Métodos probabilísticos para avaliação de empresas

Abstract

A correct company valuation is an important step for any investor to allocate his resources searching a balanced equilibrium between risk and return. When risk is incorporated in the decision framework, we can use statistical tools to help the decision-making process. In this paper we took the Brazilian mining company Vale and modeled using Monte Carlo simulations the intrinsic value of the stock price. Among the independent variable that probability distributions were allocated in the model we highlight the international prices of iron ore and weighted average cost of capital. The valuation model used is this paper was based on the projection of the company cash flow in perpetuity, discounted at estimated the cost of capital. After estimating the probability distribution of the intrinsic value of the stock, we compared with the current price being negotiated in the New York Stock Exchange Market. The result suggests that actual prices are attractive to invest in the company.