Estimating SMEs cost of equity using a value at risk approach: the capital at risk model
Gespeichert in:
| Beteiligte Personen: | , , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Basingstoke
Palgrave Macmillan
2014
|
| Schlagwörter: | |
| Links: | https://www.loc.gov/catdir/enhancements/fy1610/2014453176-d.html https://www.loc.gov/catdir/enhancements/fy1610/2014453176-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028907534&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references (p. 197-203) and index |
| Umfang: | XVI, 210 S. Ill., graph. Darst. 23 cm |
| ISBN: | 9781137389299 113738929X |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
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| 100 | 1 | |a Beltrame, Federico |e Verfasser |0 (DE-588)1052432476 |4 aut | |
| 245 | 1 | 0 | |a Estimating SMEs cost of equity using a value at risk approach |b the capital at risk model |c Federico Beltrame, Roberto Cappelletto, Gabriele Toniolo ; with contributions from Josanco Floreani and Luca Grassetti |
| 264 | 1 | |a Basingstoke |b Palgrave Macmillan |c 2014 | |
| 300 | |a XVI, 210 S. |b Ill., graph. Darst. |c 23 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references (p. 197-203) and index | ||
| 650 | 4 | |a Small business |x Valuation | |
| 650 | 0 | 7 | |a Klein- und Mittelbetrieb |0 (DE-588)4031031-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Eigenkapital |0 (DE-588)4013776-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Value at Risk |0 (DE-588)4519495-6 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Klein- und Mittelbetrieb |0 (DE-588)4031031-0 |D s |
| 689 | 0 | 1 | |a Eigenkapital |0 (DE-588)4013776-4 |D s |
| 689 | 0 | 2 | |a Value at Risk |0 (DE-588)4519495-6 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Cappelletto, Roberto |e Verfasser |0 (DE-588)1052432190 |4 aut | |
| 700 | 1 | |a Toniolo, Gabriele |e Verfasser |0 (DE-588)1052432662 |4 aut | |
| 856 | 4 | |u https://www.loc.gov/catdir/enhancements/fy1610/2014453176-d.html |3 Publisher description | |
| 856 | 4 | |u https://www.loc.gov/catdir/enhancements/fy1610/2014453176-t.html |3 Table of contents only | |
| 856 | 4 | 2 | |m Digitalisierung UB Passau - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028907534&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-028907534 | |
Datensatz im Suchindex
| _version_ | 1819244565373124608 |
|---|---|
| adam_text | Contents
List of Tables x t
List of Figures xiii
Acknowledgements xv
About the Authors xvi
Introduction 1
The Financial Structure of S mal! and Medium Firms
and the Impact on the Cost of Capital 6
1.1 Introduction 6
1.2 Literature review 7
1.3 Capital markets and growth: the equity gap 12
1.4 Business financing: a framework of reference 17
1.5 Options for growth and cost of capital 23
1.6 Conclusions 27
Valuation of Small and Medium Enterprises: Critical
Aspects of Method and Evaluation of Credit Risk 31
2.1 Valuation of the firm 31
2.2 The valuation of small and medium enterprises:
critical aspects 32
2.2.1 The comparable approach:
stock market multiples 33
2.2,2 The comparable approach:
