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Title:DILEME VREDNOTENJA ZASEBNEGA PODJETJA Z UPORABO METODE DISKONTIRANEGA DENARNEGA TOKA
Authors:ID Nagelj, Goran (Author)
ID Oplotnik, Žan Jan (Mentor) More about this mentor... New window
Files:.pdf MAG_Nagelj_Goran_2016.pdf (2,34 MB)
MD5: 8317E8D1AB108FBE7339C3B2F8117021
 
Language:Slovenian
Work type:Master's thesis (m2)
Typology:2.09 - Master's Thesis
Organization:EPF - Faculty of Business and Economics
Abstract:Vrednotenje je postopek ocenjevanja vrednosti podjetja in njegovih sredstev. Z metodo diskontiranih denarnih tokov vrednost sredstev ocenimo kot sedanjo vrednost prostih denarnih tokov, diskontiranih s tehtanim povprečnim stroškom kapitala, kjer je denarni tok na razpolago vsem investitorjem, običajno lastnikom kapitala in dolga. Za oceno stroškov kapitala uporabimo model CAPM, kjer kot glavni parametri nastopajo netvegana stopnja donosa, faktor beta kot mera sistematičnega tveganja in tržna premija za tveganje. Model CAPM je bil razvit na podlagi predpostavk o popolnem kapitalskem trgu, kjer obstajajo popolne informacije. Potreba po določanju ocene vrednosti se običajno pojavi v primeru prodaje podjetja, njegovega prevzema ali v primeru prve izdaje delnic. Za zasebna podjetja ne moremo opazovati vrednosti cene delnice na trgu kapitala in na podlagi tega sklepati o vrednosti podjetja, zato smo pri vrednotenju omejeni in prilagodimo pristop ter metode. Za zasebno podjetje je značilna omejena razpoložljivost javno dostopnih informacij, nižja stopnja računovodskega nadzora in večja možnost prepletanja poslovanja z zasebnimi stroški lastnikov. Skupno oceno vrednosti nato prilagodimo s pribitki in odbitki glede na značilnosti podjetja in namen ocenjevanja vrednosti. V primeru, ko zasebno podjetje vrednotimo z metodo diskontiranih denarnih tokov, se soočamo s pomanjkljivimi zgodovinskimi podatki, težko poiščemo primerljiva javna podjetja in se težko opremo na ocene drugih ocenjevalcev vrednosti, saj običajno ne obstajajo. V magistrskem delu smo prikazali različne metode izračuna parametrov modela CAPM s poudarkom na beti. Za zasebno podjetje smo izračunali zgodovinske, fundamentalne in primerljive bete in z izračunom vrednosti podjetja ter analizo občutljivosti pokazali vpliv spremembe bete in ostalih parametrov modela CAPM na izračunano vrednost podjetja. Povzeli smo tudi značilnosti netvegane stopnje donosa in primerjali korelacijo nemških in ameriških 10-letnih državnih obveznic, da bi preverili pravilnost uporabe razpoložljivih podatkov z ameriškega trga za vrednotenje slovenskih podjetij. Ugotovili smo srednje visoko povezanost, zato smo podatke uporabili, vendar ocenjujemo, da bi bile smiselne dodatne empirične raziskave ter zbiranje transakcij z zasebnimi podjetji na evropskem trgu. Pri skupni oceni vrednosti podjetja smo izračunali tudi končno vrednost podjetja. Za izračun končne vrednosti podjetja je potrebno glede pričakovanih gibanj stopenj rasti do dosežene stabilne stopnje rasti prilagoditi tudi model izračuna. Pri izračunu končne vrednosti moramo biti pozorni tudi na pravilno upoštevanje višine tehtanega povprečnega stroška kapitala, na katerega vpliva ciljno razmerje finančnega vzvoda.
Keywords:Vrednotenje, zasebno podjetje, diskontiran denarni tok, beta, tržna premija za tveganje, končna vrednost
Year of publishing:2016
Publisher:[G. Nagelj]
Source:Maribor
PID:20.500.12556/DKUM-58210 New window
UDC:657
COBISS.SI-ID:12489500 New window
NUK URN:URN:SI:UM:DK:FXGYYY1Q
Publication date in DKUM:14.09.2016
Views:1778
Downloads:141
Metadata:XML RDF-CHPDL DC-XML DC-RDF
Categories:EPF
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Secondary language

Language:English
Title:Dilemmas of valuating private company using discounted cash flow method
Abstract:Valuation is a process of determining value of a company and its assets. With discounted cash flow method we value future cash flows deriving from company assets, discounted with weighted average cost of capital. Future cash flows are available for all stakeholders of a company, usually composed from owners of equity and debt. Cost of equity is estimated using CAPM model, where capital cost or required return are defined with risk free rate, beta coefficient as a measure of systematic risk and market risk premium. CAPM model was developed on assumption of perfect capital markets, where all information is available. There is limited information available for private companies, there are less implemented accounting controls and there is higher probability of private costs mixing with company costs. Valuations are usually performed in case of transactions, acquisitions or initial public offerings. There is no stock price available on capital market for private companies, so we are not able to observe company value in real time, which leads to limited use of valuation methods and approaches. Company value is adjusted with premiums and discounts reflecting purpose of valuation and company specifics. When performing valuation with discounted cash flow method we are limited with lack of historical data, it is hard to find comparable public companies and there are no other analyst valuations available. In master’s thesis we showed different methods of calculation of CAPM model parameters, focusing on beta. We calculated historical, fundamental and comparable betas for private company and prepared sensitivity analysis to show impact of changes in beta and other CAPM model parameters on company value. We summarized risk-free rate characteristics and compared correlation of German and US 10 year treasury bonds to verify if usage of available data for US market is appropriate when valuating Slovene companies. We found medium correlation and used available data, but we suggest more empirical studies regarding private company transactions on European market should be made and data regarding private company transactions should be collected. We calculated terminal value of a company to estimate total value. When calculating terminal value, it is important to adjust calculation model with expectations regarding future growth until stable growth rate is reached. Terminal value calculation should include correct weighted average cost of capital, which depends on planned financial leverage ratio.
Keywords:Valuation, Private company, Discounted Cash Flow, Beta, Equity Risk Premium, Terminal Value


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