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Fundamentals' Analyst Valuation Lab
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ΥΠΗΡΕΣΙΕΣ ΠΡΟΣ ΑΝΑΛΥΤΕΣ
Το Fundamentals’ ANALYST VALUATION LAB (FAVLab) που βασίζεται στη νέα πρωτοποριακή τεχνολογία ARBV* (Advanced Rapid Business Valuation - Προηγμένη Ταχεία Μέθοδος Αποτίμησης Εταιριών και Μετοχών) είναι το επιστέγασμα πολύχρονης ερευνητικής προσπάθειας, μέρος της οποίας χρηματοδοτήθηκε από την Ευρωπαϊκή Ένωση. Στην προσπάθεια αυτή έλαβε μέρος και το Χρηματιστήριο Αθηνών το οποίο μετά από σχετική έρευνα στην Ευρωπαϊκή αγορά διαπίστωσε ότι δεν υπάρχει παρόμοιο προϊόν.
Πρόκειται για παροχή υπηρεσιών B2B (business to business) σε μορφή λύσεως που αποτελείται από ένα πολύ φιλικό στο χρήστη λογισμικό αποτίμησης και ένα datridge, δηλαδή ένα πακέτο στοιχείων σε εξειδικευμένη ηλεκτρονική μορφή που δίνουν την εικόνα μιας επιχείρησης όσον αφορά τις πραγματικές χρηματοοικονομικές της προοπτικές. Πιο συγκεκριμένα, κάθε datridge περιέχει υψηλής επαγγελματικής ποιότητας προβλέψεις των Ελεύθερων Χρηματοδοτικών Ροών (Free Cash Flows) για διάφορες επιλεγμένες επιχειρήσεις, εκτιμήσεις της παραμέτρου beta αυτών των επιχειρήσεων καθώς και διάφορα άλλα σημαντικά στοιχεία που αφορούν τις επιχειρήσεις και την αγορά. Οι προβλέψεις και οι εκτιμήσεις γίνονται με τις πιο εξελιγμένες επιστημονικές μεθόδους προβλέψεων συμβατές με τις τελευταίες εξελίξεις στη χρηματοοικονομική θεωρία. Σε καμία περίπτωση οι προβλέψεις δεν βασίζονται στις προοπτικές όπως τις παρουσιάζουν οι ίδιες οι επιχειρήσεις. Οι προβλέψεις των Ελεύθερων Χρηματοδοτικών Ροών πραγματοποιούνται έμμεσα με προβλέψεις των επί μέρους συνισταμένων τους που γίνονται με συνέπεια και ακρίβεια με την πλέον ενδεδειγμένη κατά περίπτωση μεθοδολογία. Έτσι, π.χ. για τις προβλέψεις κύκλου εργασιών χρησιμοποιούνται σε μεγάλο βαθμό οικονομετρικά υποδείγματα τύπου ARIMA ενώ για τις προβλέψεις επενδύσεων χρησιμοποιούνται υποδείγματα που βασίζονται στο λόγο κεφαλαίου-προϊόντος. Τα στοιχεία που περιέχει ένα datridge πιάνουν τους παλμούς της αγοράς καθώς και τις πραγματικές προοπτικές των επιλεγμένων επιχειρήσεων. Το datridge επικαιροποιείται τακτικά, τουλάχιστο μια φορά κάθε τρίμηνο, ώστε να ενσωματώνει πάντα τις συνεχώς μεταβαλλόμενες επιχειρηματικές συνθήκες.
Η λύση FAVLab ενδείκνυται κυρίως για επιλεκτικές τοποθετήσεις και βασίζεται στα θεμελιώδη μεγέθη των εταιριών. Απευθύνεται σε ειδικούς στις αποτιμήσεις εταιριών και μετοχών και τους προσφέρει ένα εργαλείο για αξιόπιστη και σε πολύ λογικό κόστος αποτίμηση πολλών ταυτόχρονα εταιριών και μετοχών που μπορεί να γίνει σε λίγα μόνο λεπτά. Το λογισμικό προσφέρει επίσης την απόλυτη ελευθερία στον αναλυτή να προσαρμόσει το πλαίσιο αποτίμησης ανάλογα με τις προσωπικές τους προτιμήσεις.
