Avaliação de empresas estatais com o uso de dados do mercado de ações
DOI:
https://doi.org/10.11606/1980-53572215asadKeywords:
privatization, valuation of finns, "capital asset pricing model", beta coefficient, risk-adjusted required rate of returnAbstract
One of the major issues, in the privatization program now underway in Brazil, is the estimation of the fair share price to be set for auctioning off the various state-owned companies. In this paper, we use several concepts from the modem theory of Finance (net present value, market efficiency, capital asset pricing model and systematic risk), as well as Sao Paulo stock market data and accounting information on companies whose shares are listed on the Sao Paulo stock exchange, for determining one crucial piece of information for the computation of values in Finance: the risk-adjusted required rate of return. We use a methodology based on linear regression analysis for two purposes: 1) estimating the market premium per unit of systematic risk prevailing at the dale of valuation, and 2) determining the systematic risk ("beta coefficients") required by the capital asset pricing model for calculation, in turn, of the required rale of return in equilibrium. Our procedure is then used in the valuation of the common shares of slock of USIMINAS, the first state-owned Brazilian company to have been privatized.
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Copyright (c) 1992 Antonio Zoratto Sanvicente, Adriano Romariz Duarte
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