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Quantitative Business Valuation-JAY B. ABRAMS.pdf

Quantitative Business Valuation…

上传者: nwguru 2012-12-16 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Quantitative Business Valuation-JAY B. ABRAMSpdf》,可适用于经济金融领域,主题内容包含QuantitativeBusinessValuationOtherTitlesintheIrwinLibraryofInvestmentandFi符等。

QuantitativeBusinessValuationOtherTitlesintheIrwinLibraryofInvestmentandFinanceConvertibleSecuritiesbyJohnPCalamosPricingandManagingExoticandHybridOptionsbyVineerBhansaliRiskManagementandFinancialDerivativesbySatyajitDasValuingIntangibleAssetsbyRobertFReillyandRobertPSchweihsManagingFinancialRiskbyCharlesWSmithsonHighYieldBondsbyTheodoreBarnhill,WilliamMaxwell,andMarkShenkmanValuingSmallBusinessandProfessionalPractices,rdeditionbyShannonPratt,RobertFReilly,andRobertPSchweihsImplementingCreditDerivativesbyIsraelNelkenTheHandbookofCreditDerivativesbyJackClarkFrancis,JoyceFrost,andJGreggWhittakerTheHandbookofAdvancedBusinessValuationbyRobertFReillyandRobertPSchweihsGlobalInvestmentRiskManagementbyEzraZaskActivePortfolioManagementndeditionbyRichardGrinoldandRonaldKahnTheHedgeFundHandbookbyStefanoLavinioPricing,Hedging,andTradingExoticOptionsbyIsraelNelkenEquityManagementbyBruceJacobsandKennethLevyAssetAllocation,rdeditionbyRogerGibsonValuingaBusiness,theditionbyShannonPPratt,RobertFReilly,andRobertSchweihsTheRelativeStrengthIndexAdvantagebyAndrewCardwellandJohnHaydenQuantitativeBusinessValuationAMathematicalApproachforToday’sProfessionalJAYBABRAMS,ASA,CPA,MBAMcGRAWHILLNewYorkSanFranciscoWashington,DCAucklandBogotaCaracasLisbonLondonMadridMexicoCityMilanMontrealNewDelhiSanJuanSingaporeSydneyTokyoTorontoCopyrightbyMcGrawHillAllrightsreservedManufacturedintheUnitedStatesofAmericaExceptaspermittedundertheUnitedStatesCopyrightActof,nopartofthispublicationmaybereproducedordistributedinanyformorbyanymeans,orstoredinadatabaseorretrievalsystem,withoutthepriorwrittenpermissionofthepublisherXThematerialinthiseBookalsoappearsintheprintversionofthistitle:AlltrademarksaretrademarksoftheirrespectiveownersRatherthanputatrademarksymbolaftereveryoccurrenceofatrademarkedname,weusenamesinaneditorialfashiononly,andtothebenefitofthetrademarkowner,withnointentionofinfringementofthetrademarkWheresuchdesignationsappearinthisbook,theyhavebeenprintedwithinitialcapsMcGrawHilleBooksareavailableatspecialquantitydiscountstouseaspremiumsandsalespromotions,orforuseincorporatetrainingprogramsFormoreinformation,pleasecontactGeorgeHoare,SpecialSales,atgeorgehoaremcgrawhillcomor()TERMSOFUSEThisisacopyrightedworkandTheMcGrawHillCompanies,Inc(“McGrawHill”)anditslicensorsreserveallrightsinandtotheworkUseofthisworkissubjecttothesetermsExceptaspermittedundertheCopyrightActofandtherighttostoreandretrieveonecopyofthework,youmaynotdecompile,disassemble,reverseengineer,reproduce,modify,createderivativeworksbasedupon,transmit,distribute,disseminate,sell,publishorsublicensetheworkoranypartofitwithoutMcGrawHill’spriorconsentYoumayusetheworkforyourownnoncommercialandpersonaluseanyotheruseoftheworkisstrictlyprohibitedYourrighttousetheworkmaybeterminatedifyoufailtocomplywiththesetermsTHEWORKISPROVIDED“ASIS”McGRAWHILLANDITSLICENSORSMAKENOGUARANTEESORWARRANTIESASTOTHEACCURACY,ADEQUACYORCOMPLETENESSOFORRESULTSTOBEOBTAINEDFROMUSINGTHEWORK,INCLUDINGANYINFORMATIONTHATCANBEACCESSEDTHROUGHTHEWORKVIAHYPERLINKOROTHERWISE,ANDEXPRESSLYDISCLAIMANYWARRANTY,EXPRESSORIMPLIED,INCLUDINGBUTNOTLIMITEDTOIMPLIEDWARRANTIESOFMERCHANTABILITYORFITNESSFORAPARTICULARPURPOSEMcGrawHillanditslicensorsdonotwarrantorguaranteethatthefunctionscontainedintheworkwillmeetyourrequirementsorthatitsoperationwillbeuninterruptedorerrorfreeNeitherMcGrawHillnoritslicensorsshallbeliabletoyouoranyoneelseforanyinaccuracy,errororomission,regardlessofcause,intheworkorforanydamagesresultingtherefromMcGrawHillhasnoresponsibilityforthecontentofanyinformationaccessedthroughtheworkUndernocircumstancesshallMcGrawHillandoritslicensorsbeliableforanyindirect,incidental,special,punitive,consequentialorsimilardamagesthatresultfromtheuseoforinabilitytousethework,evenifanyofthemhasbeenadvisedofthepossibilityofsuchdamagesThislimitationofliabilityshallapplytoanyclaimorcausewhatsoeverwhethersuchclaimorcausearisesincontract,tortorotherwiseDOI:XabcMcGrawHillTomyfather,LeonardAbrams,whotaughtmehowtowriteTomymother,MarilynAbrams,whotaughtmemathematicsTomywife,Cindy,whobelievesinmeTomychildren,Yonatan,Binyamin,Miriam,andNechamahLeah,whogaveupcountlessSundayswithAbba(Dad)forthisbookTomyyoungestchild,RivkahSarah,whowasn’tyetontheoutsidetomisstheSundayswithme,butwhohasbroughtuspeaceTomyparentsandmybrother,Mark,fortheirtremendoussupportunderdifficultcircumstancesTomygreatteachers,MrOshimaandChristopherHunt,whobroughtmetomypowertomakethishappenAndfinally,toRKHiatt,whohascaughtmymistakesandmadesignificantcontributionstothethoughtthatpermeatesthisbookThispageintentionallyleftblankviiContentsIntroductionxiiiAcknowledgmentsxviiListofFiguresxixListofTablesxxiPARTIFORECASTINGCASHFLOWSCashFlow:AMathematicalDerivationIntroductionTheMathematicalModelAPreliminaryExplanationofCashFlowsAnalyzingProperty,Plant,andEquipmentTransactionsAnExplanationofCashFlowswithMoreDetailforEquityTransactionsConsideringtheComponentsofRequiredWorkingCapitalAdjustingforRequiredCashComparisontoOtherCashFlowDefinitionsConclusionUsingRegressionAnalysisIntroductionForecastingCostsandExpensesAdjustmentstoExpensesTableA:CalculatingAdjustedCostsandExpensesPerformingRegressionAnalysisUseofRegressionStatisticstoTesttheRobustnessoftheRelationshipStandardErroroftheyEstimateTheMeanofaandbTheVarianceofaandbSelectingtheDataSetandRegressionEquationProblemswithUsingRegressionAnalysisforForecastingCostsInsufficientDataSubstantialChangesinCompetitionorProductServiceUsingRegressionAnalysistoForecastSalesSpreadsheetProcedurestoPerformRegressionExaminingtheRegressionStatisticsAddingIndustrySpecificIndependentVariablesTryAllCombinationsofPotentialIndependentVariablesApplicationofRegressionAnalysistotheGuidelineCompanyMethodTable:RegressionAnalysisofGuidelineCompaniesSummaryAppendix:TheANOVAtableAnnuityDiscountFactorsandtheGordonModelIntroductionDefinitionsDenotingTimeADFwithEndofYearCashFlowsBehavioroftheADFwithGrowthSpecialCaseofADFCopyrightTheMcGrawHillCompanies,IncClickHereforTermsofUseviiiContentswheng:TheOrdinaryAnnuitySpecialCasewhennandrg:TheGordonModelIntuitivelyUnderstandingEquations()and(a)RelationshipbetweentheADFandtheGordonModelTable:ProofofADFEquations()through(b)ABriefSummaryMidyearCashFlowsTable:ExampleofEquations()through(b)SpecialCasesforMidyearCashFlows:NoGrowth,gGordonModelStartingPeriodsOtherthanYearEndofYearFormulasValuationDateTable:ExampleofEquation()Tablesthrough:VariationsofTablewithS,NegativeGrowth,andrgSpecialCase:NoGrowth,gGeneralizedGordonModelMidyearFormulaPeriodicPerpetuityFactors(PPFs):PerpetuitiesforPeriodicCashFlowsTheMathematicalFormulasTablesand:ExamplesofEquations()and()OtherStartingYearsNewversusUsedEquipmentDecisionsADFsinLoanMathematicsCalculatingLoanPaymentsPresentValueofaLoanRelationshipoftheGordonModeltothePriceEarningsRatioDefinitionsMathematicalDerivationConclusionsPARTIICALCULATINGDISCOUNTRATESDiscountRatesasaFunctionofLogSizePriorResearchTable:AnalysisofHistoricalStockReturnsRegression#:ReturnversusStandardDeviationofReturnsRegression#:ReturnversusLogSizeRegression#:ReturnversusBetaMarketPerformanceWhichDatatoChooseRecalculationoftheLogSizeModelBasedonYearsApplicationoftheLogSizeModelDiscountRatesBasedontheLogSizeModelPracticalIllustrationoftheLogSizeModel:DiscountedCashFlowValuationsTotalReturnversusEquityPremiumAdjustmentstotheDiscountRateDiscountedCashFloworNetIncomeDiscussionofModelsandSizeEffectsCAPMTheFama–FrenchCostofEquityModelLogSizeModelsHeteroscedasticityIndustryEffectsSatisfyingRevenueRulingwithoutaGuidelinePublicCompanyMethodSummaryandConclusionsAppendixA:AutomatingIterationUsingNewton’sMethodAppendixB:MathematicalAppendixAppendixC:AbbreviatedReviewandUseArithmeticversusGeometricMeans:EmpiricalEvidenceandTheoreticalIssuesIntroductionTheoreticalSuperiorityofArithmeticMeanTable:ComparisonofTwoStockPortfoliosEmpiricalEvidenceoftheSuperiorityoftheArithmeticMeanTable:RegressionsofGeometricandArthmeticReturnsfor–Table:RegressionsofGeometricReturnsfor–TheSizeEffectontheArithmeticversusGeometricMeansTable:LogSizeComparisonofDiscountRatesandGordonModelMultiplesUsingAMversusGMIndroandLeeArticleAnIterativeValuationApproachIntroductionEquityValuationMethodTableA:TheFirstIterationTableB:SubsequentIterationsoftheFirstScenarioTableContentsixC:InitialChoiceofEquityDoesn’tMatterConvergenceoftheEquityValuationMethodInvestedCapitalApproachTableA:IterationsBeginningwithBookEquityTableB:InitialChoiceofEquityDoesn’tMatterConvergenceoftheInvestedCapitalApproachLogSizeSummaryBibliographyPARTIIIADJUSTINGFORCONTROLANDMARKETABILITYAdjustingforLevelsofControlandMarketabilityIntroductionTheValueofControlandAdjustingforLevelofControlPriorResearchQualitativeProfessionalPriorResearchAcademicMySynthesisandAnalysisDiscountforLackofMarketability(DLOM)Mercer’sQuantitativeMarketabilityDiscountModelKasper’sBASModelRestrictedStockDiscountsAbrams’EconomicComponentsModelMercer’sRebuttalConclusionMathematicalAppendixSampleRestrictedStockDiscountStudyIntroductionBackgroundStockOwnershipPurposeoftheAppraisalNoEconomicOutlookSectionSourcesofDataValuationCommentarytoTable:RegressionAnalysisofManagementPlanningDataCommentarytoTableA:RevenueandEarningsStabilityCommentarytoTableB:PriceStabilityValuationUsingOptionsPricingTheoryConclusionofDiscountforLackofMarketabilityAssumptionsandLimitingConditionsAppraiser’sQualificationsSampleAppraisalReportIntroductionPurposeoftheReportValuationofConsiderationsSourcesofDataHistoryandDescriptionoftheLLCSignificantTermsandLegalIssuesConclusionEconomicOutlookEconomicGrowthInflationInterestRatesStateandLocalEconomicsSummaryFinancialReviewCommentarytoTable:FMVBalanceSheetsCommentarytoTable:IncomeStatementsCommentarytoTable:CashDistributionsValuationValuationApproachesSelectionofValuationApproachEconomicComponentsApproachCommentarytoTable:CalculationsofCombinedDiscountsCommentarytoTableA:DelaytoSaleCommentarytoTableC:CalculationofDLOMCommentarytoTable:PartnershipProfilesApproachCommentarytoTable:PrivateFractionalInterestSalesCommentarytoTable:FinalCalculationofFractionalInterestDiscountsConclusionStatementofLimitingConditionsAppraiser’sQualificationsAppendix:TaxCourt’sOpinionforDiscountforLackofMarketabilityIntroductionTheCourt’sFactorsApplicationoftheCourt’sFactorstotheValuationPARTIVPUTTINGITALLTOGETHEREmpiricalTestingofAbrams’ValuationTheoryIntroductionStepsintheValuationProcessApplyingaValuationModeltotheStepsTable:LogSizefor–Table:xContentsReconciliationtotheIBADatabasePart:IBAPCFMultiplesPart:LogSizePCFMultiplesConclusionCalculationofDLOMTable:ComputationoftheDelaytoSaleComponent–$,FirmTable:CalculationofTransactionsCostsTable:CalculationofDLOMTableA–F:CalculationsofDLOMforLargerFirmsCalculationofDLOMforLargeFirmsInterpretationoftheErrorConclusionMeasuringValuationUncertaintyandErrorIntroductionDifferencesBetweenUncertaintyandErrorSourcesofUncertaintyandErrorMeasuringValuationUncertaintyTable:ConfidenceIntervalsSummaryofValuationImplicationsofStatisticalUncertaintyintheDiscountRateMeasuringtheEffectsofValuationErrorDefiningAbsoluteandRelativeErrorTheValuationModelDollarEffectsofAbsoluteErrorsinForecastngYearCashFlowRelativeEffectsofAbsoluteErrorsinForecastingYearCashFlowAbsoluteandRelativeEffectsofRelativeErrorsinForecastingYearCashFlowAbsoluteErrorsinForecastingGrowthandtheDiscountRateTable:SummaryofEffectsofValuationErrorsSummaryandConclusionsPARTVSPECIALTOPICSValuingStartupsIssuesUniquetoStartupsOrganizationoftheChapterFirstChicagoApproachDiscountingCashFlowIsPreferabletoNetIncomeCapitalStructureChangesVentureCapitalRatesofReturnTable:ExampleoftheFirstChicagoApproachAdvantagesoftheFirstChicagoApproachDiscountsforLackofMarketabilityandControlVentureCapitalValuationApproachVentureCapitalRatesofReturnSummaryoftheVCApproachDebtRestructuringStudyBackgoundKeyEventsDecisionTreesandSpreadsheetCalculationsTable:StatisticalCalculationofFMVConclusionExponentiallyDecliningSalesGrowthModelESOPs:MeasuringandApportioningDilutionIntroductionWhatCanBeSkippedDefinitionsofDilutionDilutiontotheESOP(TypeDilution)DilutiontotheSellingOwner(TypeDilution)DefiningTermsTable:CalculationofLifetimeESOPCostsTheDirectApproachFMVEquationsAllDilutiontotheESOP(TypeDilutionNoTypeDilution)Table,Sectionsand:PosttransactionFMVwithAllDilutiontotheESOPThePosttransactionValueIsaParabolaFMVEquationsAllDilutiontotheOwner(TypeDilution)Table,Section:FMVCalculationsAllDilutiontotheSellerSharingtheDilutionEquationtoCalculateTypeDilutionTablesandA:AdjustingDilutiontoDesiredLevelsTableB:SummaryofDilutionTradeoffsTheIterativeApproachIteration#Iteration#Iteration#Iteration#nSummaryAdvantagesofResultsFunctionofESOPLoanCommonSenseIsRequiredToWhomShouldtheDilutionBelongAppendixA:ContentsxiMathematicalAppendixAppendixB:ShorterVersionofChapterBuyoutsofPartnersandShareholdersIntroductionAnExampleofaBuyoutTheSolutionEvaluatingtheBenchmarksGlossaryIndexThispageintentionallyleftblankxiiiIntroductionNATUREOFTHEBOOKThisisanadvancedbookinthescienceandartofvaluingprivatelyheldbusinessesInordertoreadthisbook,youmustalreadyhavereadatleastoneintroductorybooksuchasValuingABusiness(Pratt,Reilly,andSchweihs)Withoutsuchabackground,youwillbelostIhavewrittenthisbookwiththeprofessionalbusinessappraiserasmyprimaryintendedaudience,thoughIthinkthisbookisalsoappropriateforattorneyswhoareveryexperiencedinvaluationmatters,investmentbankers,venturecapitalists,financialanalysts,andMBAstudentsUniquenessofThisBookThisisarigorousbook,anditisnoteasyreadingHowever,thefollowinguniqueattributesofthisbookmakereadingitworththeeffort:ItemphasizesregressionanalysisofempiricaldataChapter,adjustingforcontrolandmarketability,containsthefirstregressionanalysisofthedatarelatedtorestrictedstockdiscountsChapter,asamplefractionalinterestdiscountstudy,containsaregressionanalysisofthePartnershipProfilesdatabaserelatedtosecondarylimitedpartnershipmarkettradesInbothcaseswefoundverysignificantresultsWenowknowmuchofwhatdrives(a)restrictedstockdiscountsand(b)discountsfromnetassetvaluesofthepubliclyregisteredprivatelytradedlimitedpartnershipsYouwillalsoseemuchempiricalworkinChapter,‘‘DiscountRatesasaFunctionofLogSize,’’andChapter,‘‘EmpiricalTestingofAbrams’ValuationTheory’’ItemphasizesquantitativeskillsChapterfocusesonusingregressionanalysisinbusinessvaluationChapter,‘‘AnnuityDiscountFactorsandtheGordonModel,’’isthemostcomprehensivetreatmentofADFsinprintForanyonewishingtousetheMercerquantitativemarketabilitydiscountmodel,CopyrightTheMcGrawHillCompanies,IncClickHereforTermsofUsexivIntroductionChaptercontainstheADFwithconstantgrowthnotincludedintheMercertextADFscropupinmanyvaluationcontextsIinventedseveralnewADFsthatappearinChapterthatareusefulinmanyvaluationcontextsChaptercontainsthefirsttreatiseonhowmuchstatisticaluncertaintywehaveinourvaluationsandhowvalueisaffectedwhentheappraisermakesvariouserrorsItemphasizesputtingallthepiecesofthepuzzletogethertopresentacomprehensive,unifiedapproachtovaluationthatcanbeempiricallytestedandwhoseprinciplesworkforthevaluationofbilliondollarfirmsandmaandpafirmsalikeWhilethisbookcontainsmoremathematicsaworm’seyeview,ifyouwillthanothervaluationtexts,italsohasmoreofabird’seyeviewaswellHOWTOREADTHISBOOKIhavetriedtoprovidepathsthroughthisbooktomakeiteasiertofollowChaptersandbothcontainashortcutversionofthechapterattheendforthosewhowantthebottomlinewithoutallthedetailIngeneral,IhavemovedmostoftheheaviestmathematicstoappendicesinordertoleavethebodiesofthechaptersmorereadableWherethatwasnotoptimal,IhavegiveninstructionsonwhichmaterialcanbesafelyskippedHowtoreadthisbookdependsonyourquantitativeskillsandhowmuchtimeyouhaveavailableForthereaderwithstrongquantitativeskillsandabundanttime,theidealpathistoreadthebookinitsexactorder,asthereisalogicalsequenceThefirstthreepartstothisbookfollowthechronologicalsequenceofperformingavaluation:()forecastcashflows,()discounttopresentvalue,and()adjustforcontrolandmarketabilityThefourthpartisabird’seyeviewinordertotestempiricallywhethermymethodologyworksAdditionally,weexplore()confidenceintervalsaroundvaluationestimatesand()whathappenstothevaluationwhenappraisersmakemistakesPart,onspecialtopics,istheplaceforeverythingelseEachofpartsofthebookhasanintroductionprecedingitthatwillpreviewtheupcomingmaterialin

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