‘Έτσι π.χ. ο αναλυτής έχει την ευχέρεια να επιλέξει το υπόδειγμα αποτίμησης της προτίμησής του μεταξύ υποδειγμάτων δύο σταδίων αλλά και ενός ή τριών σταδίων καθώς και να επιλέξει μεταξύ τριών ή πέντε ετών αναλυτικών προβλέψεων (explicit forecast period) ή μη. Επίσης μπορεί να δεχτεί ή να μεταβάλλει τις ενσωματωμένες προτάσεις στο Datridge όσον αφορά τις παραμέτρους αποτίμησης για επιτόκιο χωρίς κίνδυνο (Risk Free Rate), Απόδοση Κινδύνου Αγοράς (Market Risk Premium) ή beta καθώς και υποθέσεις όσον αφορά τις προβλέψεις όπως π.χ. προβλέψεις επενδύσεων ή κύκλου εργασιών.
* H Μέθοδος ARBV καθώς και το λογισμικό Fundamentals’ ANALYST VALUATION LAB (FAVLab) είναι πνευματική ιδιοκτησία της εταιρίας ECONET A.E.
SOME THEORETICAL BACKGROUND
ECONET S.A. is very pleased for the exciting productivity tool it can offer to professional analysts. FAVLab aims at reducing a lot the burden of the regular everyday calculation work that most analysts would prefer to avoid. All necessary calculations are already made for them to use as they like.
To fully understand and appreciate the working of FAVLab, and before going to the details of this solution, an introductory note on fundamentals of companies and shares valuation is given below:
A. MARKET DRIVEN ASSET PRICING MODELS
1. CAPITAL ASSET PRICING MODEL (CAPM)
Some fifty years ago, William Sharpe, one of the prioneers of the Capital Assets Pricing Model (CAPM), was commenting that no complete theory existed yet to explain the pricing mechanism of capital assets. He noticed that the best explanation offered for a pricing mechanism under uncertainty was not enough to constitute a proper theory.
The Capital Asset Pricing Model (CAPM) is an equilibrium model that specifies the relationship between risk and required rate of return for assets held in well diversified portfolios. CAPM was the first model to quantify risk and the reward for bearing it and, despite the fact that nowadays the validity of this model is considered to be a widely disputed issue, it still provides an important theory of capital markets equilibrium, enabling investors to value securities.
The key word behind CAPM valuation of a company or asset is what is called the Cost of Equity.
In simple terms, this is the return that stockholders ask in exchange for keeping ownership of their shares. The traditional formula for calculating the Cost of Equity comes from the dividend capitalization model:
Cost of Equity =
(Dividends per share/Current Market Value of Shares)
+ Expected Growth Rate of Dividends
Some complications, however, arise to this simple formula as keeping a share involves also a more or less calculable risk.
As shares involve some extra risk compared with a risk free investment, shareholders require a Risk Premium to compensate for that extra risk. Then, the more volatile the share (namely the higher the beta) the greater the risk and the more the expected return on a given shares portfolio.
CAPM is the financial risk model that uses beta as a single measure of risk to estimate the cost of equity.
2. DISCOUNTED CASH FLOWS (DCF)
Traditionally, a rate of return for any investment is considered to encompass the pure cost of money or risk-free rate, plus a component that is adequate to compensate the investor for the risks inherent in the subject investment. Valuation analysts often estimate the appropriate rate of return through the Capital Asset Pricing Model (CAPM) and the Weighted Average Cost of Capital (WACC). The CAPM relates to the return applicable to the equity portion of an investment. The WACC applies to the rate of over all return for both equity and debt capital in an enterprise or a project. The definition of the weighted average cost of capital (WACC) is the blended costs of the firm’s capital structure components, each weighted by the market value of that capital component. Return on invested capital (relative to WACC) and growth are the fundamental drivers of a firm’s value.
The basic idea behind DCF is that the value of the firm can be considered as the value of all future income streams today, after deducting the cost of capital invested. As this firm has potentially an infinite life horizon its value is the present value of cash flows over an infinite period. Since it is not easy to make predictions of expected cash flows over an infinite period, we estimate instead several cash flows for a finite "growth period", normally up to 5 years, and then estimate a terminal value, to capture the value of the firm at the end of this finite period. This value estimated in this way represents the cash expected to be realized from the sale of the firm if it is to be sold.
