Master's – Multiple valuation applied to the brazilian market

Marcelo Notomi Kanazawa    

Master's – Multiple valuation applied to the brazilian market

Advisor: Profa. Dra. Alessandra de Ávila Montini

Comission: Profs. Drs. Liliam Sanchez Carrete, Adolpho Walter Pimazoni Canton and Natália Cordeiro Zaniboni 

 Class: 215, FEA-5

 ABSTRACT*

The objective of this paper is to study the valuation methodology known as relative valuation, aiming to: identify which characteristics best explain the differences in the relative price of companies listed on the brazilian stock market and which models have the best results. The analysis period was from 2015 to 2018. For the market value multiples P/L (price on profit) and P/PLC (price on book value) the explanatory variables were identified: growth, payout rate, risk and profitability. For the enterprise value multiples EV/EBITDA (enterprise value over EBITDA), EV/IC (enterprise value over invested capital) and EV/Revenue (enterprise value over revenue) the explanatory variables were identified: growth, reinvestment rate, risk, profitability, tax rate and operating margin. Regarding which models have better results, it was identified the estimated models for the multiple ln(EV/Revenue) better than the others. Estimated models for profit multiples are the second best, when comparing these multiple, ln(P/PL) presents higher , while the estimated models for multiple ln (EV/EBITDA) better satisfy the assumptions of multiple linear regression model. And the estimated models for book value multiples were the ones with the worst results.

 *Abstract provided by the author