beta mdio das empresas.
Desalavanque esse beta mdio usando o coeficiente CT/CP mdio das
empresas de capital aberto da amostra.
Beta no alavancado do setor = beta mdio de empresas de capital
aberto / (1 + (1- t) (CT/CP mdio das empresas))
25
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47
Aswath Damodaran
Amgen in 2007
The unlevered beta for pharmaceutical firms is 1.59. Using Amgens debt to equity
ratio of 11% and the marginal tax for the US in 2007 of 35%, the bottom-up beta for
Amgen is
Bottom-up Beta = 1.59 (1+ (1 - .35)(.11)) = 1.73
The unlevered beta for global automobile firms is 0.98. Using Tata Motors debt to
equity ratio of 33.87% and the marginal tax rate for India of 33.99%, the bottom-up
beta for Tata Motors is
Bottom-up Beta = 0.98 (1+ (1 - .3399)(.3387)) = 1.20
Amgen em 2007.
48
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Aswath Damodaran
1928-2013
Std Error
Arithmetic Average
Stocks - T. Bonds
Stocks - T. Bills
7.93%
6.29%
2.19%
2.34%
Geometric Average
Stocks - T. Bills
Stocks - T. Bonds
6.02%
4.62%
1964-2013
6.18%
4.32%
4.83%
3.33%
Std Error
2004-2013
Std Error
2.42%
7.55%
6.02%
2.75%
4.41%
8.66%
5.80%
3.07%
Not only is this approach backward-looking, but it yields estimates which significant
noise associated with them. The standard error in a historical estimate will be the
following:
In most markets, you will be hard pressed to find more than a few decades of
reliable stock market history, making historical risk premiums close to useless.
27
prtica padro usar prmios histricos como base para prmios futuros.
1928-2013
Erro padro
Mdia aritmtica
Aes/Letr. Tesouro Aes/Obrig. Tesouro
7,93%
6,29%
2,19%
2,34%
Mdia geomtrica
Aes/Letr. Tesouro Aes/Obrig. Tesouro
6,02%
4,62%
1964-2013
6,18%
4,32%
4,83%
3,33%
Erro padro
2004-2013
Erro padro
2,42%
7,55%
6,02%
2,75%
4,41%
8,66%
5,80%
3,07%
Na maioria dos mercados, voc ter dificuldade para encontrar mais do que algumas
dcadas de histria confivel do mercado de aes, o que torna os prmios de risco
histricos praticamente inteis.
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27
49
Aswath Damodaran
34.32
49.85
84.16
Beyond year 5
E(cash to investors)
S&P 500 on 1/1/14 =
1848.36
87.77
87.77
(1 + r)1
91.53
91.53
(1 + r)2
95.45
(1 + r)3
95.45
99.54
(1 + r)4
99.54
103.80
(1 + r)5
103.80(1.0304)
(r - .0304)(1 + r)5
103.80
1848.36
28
Dividendos (TTM)
34,32
+ Recompras (TTM)
49,85
= dinheiro p/ investidores (TTM) 84,16
Ganhos em TTM:
Alm do 5 ano
Ganhos
(dinheiro p/investidores) 87,77
S&P 500 em 1/1/14 =
1848,36
87,77
(1 + r)1
91,53
91,53
(1 + r)2
95,45
(1 + r)3
95,45
99,54
(1 + r)4
99,54
103,80
(1 + r)5
103,80(1,0304)
(r 0,0304)(1 + r)5
103,80
1848,36
50
28
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2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
1994
1993
1992
1991
1990
1989
1988
1987
1986
1985
1984
1983
1982
1981
1980
1979
1978
1977
1976
1975
1974
1973
1972
1971
1970
1969
1968
1967
1966
1965
1964
1963
1962
1961
1960
4,00%
3,00%
Prmio implcito
4.00%
3.00%
Implied Premium
6.00%
5.00%
2.00%
1.00%
0.00%
Year
29
7,00%
6,00%
5,00%
2,00%
1,00%
0,00%
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
1994
1993
1992
1991
1990
1989
1988
1987
1986
1985
1984
1983
1982
1981
1980
1979
1978
1977
1976
1975
1974
1973
1972
1971
1970
1969
1968
1967
1966
1965
1964
1963
1962
1961
1960
Ano
29
51
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Aswath Damodaran
30
30
52
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Aswath Damodaran
8.00%
7.00%
0.65%
6.00%
Risk Premium
1.34%
4.00%4.31%
2.28%
3.15%
5.00%
2.43%
3.70%
3.23%
4.06%
0.86%0.70%
0.82%
4.00%
7.64%
2.00%
1.00%
US premium
6.35%
3.00%
3.51%
4.05%4.12%3.95% 3.88%3.95%4.04%
5.59%
5.10%
4.55%4.86%
2.50%
0.00%
31
8,00%
7,00%
0,65%
1,34%
4,00%4,31%
6,00%
3,23%
3,15%
5,00%
4,06%
2,43%
3,70%
2,28%
0,86%0,70%
0,82%
Risco-pas do Brasil
4,00%
7,64%
2,00%
1,00%
6,35%
3,00%
3,51%
4,05%4,12%3,95% 3,88%3,95%4,04%
5,10%
4,55%4,86%
5,59%
2,50%
0,00%
31
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53
Aswath Damodaran
Emerging markets offer growth opportunities but they are also riskier. If
we want to count the growth, we have to also consider the risk.
Two ways of estimating the country risk premium:
Sovereign Default Spread: In this approach, the country equity risk premium is set
equal to the default spread of the bond issued by the country.
Equity Risk Premium for mature market = 4.50%
Default Spread for India = 3.00% (based on rating)
Equity Risk Premium for India = 4.50% + 3.00%
Adjusted for equity risk: The country equity risk premium is based upon the volatility
of the equity market relative to the government bond rate.
Country risk premium = Default Spread * Std Deviation Country Equity / Std
Deviation Country Bond
Standard Deviation in Sensex = 21%
Standard Deviation in Indian government bond = 14%
Default spread on Indian bond = 3%
Additional country risk premium for India = 3% (21/14) = 4.5%
32
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Aswath Damodaran
Andorra
Austria
Belgium
Cyprus
Denmark
Finland
France
Germany
Greece
Iceland
Ireland
Italy
Canada
5.00%
United States of America 5.00%
North America
5.00%
Argentina
Belize
Bolivia
Brazil
Chile
Colombia
Costa Rica
Ecuador
El Salvador
Guatemala
Honduras
Mexico
Nicaragua
Panama
Paraguay
Peru
Suriname
Uruguay
Venezuela
Latin America
14.75% 9.75%
18.50% 13.50%
10.40% 5.40%
7.85% 2.85%
5.90% 0.90%
8.30% 3.30%
8.30% 3.30%
16.25% 11.25%
10.40% 5.40%
8.75% 3.75%
13.25% 8.25%
7.40% 2.40%
14.75% 9.75%
7.85% 2.85%
10.40% 5.40%
7.85% 2.85%
10.40% 5.40%
8.30% 3.30%
16.25% 11.25%
8.62% 3.62%
Andorra
ustria
Blgica
Chipre
Dinamarca
Finlndia
Frana
Alemanha
Grcia
Islndia
Irlanda
Itlia
Canad
Estados Unidos
Amrica do Norte
Argentina
Belize
Bolvia
Brasil
Chile
Colmbia
Costa Rica
Equador
El Salvador
Guatemala
Honduras
Mxico
Nicargua
Panam
Paraguai
Peru
Suriname
Uruguai
Venezuela
Amrica Latina
0.00%
0.00%
0.00%
Angola
Benin
Botswana
Burkina Faso
Cameroon
Cape Verde
DR Congo
Egypt
Gabon
Ghana
Kenya
Morocco
Mozambique
Namibia
Nigeria
Rep Congo
Rwanda
Senegal
South Africa
Tunisia
Uganda
Zambia
Africa
5,00%
5,00%
5,00%
0,00%
0,00%
0,00%
14,75% 9,75%
18,50% 13,50%
10,40% 5,40%
7,85% 2,85%
5,90% 0,90%
8,30% 3,30%
8,30% 3,30%
16,25% 11,25%
10,40% 5,40%
8,75% 3,75%
13,25% 8,25%
7,40% 2,40%
14,75% 9,75%
7,85% 2,85%
10,40% 5,40%
7,85% 2,85%
10,40% 5,40%
8,30% 3,30%
16,25% 11,25%
8,62% 3,62%
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Angola
Benin
Botsuana
Burkina Faso
Camares
Cabo Verde