Empirical evidence suggests that the CAPM beta does not completely explain the expected asset returns in cross-section empirical setups. This means that additional factors may be required. Multifactor models decompose an asset’s return into several factors which are common to all assets as well as an asset specific factor. Normally, the common factors are interpreted as capturing fundamental risk components, and the factor model isolates the specific asset’s sensitivities to these risk factors.
One such Multifactor Model, the Arbitrage Pricing Theory (APT), was introduced by Ross in 1976 as an alternative to the CAPM. APT requires fewer assumptions than CAPM. An interesting point emphasized by Ross is that many portfolios of stocks can be reasonably approximated as linear combinations of the return on a few basic or “factor” portfolios.
A multiple of Multifactor Models were developed also by Fama and French in 1993. These were designed to predict the expected return of particular market investments.
A distinction must be made between real assets, (which have a market value) and real options, (which consider the opportunities to purchase future real assets on favourable terms). The term "real options" can be attributed to the Stewart Myers.
The theory of real options extends the concept of financial options (in particular call options) into the realm of capital budgeting under uncertainty and valuation of corporate assets or entire corporations. Myers noted that, “part of the value of a firm is accounted for by the present value of options to make further investments on possibly favourable terms”. He saw that, all else equal, a firm that is in a position to exploit potentially lucrative opportunities, e.g., by dint of early strategic investments, is worth more than the firm that is not. He also saw that that such assets took the form of options, and that options pricing techniques might be used to measure their value, thereby making them tangible.
Real options analysis extends financial option theory to options on real, or nonfinancial, assets. An option provides the holder with the right – but not the obligation - to buy or sell a specified quantity of an underlying asset, which in the case of a financial option would be securities, at a fixed price, called a strike price or an exercise price, at or before the expiration date of the option. Since it is a right and not an obligation, the holder can choose not to exercise the right and allow the option to expire.
- The Black-Scholes Model
- The Binomial Model proposed by Cox, and
- The Jump Model proposed by Ram Willner
then be described by the following stochastic differential equation:
dS(t)=b(t,S(t))dt+k(t,S(t))dW(t)
where
- k(t,S(t)) is the volatility of the underlying stock price, which may be a deterministic function of the time and stock price or may be a stochastic process,
- b(t,S(t)) is the drift and
- dW(t) is a random variable normally distributed with mean
zero and variance dt, known as a standard Wiener process or Brownian motion.
C = SN(d1) - Ee-rTN(d2)
where
- C = the theoretical call premium or current call option value. This is the cost to purchase one European-type call option of a certain stock.
- S = the current stock price. This is the price that the stock underlying the call option is currently trading at.
- t= time until option expiration i.e. time to maturity of the option in years
- E = the option striking price or exercise price, the price at which you have the right to buy the stock when the call option expires.
- r = risk-free interest rate (the annualised, continuously compounded rate on a safe asset with the same maturity as the option)
- N = Cumulative standard normal distribution
- d1 and d2 = functions of standard deviation of stock returns, etc.
Looking deep into the Traditional Business Valuation Methodologies such as the Discount Cash Flows (DCF) or the relative approach with multiples, it appears that one of the main drawbacks of these methods is that actual valuation results have nothing to do with market prices predictability. Traditional Business Valuation methodologies serve to produce what can be termed as a “fair price” or “fair value” of a firm or security and do not provide any guarantee that this fair price could eventually be cashed in the market. In other words, investors who are based on this fair price concept for their investment decisions, they are left alone on the question of how and when they will obtain the asserted fair value in terms of money in their pocket. Moreover, not only the valuation methodologies do not care about the investors but they do not provide either a benchmark against which to check their predictability.
What is missing in this “fair price” concept is clearly a market dimension. This is where the proposed “marketable price” concept comes about.
Marketable price is a price that actually is very likely to be cashed in the market. It is designed in this way. And the benchmark for the validity of a valuation method which would be based upon this concept is already there, ready for predictability tests.
The marketable price approach does not specify a single fixed price but the minimum price which is very likely to be obtained in the market during a predetermined period of time ahead. In fact, this is the expected average price from the possible distribution of prices defined by the state price vector. This state price vector is initially stochastic, since the individual state prices depend on the assumed stochastic processes. However, as time goes by through the critical future time period, the state price vector is becoming increasingly deterministic.
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