VALUATION OF THE LIABILITY STRUCTURE BY REAL OPTIONS

The valuation of the liability structure can be determined by real options because the shares of a company can be regarded as similar to the purchase of a financial call option. Therefore, from this perspective, debt can be viewed as the sale of a financial put option. As a result, financial analyst...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: HELLER, DAVID
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [S.l.] : JOHN WILEY, 2022.
Temas:
Real options (Finance)
Options réelles (Finances)
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Cover
  • Half-Title Page
  • Title Page
  • Copyright Page
  • Contents
  • Introduction
  • Chapter 1. The Utility of Real Options in the Valuation of Liabilities
  • 1.1. Introduction
  • 1.2. Real options: a mitigating alternative to the deficiency of traditional valuation methods
  • 1.2.1. The limits of traditional approaches
  • 1.2.2. The alternative of real options
  • 1.2.3. Black-Scholes optional modeling
  • 1.3. Intersections between approaches to assets valuation
  • 1.3.1. Convergence between the Cox-Ross-Rubinstein (1979) and the Black-Scholes (1973) models and the Merton formula (1973)
  • 1.3.2. Convergence between the CAPM and the Modigliani-Miller theory
  • 1.3.3. Convergence between the Black-Scholes model and the Modigliani-Miller theory outside of taxation
  • 1.4. Valuation of liabilities structures with real options
  • 1.4.1. The economic value of equity and net debt
  • 1.4.2. The impact of the risk debt on the time value of equity and the resolution of conflict between creditors and shareholders
  • 1.5. Conclusion
  • Chapter 2. The New Allocation of Company Value Using the Optional Approach
  • 2.1. Introduction
  • 2.2. Economic value of debt and systematic risk adjustment of equity
  • 2.2.1. Optional valuation of debt and the issues associated with getting into debt
  • 2.2.2. Combination of CAPM and the options model: the systematic risk of equity and the rate of return required by shareholders
  • 2.2.3. Situations that impact financial structure
  • 2.3. Integration of organizational problems between shareholders and debtors
  • 2.3.1. The interaction of financing decisions
  • 2.3.2. Accounting for information costs and protection clauses
  • 2.3.3. Bankruptcy costs, getting into permanent debt and optimizing the debt ratio
  • 2.4. Mechanisms of refinancing debt and the impact on the value of equity
  • 2.4.1. Risks of refinancing.
  • 2.4.2. Reimbursing loans at intermediate intervals and the impact on the value of equity
  • 2.5. Conclusion
  • Chapter 3. Applications of Real Options on Financial Structure Valuation
  • 3.1. Introduction
  • 3.2. Application to the stock market index of a country: the CAC 40
  • 3.2.1. Databases, methodology and hypotheses
  • 3.2.2. Equality test for asset and equity volatility and the interpretation of results
  • 3.2.3. Equality test for growth potential of stock prices based on the approach of brokers and Black-Scholes-Merton and the interpretation of results
  • 3.2.4. Equality test for debt ratios based on net debt from the financial states of companies and the recalculation of net debt using the Black-Scholes-Merton approach, and the interpretation of results
  • 3.2.5. Regression coefficient to explain growth potential of stock prices
  • 3.3. Application to a business sector: the cinema industry
  • 3.3.1. Databases, methodology and hypotheses
  • 3.3.2. Equality test for volatility of assets and equity and interpretation of results
  • 3.3.3. Equality test for the growth potential of stock prices based on the approach of brokers and Black-Scholes-Merton
  • 3.3.4. Test for equal debt ratios based on net debt from the financial reports of companies and the recalculation of net debts using the Black-Scholes-Merton approach
  • Conclusion
  • Appendices
  • Appendix 1
  • Appendix 2
  • Appendix 3
  • Appendix 4
  • Appendix 5
  • Appendix 6
  • Appendix 7
  • Appendix 8
  • Appendix 9
  • Appendix 10
  • Appendix 11
  • Appendix 12
  • Appendix 13
  • Appendix 14
  • Appendix 15
  • Appendix 16
  • Appendix 17
  • Appendix 18
  • Appendix 19
  • Appendix 20
  • Appendix 21
  • Appendix 22
  • Appendix 23
  • Bibliography
  • Index
  • Other titles from iSTE in Innovation, Entrepreneurship and Management
  • EULA.

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