RD Congo
Egito
Gabo
Gana
Qunia
Marrocos
Moambique
Nambia
Nigria
Rep. Congo
Ruanda
Senegal
frica do Sul
Tunsia
Uganda
Zmbia
frica
5.00%
5.00%
6.80%
5.00%
5.00%
10.40%
8.30%
5.00%
5.00%
8.30%
5.60%
6.29%
0.00%
0.00%
1.80%
0.00%
0.00%
5.40%
3.30%
0.00%
0.00%
3.30%
0.60%
1.29%
10.40% 5.40%
13.25% 8.25%
6.28% 1.28%
13.25% 8.25%
13.25% 8.25%
13.25% 8.25%
14.75% 9.75%
16.25% 11.25%
10.40% 5.40%
11.75% 6.75%
11.75% 6.75%
8.75% 3.75%
11.75% 6.75%
8.30% 3.30%
10.40% 5.40%
10.40% 5.40%
13.25% 8.25%
11.75% 6.75%
7.40% 2.40%
10.40% 5.40%
11.75% 6.75%
11.75% 6.75%
10.04% 5.04%
5,00%
5,00%
6,80%
5,00%
5,00%
10,40%
8,30%
5,00%
5,00%
8,30%
5,60%
6,29%
0,00%
0,00%
1,80%
0,00%
0,00%
5,40%
3,30%
0,00%
0,00%
3,30%
0,60%
1,29%
10,40% 5,40%
13,25% 8,25%
6,28% 1,28%
13,25% 8,25%
13,25% 8,25%
13,25% 8,25%
14,75% 9,75%
16,25% 11,25%
10,40% 5,40%
11,75% 6,75%
11,75% 6,75%
8,75% 3,75%
11,75% 6,75%
8,30% 3,30%
10,40% 5,40%
10,40% 5,40%
13,25% 8,25%
11,75% 6,75%
7,40% 2,40%
10,40% 5,40%
11,75% 6,75%
11,75% 6,75%
10,04% 5,04%
Albania
Armenia
Azerbaijan
Belarus
Bosnia and Herzegovina
Bulgaria
Croatia
Czech Republic
Estonia
Georgia
Hungary
Kazakhstan
Latvia
Lithuania
Macedonia
Moldova
Montenegro
Poland
Romania
Russia
Serbia
Slovakia
Slovenia
Ukraine
E. Europe & Russia
11.75%
9.50%
8.30%
14.75%
14.75%
7.85%
8.75%
6.05%
6.05%
10.40%
8.75%
7.85%
7.85%
7.40%
10.40%
14.75%
10.40%
6.28%
8.30%
7.40%
11.75%
6.28%
8.75%
16.25%
7.96%
6.75%
4.50%
3.30%
9.75%
9.75%
2.85%
3.75%
1.05%
1.05%
5.40%
3.75%
2.85%
2.85%
2.40%
5.40%
9.75%
5.40%
1.28%
3.30%
2.40%
6.75%
1.28%
3.75%
11.25%
2.96%
Bangladesh
Cambodia
China
Fiji
Hong Kong
India
Indonesia
Japan
Korea
Macao
Malaysia
Mauritius
Mongolia
Pakistan
Papua New Guinea
Philippines
Singapore
Sri Lanka
Taiwan
Thailand
Vietnam
Asia
10.40% 5.40%
13.25% 8.25%
5.90% 0.90%
11.75% 6.75%
5.60% 0.60%
8.30% 3.30%
8.30% 3.30%
5.90% 0.90%
5.90% 0.90%
5.90% 0.90%
6.80% 1.80%
7.40% 2.40%
11.75% 6.75%
16.25% 11.25%
11.75% 6.75%
8.30% 3.30%
5.00% 0.00%
11.75% 6.75%
5.90% 0.90%
7.40% 2.40%
13.25% 8.25%
6.51% 1.51%
Abu Dhabi
Bahrain
Israel
Jordan
Kuwait
Lebanon
Oman
Qatar
Saudi Arabia
United Arab Emirates
Middle East
5.75%
7.85%
6.05%
11.75%
5.75%
11.75%
6.05%
5.75%
5.90%
5.75%
6.14%
0.75%
2.85%
1.05%
6.75%
0.75%
6.75%
1.05%
0.75%
0.90%
0.75%
1.14%
Australia
Cook Islands
New Zealand
Australia & New
Zealand
5.00%
11.75%
5.00%
0.00%
6.75%
0.00%
5.00%
0.00%
Albnia
Armnia
Azerbaijo
Bielorrssia
Bsnia e Herzegovina
Bulgria
Crocia
Repblica Checa
Estnia
Gergia
Hungria
Cazaquisto
Letnia
Litunia
Macednia
Moldvia
Montenegro
Polnia
Romnia
Rssia
Srvia
Eslovquia
Eslovnia
Ucrnia
Europa Oriental e Rssia
11,75%
9,50%
8,30%
14,75%
14,75%
7,85%
8,75%
6,05%
6,05%
10,40%
8,75%
7,85%
7,85%
7,40%
10,40%
14,75%
10,40%
6,28%
8,30%
7,40%
11,75%
6,28%
8,75%
16,25%
7,96%
6,75%
4,50%
3,30%
9,75%
9,75%
2,85%
3,75%
1,05%
1,05%
5,40%
3,75%
2,85%
2,85%
2,40%
5,40%
9,75%
5,40%
1,28%
3,30%
2,40%
6,75%
1,28%
3,75%
11,25%
2,96%
Bangladesh
Camboja
China
Fiji
Hong Kong
ndia
Indonsia
Japo
Coreia
Macau
Malsia
Maurcio
Monglia
Paquisto
Papua-Nova Guin
Filipinas
Singapura
Sri Lanka
Taiwan
Tailndia
Vietn
sia
10,40% 5,40%
13,25% 8,25%
5,90% 0,90%
11,75% 6,75%
5,60% 0,60%
8,30% 3,30%
8,30% 3,30%
5,90% 0,90%
5,90% 0,90%
5,90% 0,90%
6,80% 1,80%
7,40% 2,40%
11,75% 6,75%
16,25% 11,25%
11,75% 6,75%
8,30% 3,30%
5,00% 0,00%
11,75% 6,75%
5,90% 0,90%
7,40% 2,40%
13,25% 8,25%
6,51% 1,51%
Abu Dhabi
Bahrain
Israel
Jordnia
Kuwait
Lbano
Oman
Qatar
Arbia Saudita
Emirados rabes Unidos
Oriente Mdio
5,75%
7,85%
6,05%
11,75%
5,75%
11,75%
6,05%
5,75%
5,90%
5,75%
6,14%
0,75%
2,85%
1,05%
6,75%
0,75%
6,75%
1,05%
0,75%
0,90%
0,75%
1,14%
Austrlia
Ilhas Cook
Nova Zelndia
Austrlia e Nova
Zelndia
5,00%
11,75%
5,00%
0,00%
6,75%
0,00%
5,00%
0,00%
33
33
55
Aswath Damodaran
A abordagem padro em avaliaes tem sido designar o risco-pas com base no pas onde a empresa tem sede. Desse modo,
supe-se que uma empresa sediada num mercado desenvolvido
no est exposta aos riscos dos mercados emergentes. Mas se
for sediada num mercado emergente, tem de arcar com todo o
risco desse pas.
medida que as empresas se globalizam e buscam receitas em
mercados estrangeiros, essa prtica subestimar os custos do
capital prprio das empresas de mercados desenvolvidos
expostas a riscos em mercados emergentes, e superestimar os
custos do capital prprio das empresas de mercados emergentes
expostas a riscos em mercados desenvolvidos.
34
56
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Aswath Damodaran
Natura (2013)
CRP
0.67%
2.60%
1.63%
3.42%
0.00%
3.82%
0.00%
1.14%
Brazil
Argentina
Chile
Peru
Mexico
Colombia
Natura
88.72%
2.57%
2.57%
2.57%
1.79%
1.79%
100.00%
7.85%
14.75%
5.90%
7.85%
7.40%
8.30%
7.98%
88.72%
2.57%
2.57%
2.57%
1.79%
1.79%
100.00%
Vale (2013)
% Revenues
4.90%
16.90%
1.70%
37.00%
10.30%
8.50%
17.20%
3.50%
100.00%
US & Canada
Brazil
Rest of Latin America
China
Japan
Rest of Asia
Europe
Rest of World
Company
ERP
5.50%
8.50%
10.09%
6.94%
6.70%
8.61%
6.72%
10.06%
7.38%
35
Coca-Cola (2011)
Regio
Europa Ocidental
Europa Oriental e Rssia
sia
Amrica Latina
Austrlia
frica
Amrica do Norte
Coca-Cola
Receita
19%
5%
15%
15%
4%
4%
40%
100%
Brasil
Argentina
Chile
Peru
Mxico
Colmbia
Natura
88,72%
2,57%
2,57%
2,57%
1,79%
1,79%
100,00%
7,85%
14,75%
5,90%
7,85%
7,40%
8,30%
7,98%
88,72%
2,57%
2,57%
2,57%
1,79%
1,79%
100,00%
Vale (2013)
www.posigraf.com.br
EUA e Canad
Brasil
Resto da Amrica Latina
China
Japo
Resto da sia
Europa
Resto do mundo
Empresa
% Receitas
4,90%
16,90%
1,70%
37,00%
10,30%
8,50%
17,20%
3,50%
100,00%
ERP
5,50%
8,50%
10,09%
6,94%
6,70%
8,61%
6,72%
10,06%
7,38%
35
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Aswath Damodaran
% of production/operations in
India
% of revenues in India
Lambda
Flexibility in moving operations
Tata Motors
TCS
High
High
7.62%
0.80
0.20
Low. Significant
physical assets
36
% da produo/operaes na
ndia
% das receitas na ndia
Lambda
Flexibilidade para mover as
operaes
Tata Motors
TCS
Alta
Alta
7,62%
0,80
0,20
Baixa. Muitos
ativos fsicos
36
58
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Aswath Damodaran
Use end of prior year numbers or average over the year but be
consistent in your application
37
ROC =
EBIT (1 - alquota)
Valor contbil do capital prprio + valor contbil do capital de terceiros dinheiro em caixa
Ajuste o valor contbil do CP para:
1. Capitalizao de P&D.
2. Restos de aquisies (amrt. gio)
www.posigraf.com.br
gio (goodwill) = diferena entre o valor pago em uma transao empresarial e o valor patrimonial da empresa adquirida.
