Abstract
Consideramos o problema tradicional de avaliação de empresas. Propomos uma metodologia que permite o uso não somente dos tradicionais indicadores financeiros calculados por analistas de empresas, mas também medidas de riscos (liquidez e mercado) baseadas em preços e volumes obtidos do mercado, assim como critérios qualitativos baseados em conceitos como governança corporativa, indicadores de sustentabilidade e classificação de crédito, dentre outros. Diante da natureza diversificada dos critérios adotados, propomos o uso da análise de decisão multicritério com a matemática nebulosa para modelar e incorporar as incertezas presentes no problema. Consideramos dados reais do mercado acionário brasileiro para fins de ilustração numérica. Os resultados obtidos provaram ser robustos e ofereceram informações detalhadas sobre o desempenho esperado sob cenários adversos, com potencial para melhorar o processo de análise de empresas enfrentado por gestores de carteiras e analistas fundamentalistas
Highlights
Equity valuation is the single most used methodology by equity portfolio managers when selecting assets for investment (Fabozzi & Markowitz, 2011)
We extend the traditional equity valuation by the introduction of qualitative indicators in the analysis and stock market data, mixing them with the traditional multiples derived from balance sheets which are frequently used by financial analysts, according to Stowe et al Revista Brasileira de Finanças (Online), Rio de Janeiro, Vol 16, N. 2, June 2018 223
The Fuzzy TOPSIS used in the numerical examples is detailed in the appendix, in order to keep the focus of this article on equity valuation
Summary
Equity valuation is the single most used methodology by equity portfolio managers when selecting assets for investment (Fabozzi & Markowitz, 2011). We extend the traditional equity valuation by the introduction of qualitative indicators in the analysis (related to corporate governance, sustainability and credit risk) and stock market data (related to volatility and trading volume), mixing them with the traditional multiples derived from balance sheets (usually related to profitability, liquidity and costs) which are frequently used by financial analysts, according to Stowe et al Revista Brasileira de Finanças (Online), Rio de Janeiro, Vol 16, N. We extend the proposal for equity valuation presented in Duarte (2018) in two ways: (a) by allowing risk measures and qualitative indicators to be introduced, given that only multiples were used in that previous work, and (b) by proposing a more general methodology that can be used when comparing companies from different economic sectors, contrary to what was presented in that article, which remained limited to a single economic sector (i.e., financial institutions). In the appendix, we detail the multicriteria method used in the numerical analyses for those who may want to replicate our results
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