correction of the Beta 34
2.2,3 Excess debt 38
2,2.4 The liquidity of the investment 39
2.2.5 Critical aspects of use 40
2,3 Cost of debt and cost of equity: a comparison 41
2,4 Models for debt pricing used in estimating the
cost of equity 43
2.4.1 Probability of default 44
2.4.2 Loss given default d.
2.4.3 The models for estimating the cost of equity 47
vil
viii Contents
2.5 Unexpected losses in equity returns 51
2.5.1 Value at Risk 54
2.5.2 Pricing unexpected loss 56
3 The Capital at Risk Model: Theoretical Aspects 59
3.1 Unlevered firms and totally levered firms 59
3.2 The Value at Risk Approach for pricing 60
3.3 Determination of the expected returns through a
structural model 66
3.3.1 The expected returns by creditors for the
levered firm 66
3.3.2 The required return by creditors for the
totally levered firm 68
3.4 Determination of expected returns on debt:
a practical example 69
3.4.1 Expected returns on debt for the
levered firm 69
3.4.2 Expected returns on debt for the
totally levered firm 71
3.5 Expected returns for levered firms 74
3.5.1 The model for estimation of the cost of equity
without risky debt 75
3.5.2 Model for estimation of the cost of equity with
risky debt 76
3.5.3 The general formula for quantification of the
cost of equity: an example 76
3.6 The Capital at Risk Model with corporate taxes 79
3.7 Corollary: optimal capital structure 80
4 Application of the Capital at Risk Model to Small and
Medium Enterprises 85
4.1 The unlevered firm: expected returns 85
4.2 The capital at risk 85
4.2.1 Probability distribution of the operating
earnings and the returns 87
4.2.2 The historical ROCE probability distribution 88
4.2.3 The construction of future scenarios to
determine capital at risk 92
4.3 The loss rate for the shareholders 94
4.4 Cost of debt 97
Contents ix
4.5 Cost of capital for the indebted firm 98
4.6 The Capital at Risk Model; an example 98
4.6.1 Cost of equity for unlevered firms and
without taxation 98
4.6.2 The cost of the third-party capital 101
4.6.3 The cost of the equity capital for the
levered firm 102
4.6.4 The model with corporate tax 103
The Capital at Risk Model Applied to the Firms Alpha,
Beta and Gamma 105
5.1 Introduction; objectives and presentation of the
ADI rating 105
5.2 Alpha 108
5.2.1 Qualitative analysis 108
5.2.2 Economic-financial analysis 111
5.2.3 Quantification of the cost of capital 113
5.2.4 Economic and financial plan 118
5.2.5 Valuation of Alpha through discounted
cash flows 121
5.2.6 Use of the cost of unlevered capital obtained
with the CAPM/total Beta method 121
5.2.7 Use of the cost of unlevered capital obtained
with the CaRM method 123
5.2.8 Valuation of the costs of financial distress 124
5.3 Beta 125
5.3.1 Qualitative analysis 125
5.3.2 Economic-financial analysis 128
5.3.3 Quantification of the cost of capital 130
5.3.4 Economic and financial plan 135
5.3.5 Valuation of Beta through discounted cash
flows 137
5.3.6 Use of the cost of unlevered capital obtained
with the CAPM/total Beta method 139
5.3.7 Use of the unlevered cost of capital obtained
with the CaRM method 140
5.4 Gamma 141
5.4.1 Qualitative analysis 141
5.4.2 Economic-financial analysis 144
x Contents
5.4.3 Quantification of the cost of capital 146
5.4.4 Economic and financial plan 152
5.4.5 Valuation of Gamma through discounted
cash flows 154
5.4.6 Use of the unlevered cost of capital obtained
with the CAPM/total Beta method 156
5.4.7 Use of the unlevered cost of capital obtained
with the CaRM method 157
5.5 Conclusions 158
Appendix A 167
Appendix B 186
References 197
Index 205
|
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| author | Beltrame, Federico Cappelletto, Roberto Toniolo, Gabriele |
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| ctrlnum | (OCoLC)964597749 (DE-599)BVBBV043491000 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV043491000 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T17:37:42Z |
| institution | BVB |
| isbn | 9781137389299 113738929X |
| language | English |
| lccn | 014453176 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028907534 |
| oclc_num | 964597749 |
| open_access_boolean | |
| owner | DE-739 |
| owner_facet | DE-739 |
| physical | XVI, 210 S. Ill., graph. Darst. 23 cm |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| spellingShingle | Beltrame, Federico Cappelletto, Roberto Toniolo, Gabriele Estimating SMEs cost of equity using a value at risk approach the capital at risk model Small business Valuation Klein- und Mittelbetrieb (DE-588)4031031-0 gnd Eigenkapital (DE-588)4013776-4 gnd Value at Risk (DE-588)4519495-6 gnd |
| subject_GND | (DE-588)4031031-0 (DE-588)4013776-4 (DE-588)4519495-6 |
| title | Estimating SMEs cost of equity using a value at risk approach the capital at risk model |
| title_auth | Estimating SMEs cost of equity using a value at risk approach the capital at risk model |
| title_exact_search | Estimating SMEs cost of equity using a value at risk approach the capital at risk model |
| title_full | Estimating SMEs cost of equity using a value at risk approach the capital at risk model Federico Beltrame, Roberto Cappelletto, Gabriele Toniolo ; with contributions from Josanco Floreani and Luca Grassetti |
| title_fullStr | Estimating SMEs cost of equity using a value at risk approach the capital at risk model Federico Beltrame, Roberto Cappelletto, Gabriele Toniolo ; with contributions from Josanco Floreani and Luca Grassetti |
| title_full_unstemmed | Estimating SMEs cost of equity using a value at risk approach the capital at risk model Federico Beltrame, Roberto Cappelletto, Gabriele Toniolo ; with contributions from Josanco Floreani and Luca Grassetti |
| title_short | Estimating SMEs cost of equity using a value at risk approach |
| title_sort | estimating smes cost of equity using a value at risk approach the capital at risk model |
| title_sub | the capital at risk model |
| topic | Small business Valuation Klein- und Mittelbetrieb (DE-588)4031031-0 gnd Eigenkapital (DE-588)4013776-4 gnd Value at Risk (DE-588)4519495-6 gnd |
| topic_facet | Small business Valuation Klein- und Mittelbetrieb Eigenkapital Value at Risk |
| url | https://www.loc.gov/catdir/enhancements/fy1610/2014453176-d.html https://www.loc.gov/catdir/enhancements/fy1610/2014453176-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028907534&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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