Documentos de Académico
Documentos de Profesional
Documentos de Cultura
Estrategia financiera
Descuento de Cash-Flows
Precio de un Bono del estado (sin riesgo)
O bien
Value =
CF1
CF2
CF3
CFn
+
+
+
+
.....
(1 + r)1 (1 + r) 2 (1 + r)3
(1 + r) n
t = n CF
t
Value =
t
t = 1 (1 + r)
donde,
Estrategia financiera
Descuento de Cash-Flows
Ejemplos:
Calcular el precio de los siguientes bonos
P=
6
6
106
+
+
(1 + 0,06 )1 (1 + 0,06 )2 (1 + 0,06 )3
P=
6
6
106
+
+
(1 + 0,05 )1 (1 + 0,05 )2 (1 + 0,05 )3
P=
6
6
106
+
+
(1 + 0,07 )1 (1 + 0,07 )2 (1 + 0,07 )3
Estrategia financiera
BALANCE FINANCIERO
Pasivo
Activo
Pasivo
Necesidades
operativas
de fondos
Deuda
Activos
Fijos
Netos
Recursos
Propios
Tesorera
Cuentas a cobrar
Cuentas a pagar
Inventarios
Deuda financiera
a corto plazo
Deuda financiera
a largo plazo
NOF
Activos
Fijos
Netos
Recursos
Propios
Estrategia financiera
CASH FLOW A
DESCONTAR
TASA DE DESCUENTO
COSTE MEDIO
PROPIOS Y AJENOS
WACC
VALOR OBTENIDO EN
EL DESCUENTO DE
FLUJOS
VALOR DE LOS
RECURSOS PROPIOS
+
VALOR DE LA
DEUDA
VALOR DE LOS
RECURSOS PROPIOS
CASH FLOW
PARA LA DEUDA
COSTE DE LA
DEUDA
Kd
VALOR DE LA
DEUDA
Estrategia financiera
TASA DE DESCUENTO
COSTE MEDIO
PROPIOS Y AJENOS
WACC
VALOR OBTENIDO EN
EL DESCUENTO DE
FLUJOS
VALOR DE LOS
RECURSOS PROPIOS
+
VALOR DE LA
DEUDA
VALOR DE LOS
RECURSOS PROPIOS
CASH FLOW
PARA LA DEUDA
COSTE DE LA
DEUDA
Kd
VALOR DE LA
DEUDA
Estrategia financiera
Depender:
(a) De los componentes de la financiacin: Deuda, Acciones o Acciones Preferentes
(b) Del coste de cada componente
Estrategia financiera
El coste de los recursos propios debe ser mayor para las inversiones ariesgadas
y menor para las inversiones seguras
Estrategia financiera
La prima de riesgo
z
z
Historical Period
1928-2004
1964-2004
1994-2004
Arithmetic average
Geometric Average
Stocks T.Bills
7.92%
5.82%
8.60%
Stocks T.Bills
6.02%
4.59%
6.85%
Stocks T.Bonds
6.53%
4.34%
5.82%
Estrategia financiera
Stocks T.Bonds
4.84%
3.47%
4.51%
9
Estrategia financiera
10
Estimando la Beta
Hacemos una regresin lineal enter los rendimientos del Indice (Rm) y
los rendimientos del ttulo Ri -
Rj = + Rm
z
z
Estrategia financiera
11
Iberdrolas beta
Ttulo del grfico
y = 1.2107x + 6E-05
R2 = 0.7068
25.0%
ibe.mc
Lineal (ibe.mc)
20.0%
15.0%
10.0%
5.0%
0.0%
-15.0%
-10.0%
-5.0%
0.0%
-5.0%
5.0%
10.0%
15.0%
-10.0%
-15.0%
Estrategia financiera
12
Repsols beta
rep.mc
Lineal (rep.mc)
y = 1.04x + 0.0001
R2 = 0.6946
15.0%
10.0%
5.0%
-15.0%
-10.0%
0.0%
-5.0%
0.0%
-5.0%
5.0%
10.0%
15.0%
-10.0%
-15.0%
-20.0%
Estrategia financiera
13
Endesas beta
ele.mc
Lineal (ele.mc)
y = 0.6329x + 2E-05
R 2 = 0.4154
15.0%
10.0%
5.0%
-15.0%
-10.0%
0.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
-5.0%
-10.0%
Estrategia financiera
14
Determinantes de la Beta
Beta of Equity
Beta of Firm
Nature of product or
service offered by
company :
Other things remaining equal,
the more discretionary the
product or service, the higher
the beta.
Implications
1. Cyclical companies should
have higher betas than noncyclical companies.
2. Luxury goods firms should
have higher betas than basic
goods.
3. High priced goods/service
firms should have higher betas
than low prices goods/services
firms.
4. Growth firms should have
higher betas.
Implications
1. Firms with high infrastructure
needs and rigid cost structures
shoudl have higher betas than
firms with flexible cost structures.
2. Smaller firms should have higher
betas than larger firms.
3. Young firms should have
Financial Leverage:
Other things remaining equal, the
greater the proportion of capital that
a firm raises from debt,the higher its
equity beta will be
Implciations
Highly levered firms should have highe betas
than firms with less debt.
15
L = u (1 + ((1 - t)D/E))
donde
L = Levered or Equity Beta
u = Unlevered Beta
t = Corporate marginal tax rate
D = Valor de mercado de la deuda
E = Valor de mercado de los recursos propios
Estrategia financiera
16
La beta de Disney es 1.01. Esta es una beta apalancada (ya que est
basada en los precios de la accin, que reflejan el apalancamiento)
La media del ratio D/E durante el periodos fue el 27.5%.