37
59
Aswath Damodaran
50.00%
40.00%
30.00%
20.00%
10.00%
Europe
Emerging
Markets
Japan
US
Global
38
A Qualidade do Crescimento
Uma Perspectiva Global
% de empresas no grupo
50,00%
40,00%
30,00%
20,00%
10,00%
Europa
60
Mercados
emergentes
Japo
EUA
Mundo
38
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Aswath Damodaran
Terminal Valuen =
This is a mature
company.
Its cost of capital should
reflect that.
39
Valor terminaln =
39
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61
Aswath Damodaran
Amgen
Tata Motors
0%
$150,652
435,686
0%
R$ 21,709
1%
$154,479
435,686
2%
R$ 24,473
2%
$160,194
435,686
4%
R$ 27,989
3%
$167,784
435,686
6%
R$ 32,538
4%
$179,099
435,686
8%
R$ 38,815
435,686
10%
R$ 48,394
5%
Riskfree rate
ROIC
Cost of capital
4.78%
10%
8.08%
5%
10.39%
10.39%
Natura
11.28%
25.00%
16.35%
40
Amgen
Tata Motors
0%
$150.652
435.686
0%
R$ 21.709
1%
$154.479
435.686
2%
R$ 24.473
2%
$160.194
435.686
4%
R$ 27.989
3%
$167.784
435.686
6%
R$ 32.538
4%
$179.099
435.686
8%
R$ 38.815
435.686
10%
R$ 48.394
5%
Taxa livre de risco
ROIC
Custo do capital
4,78%
10%
8,08%
5%
10,39%
10,39%
Natura
11,28%
25,00%
16,35%
40
62
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Aswath Damodaran
41
QUESTES EM ABERTO
SOBRE AVALIAO
Aswath Damodaran
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41
63
Aswath Damodaran
Intangible assets
(Brand name)
Premium
Control
premium
Synergy Premium
Discount FCFF
at Cost of
capital =
Operating
Asset Value
Discount? Premium?
+ Value of Cross
holdings
Value of business
(firm)
Book value?
Market value?
Complexity discount
+ Value of other nonoperating assets
What should be here?
What should not?
Debt
Value of
equity
Underfunded
pension/health
care
obligations?
Minority
discount
Lawsuits &
contingent
liabilities?
Liquidity
discount
Value per
share
Option
Overhang
Distress
discount
Differences
in cashflow/
voting rights
across shares
42
Ativos intangveis
(nome de marca)
Prmio
+ Caixa e ttulos
mobilirios
Prmio de
controle
Prmio de sinergia
Descontar o
FCFF ao custo
do capital =
= valor dos
ativos
operacionais
Desconto? Prmio?
+ Valor das
participaes cruzadas
Valor contbil?
Valor de mercado
+ Valor de outros ativos
no operacionais
O que deveria ser
includo aqui? O que
no deveria?
Valor do negcio
(empresa)
Desconto de
complexidade
Capital de
terceiros
Obrigaes
previdencirias/
de sade
subfinanciadas?
Aes judiciais e
passivos
contingentes?
Valor do
capital
prprio
Desconto
de minoria
Desconto
de penhora
Desconto
de liquidez
Preo por
ao
Overhang
de opes
Diferenas
de fluxo de
caixa/direito
a voto
entre aes
64
42
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Aswath Damodaran
Company A
Company B
Company C
Enterprise Value
$ 1 billion
$ 1 billion
$ 1 billion
Cash
$ 100 mil
$ 100 mil
$ 100 mil
Return on Capital
10%
5%
22%
Cost of Capital
10%
10%
12%
Trades in
US
US
Argentina
1. O Valor do Caixa
Um Exerccio em Avaliao de Caixa
Empresa A
Empresa B
Empresa C
$1 bilho
$1 bilho
$1 bilho
$100 milhes
$100 milhes
$100 milhes
Retorno do capital
10%
5%
22%
Custo do capital
10%
10%
12%
Local de operao
EUA
EUA
Argentina
Valor da empresa
Caixa
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65
Aswath Damodaran
Mature firms,
negative excess returns
All firms
High
g growth
g
firms,
firms,
high excess returns
44
Empresas maduras,
retornos excedentes negativos
Todas as empresas
44
66
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Aswath Damodaran
Minority passive holdings, in which case only the dividend from the holdings is shown
in the balance sheet
Minority active holdings, in which case the share of equity income is shown in the
income statements
Majority active holdings, in which case the financial statements are consolidated.
45
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67
Aswath Damodaran
46
46
68
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Aswath Damodaran
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69
Aswath Damodaran
Tata Steel,
13,572
Non-public Tata
companies,
112,238
48
Tata Steel:
13.572
Empresas Tata de
capital fechado:
112.238
48
70
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Aswath Damodaran
Unutilized assets: If you have assets or property that are not being
utilized (vacant land, for example), you have not valued it yet. You can
assess a market value for these assets and add them on to the value
of the firm.
Collective bargaining agreements may prevent you from laying claim to these
excess assets.
There are tax consequences. Often, withdrawals from pension plans get taxed at
much higher rates.
Do not double count an asset. If you count the income from an asset
in your cash flows, you cannot count the market value of the asset in
your value.
49
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71
Aswath Damodaran
Brand name
Great management
Loyal workforce
Technological prowess
For some assets, the value may already be in your value and adding
a premium will be double counting.
For other assets, the value may be ignored but incorporating it will
not be easy.
50
Nome da marca.
Gesto excelente.
Trabalhadores leais.
Proficincia tecnolgica.
72
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Aswath Damodaran
Current Revenues =
Length of high-growth period =
Reinvestment Rate =
Operating Margin (after-tax) =
Sales/Capital (Turnover ratio) =
Return on capital (after-tax) =
Growth rate during period (g) =
Cost of Capital during period =
Coca-Cola
$21,962.00
10
50%
15.57%
1.34
20.84%
10.42%
7.65%
4.00%
7.65%
52.28%
7.65%
$79,611.25
4.00%
7.65%
52.28%
7.65%
$15,371.24
51
Receitas correntes =
Durao perodo alto crescimento =
Taxa de reinvestimento =
Margem operacional (aps impostos)
Venda/Capital (taxa de giro)
Retorno do capital (aps impostos)
Taxa de crescimento no perodo (g) =
Custo do capital no perodo =
Coca-Cola
$21.962,00
10
50%
15,57%
1,34
20,84%
10,42%
7,65%
4,00%
7,65%
52,28%
7,65%
$79.611,25
4,00%
7,65%
52,28%
7,65%
$15.371,24
51
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73
Aswath Damodaran
5. O Valor do Controle:
Nem sempre vale 20%!!
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Aswath Damodaran
More efficient
operations and
cost cutting:
higher margins
Revenues
* Operating Margin
Reduce beta
= EBIT
Divest assets that
have negative EBIT
+
=
= EBIT (1-t)
Reduce tax rate
moving income to lower tax locales
transfer pricing
risk management
Reduce
operating
leverage
Depreciation
Capital Expenditures
Chg in Working Capital
FCFF
Match your
financing to your
assets: reduce
your default risk
and cost of debt
Better inventory
management and
tighter credit policies
Shift interest
expenses to
higher tax locales
Change
financing mix
to reduce cost
of capital
Firm Value
Increase expected growth
Reinvest more in
projects
Reinvestment rate
* Return on capital
Increase operating
margins
Build on existing
competitive
advantages
Create new
competitive
advatanges
53
Operaes e
cortes de custos
mais eficientes;
margens maiores
Receitas
* Margem operacional
Reduzir beta
= EBIT
Desfazer-se de ativos
com EBIT negativo
- Alquota * EBIT
+
=
Custo do CP * (CP/capital) +
custo pr-imposto do CT (1 - t) *
(CT/capital)
Aproveitar sobreinvestimentos
do passado
= EBIT (1-t)
Reduzir alquota fiscal
mudana para lugar com menor
tributao
preos de transferncia
gesto de riscos
Reduzir
alavancagem
operacional
Depreciao
Despesas de capital
Alter. no capital de giro
FCFF
Ajustar as
obrigaes
financeiras aos
ativos: reduzir
o risco de
inadimplncia e
o custo da dvida
Melhor gesto de
estoque e polticas de
crdito mais rgidas
Transferir gastos
com juros para
locais de maior
tributao
Reordenar o
mix de dvidas
para reduzir o
custo do
capital
Valor da
empresa
Aumentar o crescimento esperado
Reinvestir mais
em projetos
Taxa de reinvestimento
* Retorno do capital
Aumentar as
margens operacionais
Aproveitar
melhor as
vantagens
competitivas
Criar novas
vantagens
competitivas
53
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Aswath Damodaran
Reinvestment rate:
70.83%
Stable growth
g = 4%; beta = 0.80
Country premium = 2%
Return on capital: Cost of capital = 9.92%
Tax rate = 20.00%
9.69%
ROC = 9.92%
Reinvestment rate = g/ROC =
4/9.92 = 40.32%
Expected growth
from new inv.
