Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежного потока? Свидетельства иррациональности в нефтегазовом секторе
https://doi.org/10.26794/2308-944X-2018-6-1-17-28
Аннотация
Основная задача статьи - проверка, действительно ли традиционная модель DCF (Discounted Cash Flow - модель дисконтированных денежных потоков), основанная на стабильных рациональных ожиданиях денежных потоков и ставок дисконтирования, работает в промежуточном периоде - от квартала до трех лет. Выборка была сформирована из шести крупных компаний нефтегазового сектора. Основные выводы - изменения стоимости предприятия не зависят от изменения средневзвешенной стоимости капитала, свободного денежного потока и текущего денежного потока. Это может быть объяснено невозможностью осуществления долговременной оценки ни ожидаемых денежных потоков, ни учетной ставки, что фактически означает несостоятельность строго рациональных моделей САРМ (Capital Asset Pricing Model - Модель оценки долгосрочных активов) или ММ (Market Model). В статье предлагается учесть подразумеваемую иррациональность в новой модели, базирующейся на стохастической стоимости капитала, связанной с моделью обобщенного метода моментов J. Cochrane (ОММ; англ. GMM - Generalized Method of Moments).
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Рецензия
Для цитирования:
Жуков П.Е. Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежного потока? Свидетельства иррациональности в нефтегазовом секторе. Review of Business and Economics Studies. 2018;6(1):17-28. https://doi.org/10.26794/2308-944X-2018-6-1-17-28
For citation:
Zhukov P.E. Does Enterprise Value Really Depend on WACC and Free Cash Flow? The Evidence of Irrationality from the Oil and Gas Sector. Review of Business and Economics Studies. 2018;6(1):17-28. (In Russ.) https://doi.org/10.26794/2308-944X-2018-6-1-17-28
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