Title Savininkų nuosavybės rizikos vertinimas: Įmonės vertės koncepcija /
Translation of Title Shareholder value at risk: concept for company assessment.
Authors Cibulskienė, Diana ; Marcišauskienė, Jūratė
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Is Part of Ekonomika ir vadyba: aktualijos ir perspektyvos. 2009, Nr.1(14). ISSN 1648-9098
Keywords [eng] Value of the company ; Owners of the risks of ownership ; Discounted cash flow method (DCF) ; Capital asset pricing model (CAPM) ; The arbitral capital valuation method (APV) ; The company’s value defining characteristics ; Business strategy simulation
Abstract [eng] In this paper are analyzed the various methods of determining the shareholder value, they have been developed to value a company: discounted cash flow, capital asset pricing model, adjusted present value method, etc. Most often, the expected cash flows are obtained by detailed corporate planning, yet the crucial component risk is captured only broadly. In particular for companies in the growth economy, an elaborate consideration of risk is indispensable. The new approach to corporate planning and assessment under risk addresses the problem of evaluating strategies in a risky environment. In this paper a multi-period stochastic simulation model is presented. By simulating correlated sector-specific value drivers the distribution of the net present value of the company’s cash flows is derived. The investors are characterized by different tax rates and utility functions. It can be determined which company value will be the lowest under a given confidence level. Furthermore, it can be ensured that key figures of certain strategies do not violate a lower or upper boundary with a given probability. Thus, the company can be saved from existential threats by avoiding inadmissible strategies. Shareholder Risk was calculated with the following risk measures: Value at Risk, Standard Deviation Ratio, Lower Partial Moments and Expected Shortfall. The strength of the new approach is that the close relationship between entrepreneurial strategies under risk and company assessment leads to a better understanding of growing and volatile businesses.
Type Journal article
Language Lithuanian
Publication date 2009