Sabiendo que el tipo del impuesto de sociedades es 37,5%, calcular la
beta desapalancada
Estrategia financiera
17
Debt to Capital
Debt/Equity Ratio
Beta
Effect of
Leverage
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
0.00%
11.11%
25.00%
42.86%
66.67%
100.00%
150.00%
233.33%
400.00%
900.00%
0.86
0.92
1.00
1.09
1.22
1.40
1.67
2.12
3.02
5.72
0.00
0.06
0.14
0.23
0.36
0.54
0.81
1.26
2.16
4.86
Estrategia financiera
18
Estrategia financiera
19
Bottom-up Betas
Step 1: Find the business or businesses that your firm operates in.
Possible Refinements
Step 2: Find publicly traded firms in each of these businesses and
obtain their regression betas. Compute the simple average across
these regression betas to arrive at an average beta for these publicly
traded firms. Unlever this average beta using the average debt to
equity ratio across the publicly traded firms in the sample.
Unlevered beta for business = Average beta across publicly traded
firms/ (1 + (1- t) (Average D/E ratio across firms))
Step 3: Estimate how much value your firm derives from each of
the different businesses it is in.
Step 5: Compute a levered beta (equity beta) for your firm, using
the market debt to equity ratio for your firm.
Levered bottom-up beta = Unlevered beta (1+ (1-t) (Debt/Equity))
20
Estrategia financiera
21
Investment
Grade
Especulativo
Moodys
S&P
Fitch
Aaa
AAA
AAA
Capacidad de pago
extremadamente fuerte
Aa
A
AA
A
AA
A
Baa
BBB
BBB
Moodys
S&P
Fitch
Ba
BB
BB
Caa
CCC
CCC
Ca
CC
CC
Estrategia financiera
Definicin
Definicin
Capacidad moderada con riesgo
a medio plazo
Capaz actualmente, con alto
riesgo en el futuro
Baja calidad crediticia, claro
riesgo de quiebra
Baja capacidad de repago,
aunque con alguna posibilidad
Bajsima capacidad de repago,
prximo a quiebra
Quiebra o suspensin de pagos
(default)
22
Default Spread(2003)
0.75%
1.00%
1.50%
1.80%
2.00%
2.25%
2.75%
3.50%
4.75%
6.50%
8.00%
10.00%
11.50%
12.70%
15.00%
Default Spread(2004)
0.35%
0.50%
0.70%
0.85%
1.00%
1.50%
2.00%
2.50%
3.25%
4.00%
6.00%
8.00%
10.00%
12.00%
20.00%
El primer nmero indica interest coverage ratios para grandes empresas, la cifra en parntesis es la
correspondiente a pequeas empresas
Para ver los spreads actualizados ir a
http://www.bondsonline.com/Todays_Market/Corporate_Bond_Spreads.php
Estrategia financiera
23
24
D/E Ratio
0%
11%
25%
43%
67%
100%
150%
233%
400%
900%
Beta
1.09
1.17
1.27
1.39
1.56
1.79
2.14
2.72
3.99
8.21
Estrategia financiera
t=36%
Cost of Equity
13.00%
13.43%
13.96%
14.65%
15.56%
16.85%
18.77%
21.97%
28.95%
52.14%
25
D/(D+E)
D/E
$ Debt
0.00%
0.00%
$0
10.00%
11.11%
$6,207
Calculation Details
= [D/(D+E)]/( 1 -[D/(D+E)])
= [D/(D+E)]* Firm Value
Step
EBITDA
Depreciation
EBIT
Interest
Taxable Income
Tax
Net Income
$6,693
$1,134
$5,559
$0
$5,559
$2,001
$3,558
$6,693
$1,134
$5,559
$447
$5,112
$1,840
$3,272
AAA
7.20%
36.00%
12.44
AAA
7.20%
36.00%
= EBIT/Int. Exp
Based upon interest coverage
Interest rate for given rating
See notes on effective tax rate
3
4
5
After-tax kd
4.61%
4.61%
Estrategia financiera
26
La tabla de ratings
> 8.50
6.50 - 8.50
5.50 - 6.50
4.25 - 5.50
3.00 - 4.25
2.50 - 3.00
2.00 - 2.50
1.75 - 2.00
1.50 - 1.75
1.25 - 1.50
0.80 - 1.25
0.65 - 0.80
0.20 - 0.65
< 0.20
AAA
AA
A+
A
A
BBB
BB
B+
B
B
CCC
CC
C
D
Estrategia financiera
0.20%
0.50%
0.80%
1.00%
1.25%
1.50%
2.00%
2.50%
3.25%
4.25%
5.00%
6.00%
7.50%
10.00%
27
D/(D+E)
D/E
$ Debt
EBITDA
Depreciation
EBIT
Interest Expense
Pre-tax Int. cov
Likely Rating
Interest Rate
Eff. Tax Rate
0.00%
0.00%
$0
$6,693
$1,134
$5,559
$0
AAA
7.20%
36.00%
10.00%
11.11%
$6,207
$6,693
$1,134
$5,559
$447
12.44
AAA
7.20%
36.00%
Cost of Debt
4.61%
4.61%
20.00%
Estrategia financiera
Second Iteration
28
Debt Ratio
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
Cost of Equity
13.00%
13.43%
13.96%
14.65%
15.56%
16.85%
18.77%
21.97%
28.95%
52.14%
AT Cost of Debt
4.61%
4.61%
4.99%
5.28%
5.76%
6.56%
7.68%
7.68%
7.97%
9.42%
Estrategia financiera
Cost of Capital
13.00%
12.55%
12.17%
11.84%
11.64%
11.70%
12.11%
11.97%
12.17%
13.69%
29
14.00%
13.50%
13.00%
12.50%
Cost of Capital
12.00%
11.50%
11.00%
0.
00
%
10.50%
Debt Ratio
Estrategia financiera
30