SSRN Author: Karsten KohnKarsten Kohn SSRN Content
http://www.ssrn.com/author=615035
http://www.ssrn.com/rss/en-usFri, 25 Mar 2016 02:11:41 GMTeditor@ssrn.com (Editor)Fri, 25 Mar 2016 02:11:41 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: A Note on Corporate Valuation Using Imprecise Cost of CapitalWe compare the estimator for discount rates according to Elsner and Krumholz (EK) (2013) to the approach propagated in Breuer et al. (2014) (BFM). While the EK estimator is derived analytically and implies a correcting factor by which the original arithmetic mean estimator is adjusted, the BFM approach is based on a simple ad hoc modification and recommends to truncate the time horizon for cash flow projection up to about N = 30 years. The BFM approach is reasonable, as the most relevant bias problems are implied by terminal value computations. Rather surprisingly, for our main simulation analysis based on real-world capital market data for 19 countries over the period 2008-2012, the EK estimator turns out inferior to the BFM approach. However, results depend on the kind of bias measure and on the issue of whether using total historical returns or only excess returns for evaluation purposes. In any case, our findings imply that a rather straightforward rule of thumb for valuation may ...
http://www.ssrn.com/abstract=2657025
http://www.ssrn.com/1481773.htmlThu, 24 Mar 2016 03:17:13 GMTREVISION: A Note on Corporate Valuation Using Imprecise Cost of CapitalWe compare the estimator for discount rates according to Elsner and Krumholz (EK) (2013) to the approach propagated in Breuer et al. (2013) (BFM). While the EK estimator is derived analytically and implies a correcting factor by which the original arithmetic mean estimator is adjusted, the BFM approach is based on a simple ad hoc modification and recommends to truncate the time horizon for cash flow projection up to about N = 30 years. The BFM approach is reasonable, as the most relevant bias problems are implied by terminal value computations. Rather surprisingly, the EK estimator turns out inferior to the BFM approach in our simulation analysis based on real-world capital market data for 19 countries over the period 2008-2012. This holds true even for a truncated version of the EK estimator. The latter may be interesting only in situations with low growth rates of expected cash flow, steep term structures of riskless interest rates, and high levels as well as low volatility of ...
http://www.ssrn.com/abstract=2657025
http://www.ssrn.com/1426584.htmlTue, 08 Sep 2015 17:05:33 GMT