.7063 * .0969 =
0.686 or 6.86%
HKR cashflows
Op. assets
4312
+ Cash:
1787
- Debt
141
- Minority int
465
= Equity
5,484
/ (common + preferred
shares)
Value non-voting share
335 HKR/share
Year
EBIT (1-t)
- Reinvestment
FCFF
2
HRK 498
HRK 353
HRK 145
3
HRK 532
HRK 377
HRK 155
4
HRK 569
HRK 403
HRK 166
5
HRK 608
HRK 431
HRK 177
612
246
365
Cost of equity
10.70%
Riskfree rate
HRK riskfree rate
4.25%
1
HRK 466
HRK 330
HRK 136
Cost of debt
(4.25% + 0.5% + 2%)
(1 - .20) = 5.40%
Beta
0.70
Mature market
premium
4.5%
Unlevered beta
for sectors: 0.68
On May 1, 2010
AG Pfd price = 279 HRK
AG Common = 345 HRK
Weights
E = 97.4%; D = 2.6%
Lambda
0.68
Lambda
0.42
Country
default spread
2%
Rel equity
mkt vol
1.50
54
Taxa de reinvest.:
70,83%
Retorno do
capital: 9,69%
Cresc. esperado de
novos investim.:
0,7063 * 0,0969 =
0,686 ou 6,86%
Ano
EBIT (1-t)
- Reinvestimento
FCFF
2
498 HRK
353 HRK
145 HRK
3
532 HRK
377 HRK
155 HRK
4
569 HRK
403 HRK
166 HRK
5
608 HRK
431 HRK
177 HRK
612
246
365
1
466 HRK
330 HRK
136 HRK
Crescimento estvel
g = 4%; beta = 0,80
Risco-pas = 2%
Custo do capital = 9,92%
Alquota= 20,00%
ROC = 9,92%
Taxa de reinvestimento =
g/ROC = 4/9,92 = 40,32%
Beta
0,70
Beta no
alavancado do
setor: 0,68
Em 1 de maio de 2010:
Aes preferenciais da AG = HRK 279
Aes ordinrias da AG = HRK 345
Pesos
CP = 97,4%;
CT = 2,6%
Prmio por
mercado
maduro: 4,5%
CT/CP da
empresa: 2,70%
Lambda
0,68
Risco-pas da Crocia
(3%)
Lambda
0,42
Default spread
do pas
2%
Rel equity
mkt vol
1,50
54
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Aswath Damodaran
Reinvestment rate:
70.83%
Stable growth
g = 4%; beta = 0.80
Country premium = 2%
Return on capital: Cost of capital = 9.65%
Tax rate = 20.00%
10.54%
ROC = 9.94%
Reinvestment rate = g/ROC =
4/9.65 = 41.47%
Expected growth
from new inv.
.7063 * .01054 =
0.074 or 0.74%
HKR cashflows
Op. assets
4545
+ Cash:
1787
- Debt
141
- Minority int
465
= Equity
5,735
Value/non-voting 334
Value/voting
362
Year
EBIT (1-t)
- Reinvestment
FCFF
2
HRK 503
HRK 356
HRK 147
3
HRK 541
HRK 383
HRK 158
4
HRK 581
HRK 411
HRK 169
5
HRK 623
HRK 442
HRK 182
628
246
367
Cost of equity
11.12%
Riskfree rate
HRK riskfree rate
4.25%
1
HRK 469
HRK 332
HRK 137
Cost of debt
(4.25% + 4% + 2%)
(1 - .20) = 8.20%
Beta
0.75
Mature market
premium
4.5%
Unlevered beta
for sectors: 0.68
On May 1, 2010
AG Pfd price = 279 HRK
AG Common = 345 HRK
Weights
E = 90%; D = 10%
Lambda
0.68
Lambda
0.42
Country
default spread
2%
Rel equity
mkt vol
1.50
55
Taxa de reinvest.:
70,83%
Retorno do
capital: 10,54%
Cresc. esperado de
novos investim.:
0,7063 * 0,01054 =
0,074 ou 0,74%
Ano
EBIT (1-t)
- Reinvestimento
FCFF
1
469 HRK
332 HRK
137 HRK
2
503 HRK
356 HRK
147 HRK
3
541 HRK
383 HRK
158 HRK
4
581 HRK
411 HRK
169 HRK
5
623 HRK
442 HRK
182 HRK
628
246
367
Beta
0,75
Beta no
alavancado do
setor: 0,68
Em 1 de maio de 2010:
Aes preferenciais da AG = HRK 279
Aes ordinrias da AG = HRK 345
Pesos
CP = 90%;
CT = 10%
Prmio por
mercado
maduro: 4,5%
CT/CP da
empresa: 11,1%
Lambda
0,68
Risco-pas da Crocia
(3%)
Lambda
0,42
Default spread
do pas
2%
Rel equity
mkt vol
1,50
55
www.posigraf.com.br
77
Aswath Damodaran
56
78
www.posigraf.com.br
Aswath Damodaran
www.posigraf.com.br
79
Aswath Damodaran
58
58
80
www.posigraf.com.br
Aswath Damodaran
59
Quais so os fluxos
de caixa dos ativos
existentes?
Diferentes demandas
sobre os fluxos de
caixas podem afetar o
valor do patrimnio
lquido em cada fase.
Qual o valor do
patrimnio lquido
da empresa?
Quando a empresa
se tornar madura
e quais so os
obstculos que
provavelmente
enfrentar?
A empresa superar os desafios
do mercado e da competio?
Mesmo que consiga, difcil
avaliar quando ela se tornar
madura, pois h pouqussimas
informaes nas quais se basear.
59
www.posigraf.com.br
81
Aswath Damodaran
Current
margin:
-36.71%
Sales turnover
ratio: 3.00
Competitive
advantages
Revenue
growth:
42%
Expected
margin:
10.00%
EBIT
-410 m
NOL:
500m
Stable growth
Stable
revenue
growth = 6%
Stable
operating
margin:
10.00%
Stable
ROC = 20%
Reinvest 30%
of EBIT(1-t)
Term. Year
Revenue Growth
Revenues
Operating Margin
EBIT
EBIT(1-t)
- Reinvestment
FCFF
150.00% 100.00%
$ 2,793 $ 5,585
-13.35%
-1.68%
-$373
-$94
-$373
-$94
$600
$967
-$931 -$1,024
1
Cost of Equity
50.00%
$ 14,661
7.08%
$1,038
$871
$1,663
-$758
30.00%
$ 19,059
8.54%
$1,628
$1,058
$1,543
-$408
25.20%
$ 23,862
9.27%
$2,212
$1,438
$1,688
-$163
20.40%
$ 28,729
9.64%
$2,768
$1,799
$1,721
$177
15.60%
$ 33,211
9.82%
$3,261
$2,119
$1,619
$625
10.80%
$ 36,798
9.91%
$3,646
$2,370
$1,363
$1,174
10
12.90%
12.90%
12.90%
12.42%
11.94%
11.46%
10.98%
10.50%
Cost of Debt
8.00%
8.00%
8.00%
8.00%
8.00%
7.80%
7.75%
7.67%
7.50%
7.00%
8.00%
8.00%
8.00%
6.71%
5.20%
5.07%
5.04%
4.98%
4.88%
4.55%
12.84%
12.84%
12.84%
12.83%
12.81%
12.13%
11.62%
11.08%
10.49%
9.61%
Cost of debt
6.5% + 1.5% = 8.0%
Tax rate = 0% 35%
Weights
Debt = 1.2 15%
Beta
1.60 1.00
Internet/
retail
Risk premium
4%
Operating
leverage
Amazon was
trading at $84 in
January 2000.
6%
$ 41,346
10.00%
$4,135
$2,688
$155
$1,881
Forever
12.90%
Used average
interest coverage
ratio over next
5 years to get
BBB rating.
Riskfree rate
T. Bond rate = 6.5%
6.00%
$ 39,006
9.95%
$3,883
$2,524
$961
$1,788
12.90%
Cost of Capital
Cost of equity
12.90%
75.00%
$ 9,774
4.16%
$407
$407
$1,420
-$989
Current D/E
= 1.21%
Base equity
premium
Country risk
premium
60
Coeficiente vendas/capital e
margem esperada so valores
mdios do setor varejista.
Margem
atual:
-36,71%
Giro de vendas:
3,00
Vantagens
competitivas
Aumento
da receita:
42%
Margem
esperada:
10,00%
EBIT
-$410 milhes
Crescimento estvel
Crescimento
estvel das
receitas = 6%
Margem
ROC estvel
operacional
= 20%
estvel:
Reinvest. 30%
10,00%
de EBIT(1-t)
Ano Terminal
Aumento da receita
Receitas
Margem operac.
