问题描述：
英语翻译
Including a company specific risk premium to account for differences between theforecasted and expected cash flows is generally accepted by valuation professionals.The publications of the American Society of Appraisers (ASA) and the American Institute of Certified Public Accountants (AICPA) suggest in their guides to valuation that company specific risk premium be included in the discount rate as an adjustment for the riskiness of the forecast.These adjustments are qualitative,at best.The ASA manual explains that “There are few objective data and no quantitative means of establishing the company-specific risk premium.It is largely a matter of judgment and experience.” [page 61,v.5.1 (11/06)].The AICPA publication,Understanding Business Valuation,suggests that the company-specific risk premium should account for “risk elements not covered by the equity risk premium.” It also reports that there is “no objective source of data to properly reflect or quantify” the companyspecific risk premium,“[t]here are no mystical tables that an appraiser can turn to,nor can the appraiser be totally comfortable with this portion of the assignment” and that it makes “auditors cringe.”
While the practice of increasing the discount rate in DCF calculations to account for biased cash flow forecasts is common by practitioners and appraisers,and is used in venture capital and international project valuations,most traditional academic discussions frown on it.Brealey,Myers,and Allen (2005) describe these denominator adjustments as “fudge factors” that managers use because they “fail to give bad outcomes their due weight in cash flow forecasts.” These discount rate adjustments make the authors “nervous” and they recommend that managers instead adjust the forecasts so that cash flows used in the DCF calculation are expected values.
In this paper I simply model the expected cash flows as the forecasted cash flows plus a missing component.I present two different specifications of the missing component in Section 2.I show that the appropriate adjustment to the DCF formula when using forecasted cash flows depends on the specification of the missing component.In one specification,the appropriate adjustment is to decrease the forecasted cash flows; in the other specification,however,the appropriate adjustment is to decrease the forecasted cash flows and increase the discount rate.Furthermore,the choice of specification has a substantial impact on the estimated value.
Including a company specific risk premium to account for differences between theforecasted and expected cash flows is generally accepted by valuation professionals.The publications of the American Society of Appraisers (ASA) and the American Institute of Certified Public Accountants (AICPA) suggest in their guides to valuation that company specific risk premium be included in the discount rate as an adjustment for the riskiness of the forecast.These adjustments are qualitative,at best.The ASA manual explains that “There are few objective data and no quantitative means of establishing the company-specific risk premium.It is largely a matter of judgment and experience.” [page 61,v.5.1 (11/06)].The AICPA publication,Understanding Business Valuation,suggests that the company-specific risk premium should account for “risk elements not covered by the equity risk premium.” It also reports that there is “no objective source of data to properly reflect or quantify” the companyspecific risk premium,“[t]here are no mystical tables that an appraiser can turn to,nor can the appraiser be totally comfortable with this portion of the assignment” and that it makes “auditors cringe.”
While the practice of increasing the discount rate in DCF calculations to account for biased cash flow forecasts is common by practitioners and appraisers,and is used in venture capital and international project valuations,most traditional academic discussions frown on it.Brealey,Myers,and Allen (2005) describe these denominator adjustments as “fudge factors” that managers use because they “fail to give bad outcomes their due weight in cash flow forecasts.” These discount rate adjustments make the authors “nervous” and they recommend that managers instead adjust the forecasts so that cash flows used in the DCF calculation are expected values.
In this paper I simply model the expected cash flows as the forecasted cash flows plus a missing component.I present two different specifications of the missing component in Section 2.I show that the appropriate adjustment to the DCF formula when using forecasted cash flows depends on the specification of the missing component.In one specification,the appropriate adjustment is to decrease the forecasted cash flows; in the other specification,however,the appropriate adjustment is to decrease the forecasted cash flows and increase the discount rate.Furthermore,the choice of specification has a substantial impact on the estimated value.
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