Diversificação com a opção de abandono: um modelo de avaliação integrado Outros Idiomas

ID:
35290
Resumo:
Um modelo que reconhece a possibilidade de perda total para o acionista no rescaldo da falência revela simultaneamente os efeitos de preço das ações de diversificação e da opção de abandonar ativos aos credores. Em essência, o modelo integra o comportamento de precificação previsto pelo CAPM e pela OPM em uma única fórmula. Os resultados têm implicações para a avaliação do patrimônio líquido e da dívida de empresas em dificuldades e de opções quando os fluxos de caixa subjacentes são correlacionados com o mercado. A análise sugere porque os modelos que consideram apenas a diversificação ou a opção de abandono, por vezes, não conseguem acompanhar o comportamento dos retornos reais.
Citação ABNT:
SOUZA, C. M.Diversification with the option-to-abandon: an integrated valuation model. Revista Universo Contábil, v. 11, n. 1, p. 105-135, 2015.
Citação APA:
Souza, C. M.(2015). Diversification with the option-to-abandon: an integrated valuation model. Revista Universo Contábil, 11(1), 105-135.
DOI:
10.4270/ruc.2015106
Link Permanente:
http://www.spell.org.br/documentos/ver/35290/diversificacao-com-a-opcao-de-abandono--um-modelo-de-avaliacao-integrado--/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
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