EBIT
EBIT(1-t)
- Reinvestimento
FCFF
150,00% 100,00%
$ 2.793 $ 5.585
-13,35%
-1,68%
-$373
-$94
-$373
-$94
$600
$967
-$931 -$1.024
50,00%
$ 14.661
7,08%
$1.038
$871
$1.663
-$758
30,00%
$ 19.059
8,54%
$1.628
$1.058
$1.543
-$408
25,20%
$ 23.862
9,27%
$2.212
$1.438
$1.688
-$163
20,40%
$ 28.729
9,64%
$2.768
$1.799
$1.721
$177
15,60%
$ 33.211
9,82%
$3.261
$2.119
$1.619
$625
10,80%
$ 36.798
9,91%
$3.646
$2.370
$1.363
$1.174
10
12,90%
12,90%
12,90%
12,90%
12,42%
11,94%
11,46%
10,98%
10,50%
8,00%
8,00%
8,00%
8,00%
8,00%
7,80%
7,75%
7,67%
7,50%
7,00%
Custo do CT ps impostos
8,00%
8,00%
8,00%
6,71%
5,20%
5,07%
5,04%
4,98%
4,88%
4,55%
12,84%
12,84%
12,84%
12,83%
12,81%
12,13%
11,62%
11,08%
10,49%
9,61%
Usou a cobertura
mdia de juros
dos 5 anos
subsequentes
para obter rating
BBB.
Pesos
CT = 1,2 15%
Beta
1,60 1,00
+
Internet/
varejo
Alavancagem
Operacional
6%
$ 41.346
10,00%
$4.135
$2.688
$155
$1.881
Perpetuidade
12,90%
Empurrou taxa de
endividamento para a mdia
do setor varejista, 15%
6,00%
$ 39.006
9,95%
$3.883
$2.524
$961
$1.788
Custo do capital
Custo do capital
prprio: 12,90%
75,00%
$ 9.774
4,16%
$407
$407
$1.420
-$989
CT/CP atual
= 1,21%
Prmio bsico
pelo risco de
mercado
Prmio pelo
risco-pas
60
82
www.posigraf.com.br
Aswath Damodaran
$316.93
-$77.06
$2.49
Operating assets
+ Cash:
+ IPO proceeds
Debt
Value of equity
Options
Value in stock
/ # of shares
Value/share
$534.46
$134.91
$7.67
$955.00
1.44%
0.56
$5.30
$9,705
321
1,295
214
11,106
713
10,394
582.46
$17.84
Revenue
growth of
51.5% a year for
5 years,
tapering down
to 2.5% in year
10
Pre-tax
operating
margin
increases to
25% over the
next 10 years
Stable Growth
g = 2.5%; Beta = 1.00;
Cost of capital = 8%; ROC= 12%;
Reinvestment Rate=2.5%/12% = 20.83%
Sales to capital
ratio of
1.50 for
incremental
sales
10
810
1,227
1,858
2,816
4,266
6,044
7,973
9,734
10,932
11,205
31
75
158
306
564
941
1,430
1,975
2,475
2,801
1,807
Operating income
Operating income after tax
- Reinvestment
FCFF
395
649
969
1,317
1,624
183
278
421
638
967
1,186
1,285
1,175
798
182
(153)
31
(203)
75
(263)
158
(344)
294
(572)
(537)
(316)
143
826
1,625
Cost of equity
11.12%
Riskfree rate
Riskfree rate = 2.5%
Beta
1.40
Risk premium
6.15%
90% advertising
(1.44) + 10% info
svcs (1.05)
D/E = 1.71%
61
Receitas
aumentam
51,5% a.a. por
5 anos,
diminuindo
para 2,5% no
10 ano
Reta final
Ativos operacionais
+ Caixa:
+ Proventos da IPO
Capital de terceiros
Valor do patrim. Lq.
Opes
Valor em aes
/ n de aes
Preo por ao
$9.705
321
1.295
214
11.106
713
10.394
582,46
$17,84
$
Receitas
10
810
1.227
1.858
2.816
4.266
6.044
7.973
9.734
10.932
11.205
31
75
158
306
564
941
1.430
1.975
2.475
2.801
1.807
Receita operacional
Receita oper. ps-impostos
- Reinvestimento
FCFF
31
75
158
294
395
649
969
1.317
1.624
183
278
421
638
967
1.186
1.285
1.175
798
182
(153)
(203)
(263)
(344)
(572)
(537)
(316)
143
826
1.625
Beta
1,40
90% publicidade
(1,44) + 10% servios de inform. (1,05)
www.posigraf.com.br
Crescimento estvel
g = 2,5%; Beta = 1,00;
Custo do capital = 8%; ROC= 12%;
Taxa de reinvestimento=2,5%/12% = 20,83%
Coeficiente
vendas/capital
de 1,50 para
vendas
incrementais
Margem
operacional
pr-impostos
aumenta para
25% nos
prximos 10
anos
x
CT/CP = 1,71%
Pesos
CP = 98,1%
CT = 1,9%
61
83
Aswath Damodaran
1. Less is more
Year
TR 12 mths
1
2
3
4
5
6
7
8
9
10
TY
Revenue
growth (%)
Sales
($)
1117
2793
5585
9774
14661
19059
23862
28729
33211
36798
39006
41346
150
100
75
50
30
25.2
20.4
15.6
10.8
6
6
Operating
Margin ($)
-36.71
-13.35
-1.68
4.16
7.08
8.54
9.27
9.64
9.82
9.91
9.95
10.00
EBIT
($)
-410
-373
94
407
1038
1628
2212
2768
3261
3646
3883
4135
EBIT (1-t)
($)
-410
-373
-94
407
871
1058
1438
1799
2119
2370
2524
2688
Principle of parsimony:
Estimate fewer inputs when
faced with uncertainty.
62
1. Menos mais.
Ano
Aumento das
receitas (%)
ltimos 12 meses
1
2
3
4
5
6
7
8
9
10
Ano terminal
150
100
75
50
30
25,2
20,4
15,6
10,8
6
6
Vendas
($)
1117
2793
5585
9774
14661
19059
23862
28729
33211
36798
39006
41346
Margem
operacional ($)
-36,71
-13,35
-1,68
4,16
7,08
8,54
9,27
9,64
9,82
9,91
9,95
10,00
EBIT
($)
-410
-373
94
407
1038
1628
2212
2768
3261
3646
3883
4135
EBIT (1-t)
($)
-410
-373
-94
407
871
1058
1438
1799
2119
2370
2524
2688
Princpio da parcimnia:
estime menos insumos em
situaes de incerteza.
62
84
www.posigraf.com.br
Aswath Damodaran
Online
advertising
share of
market
Google
Facebook
Yahoo!
Microsoft
IAC
AOL
Amazon
Pandora
Twitter
LinkedIn
Millennial Media
Other
Total Market
20%
25%
30%
35%
40%
2011
%
32.09
3.65
3.95
1.27
1.15
1.17
0.48
0.28
0.16
0.18
0.05
55.59
100
$
27.74
3.15
3.41
1.10
0.99
1.01
0.41
0.24
0.14
0.16
0.04
48.05
86.43
2012
%
$
31.46
32.73
4.11
4.28
3.37
3.51
1.63
1.70
1.39
1.45
1.02
1.06
0.59
0.61
0.36
0.37
0.28
0.29
0.25
0.26
0.07
0.07
55.47
57.71
100.00
104.04
2013
%
$
33.24
38.83
5.04
5.89
3.10
3.62
1.78
2.08
1.47
1.72
0.95
1.11
0.71
0.83
0.50
0.58
0.50
0.58
0.32
0.37
0.10
0.12
52.29
61.09
100.00
116.82
Company
Google Inc.
Facebook, Inc.
Yahoo! Inc.
Netflix
Groupon
LinkedIn Corporation
Pandora Media, Inc.
Yelp, Inc.
OpenTable, Inc.
RetailMeNot
Travelzoo Inc.
Zillow, Inc.
Trulia, Inc.
Aggregate
Share de
mercado da
publicidade
online
Google
Facebook
Yahoo!
Microsoft
IAC
AOL
Amazon
Pandora
Twitter
LinkedIn
Millennial Media
Outras
Mercado total
20%
25%
30%
35%
40%
2011
%
32,09
3,65
3,95
1,27
1,15
1,17
0,48
0,28
0,16
0,18
0,05
55,59
100
$
27,74
3,15
3,41
1,10
0,99
1,01
0,41
0,24
0,14
0,16
0,04
48,05
86,43
2012
%
$
31,46
32,73
4,11
4,28
3,37
3,51
1,63
1,70
1,39
1,45
1,02
1,06
0,59
0,61
0,36
0,37
0,28
0,29
0,25
0,26
0,07
0,07
55,47
57,71
100,00
104,04
2013
%
$
33,24
38,83
5,04
5,89
3,10
3,62
1,78
2,08
1,47
1,72
0,95
1,11
0,71
0,83
0,50
0,58
0,50
0,58
0,32
0,37
0,10
0,12
52,29
61,09
100,00
116,82
www.posigraf.com.br
Empresa
Google Inc.
Facebook, Inc.
Yahoo! Inc.
Netflix
Groupon
LinkedIn Corporation
Pandora Media, Inc.
Yelp, Inc.
OpenTable, Inc.
RetailMeNot
Travelzoo Inc.
Zillow, Inc.
Trulia, Inc,
Agregado
85
Aswath Damodaran
Year
Tr 12 mths
1
2
3
4
5
6
7
8
9
10
TY
Revenues
($)
1117
2793
5585
9774
14661
19059
23862
28729
33211
36798
39006
41346
' Revenues
($)
Sales/Cap
1676
2793
4189
4887
4398
4803
4868
4482
3587
2208
2340
3
3
3
3
3
3
3
3
3
3
NA
' Investment
($)
559
931
1396
1629
1466
1601
1623
1494
1196
736
Invested
capital ($)
487
1045
1976
3372
5001
6467
8068
9691
11185
12380
13116
EBIT (1-t)
($)
-410
-373
-94
407
871
1058
1438
1799
2119
2370
2524
Adjusted to be =
Imputed ROC
(%)
-76.62
-8.96
20.59
25.82
21.16
22.23
22.30
21.87
21.19
20.39
20.00
Ano
ltimos 12 meses
1
2
3
4
5
6
7
8
9
10
Ano terminal
Receitas
($)
1117
2793
5585
9774
14661
19059
23862
28729
33211
36798
39006
41346
' de receitas
($)
Vendas/capital
1676
2793
4189
4887
4398
4803
4868
4482
3587
2208
2340
3
3
3
3
3
3
3
3
3
3
n.d.
Capital
EBIT (1-t)
($)
investido ($)
487
-410
1045
-373
1976
-94
3372
407
5001
871
6467
1058
8068
1438
9691
1799
11185
2119
12380
2370
13116
2524
Ajustado para ser =
ROC designado
(%)
-76,62
-8,96
20,59
25,82
21,16
22,23
22,30
21,87
21,19
20,39
20,00
As margens e os retornos
designados de capital
esto razoveis nos
anos ltimos anos?
64
86
www.posigraf.com.br
Aswath Damodaran
Post-I.P.O. growth
Median of new issues
from 1965 to 2005
65
Crescimento ps-IPO
Mediana de novas
emisses entre 1965 e
2005
65
www.posigraf.com.br
87
Aswath Damodaran
Year
Tr 12 mths
1
2
3
4
5
6
7
8
9
10
TY
Revenues
($)
1117
2793
5585
9774
14661
19059
23862
28729
33211
36798
39006
41346
' Revenues
($)
Sales/Cap
1676
2793
4189
4887
4398
4803
4868
4482
3587
2208
2340
3
3
3
3
3
3
3
3
3
3
NA
' Investment
($)
559
931
1396
1629
1466
1601
1623
1494
1196
736
Invested
capital ($)
487
1045
1976
3372
5001
6467
8068
9691
11185
12380
13116
EBIT (1-t)
($)
-410
-373
-94
407
871
1058
1438
1799
2119
2370
2524
Adjusted to be =
Imputed ROC
(%)
-76.62
-8.96
20.59
25.82
21.16
22.23
22.30
21.87
21.19
20.39
20.00
66
Ano
ltimos 12 meses
1
2
3
4
5
6
7
8
9
10
Ano terminal
Receitas
($)
1117
2793
5585
9774
14661
19059
23862
28729
33211
36798
39006
41346
' de receitas
($)
Vendas/capital
1676
2793
4189
4887
4398
4803
4868
4482
3587
2208
2340
3
3
3
3
3
3
3
3
3
3
n.d.
Capital
EBIT (1-t)
($)
investido ($)
487
-410
1045
-373
1976
-94
3372
407
5001
871
6467
1058
8068
1438
9691
1799
11185
2119
12380
2370
13116
2524
Ajustado para ser =
ROC designado
(%)
-76,62
-8,96
20,59
25,82
21,16
22,23
22,30
21,87
21,19
20,39
20,00
66
88
www.posigraf.com.br
Aswath Damodaran
Cost of debt
(2.5% + 5.5%)(1 - .40)
= 5.16%
Cost of equity
11.12%
Weights
E = 98.11%
D = 1.89%
Riskfree rate
2.5%
Beta
1.40
Risk premium
6.15%
D/E = 1.71%
67
Custo do capital de
terceiros
(2,5% + 5,5%)(1 - 0,40)
= 5,16%
Custo do capital
prprio
11,12%
Pesos
CP = 98,11%
CT = 1,89%
Beta
1,40
CT/CP = 1,71%
67
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89
Aswath Damodaran
Compound Annual
Revenue Growth Rate
12%
14%
$2.95
$7.84
$12.71
$17.57
$1.41
$8.37
$15.33
$22.27
$29.21
$6.10
$15.93
$25.74
$35.54
$45.34
45%
$12.59
$26.34
$40.05
$53.77
$67.48
50%
$21.47
$40.50
$59.52
$78.53
$97.54
55%
$33.47
$59.60
$85.72
$111.84
$137.95
60%
$49.53
$85.10
$120.66
$156.22
$191.77
30%
-$1.94
35%
40%
8%
10%
68
Taxa composta de
aumento anual das
receitas
6%
12%
14%
$2,95
$7,84
$12,71
$17,57
$1,41
$8,37
$15,33
$22,27
$29,21
$6,10
$15,93
$25,74
$35,54
$45,34
45%
$12,59
$26,34
$40,05
$53,77
$67,48
50%
$21,47
$40,50
$59,52
$78,53
$97,54
55%
$33,47
$59,60
$85,72
$111,84
$137,95
60%
$49,53
$85,10
$120,66
$156,22
$191,77
30%
-$1,94
35%
40%
8%
10%
68
90
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Aswath Damodaran
No matter how careful you are in getting your inputs and how well
structured your model is, your estimate of value will change both
as new information comes out about the company, the business
and the economy.
As information comes out, you will have to adjust and adapt your
model to reflect the information. Rather than be defensive about
the resulting changes in value, recognize that this is the essence of
risk.
A test: If your valuations are unbiased, you should find yourself
increasing estimated values as often as you are decreasing values.
In other words, there should be equal doses of good and bad news
affecting valuations (at least over time).
69
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91
Aswath Damodaran
$80.00
$70.00
$60.00
$50.00
$40.00
$30.00
$20.00
$10.00
$0.00
2000
2001
2002
2003
Time of analysis
70
$80,00
$70,00
$60,00
$50,00
Valor por ao
$40,00
Preo por ao
$30,00
$20,00
$10,00
$0,00
2000
2001
2002
2003
Momento da Anlise
70
92
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Aswath Damodaran
71
Quando a empresa
se tornar madura
e quais so os
obstculos que
provavelmente
enfrentar?
Existe a real probabilidade
de a empresa no
sobreviver, especialmente se
o seu nvel de alavancagem
financeira for elevado. Se
conseguir sobreviver e
continuar operando, ser
como uma entidade muito
menor.
71
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93
Aswath Damodaran
Current
revenue:
$4390
Extended
reinvestment
break, due to
investment in
past
EBIT
$209 m
$9793
$3040
$12833
$7565
$5268
Reinvestment:
Capital expenditures include cost
of new casinos and working capital
Current
margin:
4.76%
$8.12
Stable growth
Stable
operating
margin:
17%
Stable
revenue
growth = 3%
Industry
average
Expected
margin:
17%
Revenues
Oper Margin
EBIT
Tax rate
EBIT * (1-t)
-Reinvestment
FCFF
$4,434
5.81%
$258
26.0%
$191
-$19
$210
1
$4,523
6.86%
$310
26.0%
$229
-$11
$241
2
$5,427
7.90%
$429
26.0%
$317
$0
$317
3
$6,513
8.95%
$583
26.0%
$431
$22
$410
4
$7,815
10%
$782
26.0%
$578
$58
$520
5
$8,206
11.40%
$935
28.4%
$670
$67
$603
6
$8,616
12.80%
$1,103
30.8%
$763
$153
$611
7
$9,047
14.20%
$1,285
35.6%
$858
$215
$644
8
$9,499
15.60%
$1,482
38.00%
$954
$286
$668
9
$9,974
17%
$1,696
38%
$1,051
$350
$701
10
Beta
Cost of equity
Cost of debt
Debt ratio
Cost of capital
3.14
21.82%
9%
73.50%
9.88%
3.14
21.82%
9%
73.50%
9.88%
3.14
21.82%
9%
73.50%
9.88%
3.14
21.82%
9%
73.50%
9.88%
3.14
21.82%
9%
73.50%
9.88%
2.75
19.50%
8.70%
68.80%
9.79%
2.36
17.17%
8.40%
64.10%
9.50%
1.97
14.85%
8.10%
59.40%
9.01%
1.59
12.52%
7.80%
54.70%
8.32%
1.20
10.20%
7.50%
50.00%
7.43%
Cost of debt
3% + 6% = 9%
9% (1 - .38) = 5.58%
Cost of equity
21.82%
Stable
ROC = 10%
Reinvest 30%
of EBIT(1-t)
Term. Year
$10,273
17%
$1,746
38%
$1,083
$325
$758
Forever
Weights
Debt = 73.5 50%
Beta
3.14 1.20
Risk premium
6%
Casino
1.15
Current D/E
= 277%
Base equity
premium
Country risk
premium
Receitas
correntes:
$4390
Margem
atual:
4,76%
EBIT
$209 milhes
$8,12
Reinvestimento:
Despesas de capital incluem custo
de novos cassinos e capital de giro
Longa
interrupo de
reinvestimento
devido aos
investimentos
no passado
Mdia
do setor
Margem
esperada:
17%
Crescimento estvel
Crescimento
estvel das
receitas = 3%
Margem
ROC estvel =
operacional
10%
estvel:
Reinvest. 30%
17%
de EBIT(1-t)
Receitas
Margem operac.
EBIT
Alquota
EBIT * (1-t)
-Reinvestimento
FCFF
$4.434
5,81%
$258
26,0%
$191
-$19
$210
1
$4.523
6,86%
$310
26,0%
$229
-$11
$241
2
$5.427
7,90%
$429
26,0%
$317
$0
$317
3
$6.513
8,95%
$583
26,0%
$431
$22
$410
4
$7.815
10%
$782
26,0%
$578
$58
$520
5
$8.206
11,40%
$935
28,4%
$670
$67
$603
6
$8.616
12,80%
$1.103
30,8%
$763
$153
$611
7
$9.047
14,20%
$1.285
35,6%
$858
$215
$644
8
$9.499
15,60%
$1.482
38,00%
$954
$286
$668
9
$9.974
17%
$1.696
38%
$1.051
$350
$701
10
Beta
Custo do CP
Custo do CT
Tx. endividam.
Custo do capital
3,14
21,82%
9%
73,50%
9,88%
3,14
21,82%
9%
73,50%
9,88%
3,14
21,82%
9%
73,50%
9,88%
3,14
21,82%
9%
73,50%
9,88%
3,14
2182%
9%
73,50%
9,88%
2,75
19,50%
8,70%
68,80%
9,79%
2,36
17,17%
8,40%
64,10%
9,50%
1,97
14,85%
8,10%
59,40%
9,01%
1,59
12,52%
7,80%
54,70%
8,32%
1,20
10,20%
7,50%
50,00%
7,43%
Custo do capital
prprio: 21,82%
Beta
3,14 1,20
+
Cassinos
1,15
94
CT/CP atual
= 277%
Perpetuidade
Pesos
CT = 73,5 50%
Ano terminal
$10.273
17%
$1.746
38%
$1.083
$325
$758
Prmio bsico
pelo risco de
mercado
Prmio pelo
risco-pas
Aes da
Las Vegas Sands
estavam sendo
negociadas a
aprox. US$ 4,25
em fev. 2009.
72
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Aswath Damodaran
In February 2009, LVS was rated B+ by S&P. Historically, 28.25% of B+ rated bonds
default within 10 years. LVS has a 6.375% bond, maturing in February 2015 (7 years),
trading at $529. If we discount the expected cash flows on the bond at the riskfree
rate, we can back out the probability of distress from the bond price:
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Aswath Damodaran
74
Quando a empresa
se tornar madura
e quais so os
obstculos que
provavelmente
enfrentar?
Para empresas de commodities,
o fato de haver apenas uma
quantidade finita de uma
commodity pode limitar o
crescimento para sempre. Para
empresas cclicas, existe o risco
de serem destrudas pela
prxima recesso.
74
96
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Aswath Damodaran
Sample size
Unlevered
beta of
business
Revenues
0.86
0.83
0.99
0.75
0.8440
$9,013
$32,717
$3,777
$1,644
$47,151
Metals & Mi
48
Iron Ore
78
Fertilizers
693
Logistics
223
Vale Operations
Peer Group
EV/Sales
Value of
Business
Proportion
of Vale
1.97
2.48
1.52
1.14
$17,739
$81,188
$5,741
$1,874
$106,543
16.65%
76.20%
5.39%
1.76%
100.00%
% of revenues
ERP
US & Canada
4.90%
5.50%
Brazil
16.90%
8.50%
Rest of Latin America
1.70%
10.09%
China
37.00%
6.94%
Japan
10.30%
6.70%
Rest of Asia
8.50%
8.61%
Europe
17.20%
6.72%
Rest of World
3.50%
10.06%
Vale ERP
100.00%
7.38%
Vales rating: ADefault spread based on rating = 1.30%
Cost of debt (pre-tax) = 2.75% + 1.30% = 4.05%
Reinvestment rate =
g
ROC
2%
17.25%
= 11.59%
= $202,832
=
=
=
=
=
=
$202,832
$7,133
$42,879
$167,086
$32.44
$13.57
75
Alquota efetiva
27,79%
18,67%
18,54%
18,96%
20,65%
20,92%
VN do CT
$18.168
$23.613
$27.668
$23.116
$30.196
VN do CP
$42.556
$59.766
$70.076
$78.721
$75.974
Caixa
$12.639
$11.040
$9.913
$3.538
$5.818
Capital invest.
$48.085
$72.339
$87.831
$98.299
$100.352
Ret. do capital
9,10%
25,90%
28,01%
11,00%
12,25%
17,25%
Beta no
Tamanho
alavancado
da amostra
do setor
Metal e Min.
48
Min. ferro
78
Fertilizantes
693
Logstica
223
Operaes da Vale
Receitas
0,86
0,83
0,99
0,75
0,8440
VE/vendas
de empresas
similares
$9.013
$32.717
$3.777
$1.644
$47.151
1,97
2,48
1,52
1,14
Valor do
negcio
Proporo
da Vale
$17.739
$81.188
$5.741
$1.874
$106.543
16,65%
76,20%
5,39%
1,76%
100,00%
% das receitas
ERP
EUA e Canad
4,90%
5,50%
Brasil
16,90%
8,50%
Resto da Amrica Lat.
1,70%
10,09%
China
37,00%
6,94%
Japo
10,30%
6,70%
Resto da sia
8,50%
8,61%
Europa
17,20%
6,72%
Resto do mundo
3,50%
10,06%
ERP da Vale
100,00%
7,38%
Classificao de risco (rating) da Vale: ADefault spread baseado no rating = 1,30%
Custo do CT (pr-impostos) = 2,75% + 1,30% = 4,05%
Taxa de reinvestimento =
g
ROC
2%
17,25%
VE = Valor da empresa
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= 11,59%
= $202.832
=
=
=
=
=
=
$202.832
$7.133
$42.879
$167.086
$32,44
$13,57
75
97
Aswath Damodaran
Relative Valuation
76
Avaliao Relativa
76
98
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Aswath Damodaran
Almost 85% of equity research reports are based upon a multiple and
comparables.
More than 50% of all acquisition valuations are based upon multiples
Rules of thumb based on multiples are not only common but are often the basis
for final valuation judgments.
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99
Aswath Damodaran
If you think Im crazy, you should see the guy who lives
across the hall
Jerry Seinfeld talking about Kramer in a Seinfeld episode
If you are going to screw up, make sure that you have lots
of company
Ex-portfolio manager
78
100
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Aswath Damodaran
Too many people who use a multiple have no idea what its cross sectional
distribution is. If you do not know what the cross sectional distribution of a
multiple is, it is difficult to look at a number and pass judgment on whether it is
too high or low.
In use, the same multiple can be defined in different ways by different users.
When comparing and using multiples, estimated by someone else, it is critical
that we understand how the multiples have been estimated
It is critical that we understand the fundamentals that drive each multiple, and
the nature of the relationship between the multiple and each variable.
Defining the comparable universe and controlling for differences is far more
difficult in practice than it is in theory.
79
Defina o mltiplo.
Descreva o mltiplo.
Analise o mltiplo.
Na prtica, o mesmo mltiplo pode ser definido de diferentes maneiras por cada
usurio. Ao comparar e usar mltiplos calculados por outra pessoa, crucial que
se compreenda como esses mltiplos foram estimados.
Aplique o mltiplo.
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Aswath Damodaran
Definitional Tests
Testes de Definio
102
80
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Aswath Damodaran
81
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Aswath Damodaran
Minority interests?
Majority active interests?
82
Interesse minoritrio?
Interesse majoritrio ativo?
VE = Valor da empresa
104
VM = Valor de mercado
82
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Aswath Damodaran
Descriptive Tests
What is the average and standard deviation for this multiple, across
the universe (market)?
What is the median for this multiple?
How large are the outliers to the distribution, and how do we deal
with the outliers?
The median for this multiple is often a more reliable comparison point.
Throwing out the outliers may seem like an obvious solution, but if the outliers
all lie on one side of the distribution (they usually are large positive numbers),
this can lead to a biased estimate.
Testes Descritivos
Descartar valores atpicos pode parecer uma soluo bvia, mas se esses valores
estiverem todos do mesmo lado da distribuio (e eles geralmente so grandes
nmeros positivos), isso pode levar a uma estimativa distorcida.
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105
Aswath Damodaran
600.
500.
400.
Current
300.
Trailing
Forward
200.
100.
0.
0.01 to 4 4 to 8
8 to 12 12 to 16 16 to 20 20 to 24 24 to 28 28 to 32 32 to 36 36 to 40 40 to 50 50 to 75 75 to 100 More
84
600.
500.
400.
Atual
300.
Passado
Futuro
200.
100.
0.
0,01 a 4
4a8
8 a 12 12 a 16 16 a 20 20 a 24 24 a 28 28 a 32 32 a 36 36 a 40 40 a 50 50 a 75 75 a 100 Mais
84
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Aswath Damodaran
Number of firms
Number with PE
Average
Median
Minimum
Maximum
Standard deviation
Standard error
Skewness
25th percentile
75th percentile
Current PE
7766
3248
52.13
20.78
0.25
7117.43
Trailing PE
7766
3186
50.14
19.75
0.4
7117.43
Forward PE
7766
2699
38.62
18.54
0.52
16820
242.03
4.25
18.29
13.004
33.66
249.64
4.42
17.62
12.97
30.47
349.38
6.72
42.99
14.7
25.13
85
Nmero de empresas
Nmero com P/L
Mdia
Mediana
Mnimo
Mximo
Desvio padro
Erro padro
Vis
25 percentil
75 percentil
P/L atual
7766
3248
52,13
20,78
0,25
7117,43
242,03
4,25
18,29
13,004
33,66
P/L passado
7766
3186
50,14
19,75
0,4
7117,43
P/L futuro
7766
2699
38,62
18,54
0,52
16820
249,64
4,42
17,62
12,97
30,47
349,38
6,72
42,99
14,7
25,13
85
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107
Aswath Damodaran
20.00%
25th percentile
12.97
11.51
9.29
9.52
8.60
9.57
Average
50.14
65.01
32.55
44.98
109.51
82.11
Median
19.75
17.79
13.87
15.69
14.84
16.00
75th percentile
30.47
28.52
22.06
27.46
29.77
28.36
15.00%
Aus, Ca & NZ
US
10.00%
Emerg Mkts
Europe
5.00%
Japan
Global
0.00%
0.01 to 4
4 to 8
8 to 12 12 to 16 16 to 20 20 to 24 24 to 28 28 to 32 32 to 36 36 to 40 40 to 50 50 to 75 75 to 100 More
86
20,00%
Mdia
50,14
65,01
32,55
44,98
109,51
82,11
25 percentil
12,97
11,51
9,29
9,52
8,60
9,57
Mediana
19,75
17,79
13,87
15,69
14,84
16,00
75 percentil
30,47
28,52
22,06
27,46
29,77
28,36
15,00%
Aus, Can e NZ
EUA
10,00%
Mercados emerg.
Europa
5,00%
Japo
Mundo
0,00%
0,01 a 4
4a8
8 a 12
12 a 16
16 a 20 20 a 24 24 a 28
28 a 32 32 a 36 36 a 40
40 a 50
50 a 75 75 a 100
Mais
86
108
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Aswath Damodaran
20.00%
Average
102.87
25.67
20.86
47.89
46.62
46.72
25th percentile
8.62
7.19
4.16
5.72
5.71
5.91
Median
12.42
10.64
6.79
9.41
10.30
10.08
75th percentile
19.16
16.78
11.04
15.30
20.21
17.80
15.00%
Aus, Ca & NZ
10.00%
US
Emerg Mkts
Europe
5.00%
Japan
Global
0.01 to 2 2 to 4
4 to 6
6 to 8
8 to 10 10 to 12 12 to 16 16 to 20 20 to 25 25 to 30 30 to 35 35 to 40 40 to 45 45 to 50 50 to 75 75 to 100 More
87
20,00%
Mdia
102,87
25,67
20,86
47,89
46,62
46,72
25 percentil
8,62
7,19
4,16
5,72
5,71
5,91
Mediana
12,42
10,64
6,79
9,41
10,30
10,08
75 percentil
19,16
16,78
11,04
15,30
20,21
17,80
15,00%
Aus, Can e NZ
10,00%
EUA
Mercados emerg.
Europa
5,00%
Japo
Mundo
0,01 a 2 2 a 4
4a6
6a8
8 a 10
10 a 12 12 a 16 16 a 20 20 a 25 25 a 30 30 a 35 35 a 40 40 a 45 45 a 50 50 a 75 75 a 100 Mais
87
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109
Aswath Damodaran
Analytical Tests
Proposition 2: Embedded in every multiple are all of the variables that drive
every discounted cash flow valuation growth, risk and cash flow patterns.
In fact, using a simple discounted cash flow model and basic algebra should
yield the fundamentals that drive a multiple
Testes Analticos
110
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Aswath Damodaran
P0 =
r - gn
= PE =
FCFE1
P0
r - gn
EPS0
= PE =
(FCFE/Earnings) * (1 + gn)
r - gn
89
P0 =
r - gn
= P/L =
FCFE1
P0
r - gn
LPA0
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= P/L =
(FCFE/Lucro) * (1 + gn)
r - gn
FCFE = Fluxo de caixa livre para os acionistas (free cash flow to equity)
89
111
Aswath Damodaran
PE = (Payout ratio)
(1 + g) / (r - g)
PE = f(g, payout, risk)
Equity Multiples
Firm Multiples
V/FCFF = f(g, WACC)
Value / FCFF =
(1 + g) / (WACC - g)
Value / EBIT = (1 + g)
(1 - RIR) /(1-t) (WACC - g)
VS = Oper margin
(1 - RIR)(1 + g) / (WACC - g)
PE = (nd. payout)
(1 + g) / (r - g)
PE = f(g, payout, risco)
Mltiplos da empresa
V/FCFF = f(g, WACC)
Valor / FCFF =
(1 + g) / (WACC - g)
Value / EBIT = (1 + g)
(1 - TR) /(1-t) (WACC - g)
VS = Margem operacional
(1 - TR)(1 + g) / (WACC - g)
112
TR = Taxa de reinvestimento
90
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Aswath Damodaran
Application Tests
While traditional analysis is built on the premise that firms in the same
sector are comparable firms, valuation theory would suggest that a
comparable firm is one which is similar to the one being analyzed in terms
of fundamentals.
Proposition 4: There is no reason why a firm cannot be compared with
another firm in a very different business, if the two firms have the same
risk, growth and cash flow characteristics.
Testes de Aplicao
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Aswath Damodaran
PE
Growth
PT Indosat ADR
7.8
0.06
Telebras ADR
8.9
0.075
11.2
0.11
12.5
0.08
12.8
0.12
16.6
0.08
Swisscom AG ADR
18.3
0.11
19.6
0.16
20.8
0.13
21.1
0.14
Matav RT ADR
21.5
0.22
Telstra ADR
21.7
0.12
Gilat Communications
22.7
0.31
24.6
0.11
25.7
0.07
27
0.09
28.4
0.32
29.8
0.14
31
0.33
Telefonica SA ADR
32.5
0.18
35.7
0.13
42.2
0.14
44.3
0.2
45.2
0.19
71.3
0.44
92
114
P/L
Crescimento
PT Indosat RDA
7,8
0,06
Telebras RDA
8,9
0,075
11,2
0,11
12,5
0,08
12,8
0,12
16,6
0,08
Swisscom AG RDA
18,3
0,11
19,6
0,16
20,8
0,13
21,1
0,14
Matav RT RDA
21,5
0,22
Telstra RDA
21,7
0,12
Gilat Communications
22,7
0,31
24,6
0,11
25,7
0,07
27
0,09
28,4
0,32
29,8
0,14
31
0,33
Telefonica SA RDA
32,5
0,18
35,7
0,13
42,2
0,14
44,3
0,2
45,2
0,19
71,3
0,44
92
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Aswath Damodaran
Coefficient
SE
T-ratio
Probability
Constant
13.1151
3.471
3.78
0.0010
Growth rate
121.223
19.27
6.29
d 0.0001
Emerging market
-13.8531
3.606
-3.84
0.0009
Coeficiente
SE
Razo T
Probabilidade
Constante
13,1151
3,471
3,78
0,0010
Taxa de crescimento
121,223
19,27
6,29
d 0,0001
Mercado emergente
-13,8531
3,606
-3,84
0,0009
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Aswath Damodaran
R2
US
33.6%
Europe
37.7%
Japan
16.9%
Emerging
Markets
20.0%
Global
33.1%
gEPS = Expected Growth: expected growth in EPS or net income: next 5 years
Beta: Regression or Bottom up Beta
Payout ratio: Dividends / Net income from most recent year. Set to zero if net income < 0
ERP: Equity Risk Premium (total) for country in which company is incorporated
94
R2
EUA
33,6%
Europa
37,7%
Japo
16,9%
Mercados
emergentes
20,0%
Mundo
P/L = 11,79 + 50,39 gLPA + 15,86 payout - 1,01 beta - 61,15 ERP
33,1%
gLPA = crescimento esperado: crescimento esperado do lucro por ao ou renda lquida: prximos 5 anos.
Beta: regresso ou beta no alavancado.
ndice payout: dividendos / renda lquida do ano mais recente. Zero se renda lquida < 0.
ERP: Equity Risk Premium (total) [prmio pelo risco de mercado] do pas em que a empresa est sediada.
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Aswath Damodaran
Conventional usage
Sector
Multiple Used
Rationale
Cyclical Manufacturing
PE, Relative PE
Often with
normalized earnings
Growth firms
PEG ratio
Revenue Multiples
Infrastructure
EV/EBITDA
REIT
Financial Services
Marked to market?
Retailing
Revenue multiples
Margins equalize
sooner or later
95
Aplicao convencional
Setor
Mltiplo utilizado
Produo cclica
Justificativa
Frequentemente com
lucros normalizados
Empresas de grande
crescimento
Coeficiente PEG
Empresas jovens de
grande crescimento,
com prejuzo
Mltiplos de receitas
Infraestrutura
Fundo de investimento
imobilirio
Servios financeiros
VE/EBITDA
P/CFE (onde CFE = renda
lquida + depreciao)
Preo / valor contbil CP
Varejo
Mltiplos de receitas
As margens so
equalizadas mais cedo
ou mais tarde
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Aswath Damodaran
A closing thought
96
96
118
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Aswath Damodaran
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