Abstract
The value of a firm cannot be totally independent of the financial context in which the firm operates. In this paper we propose a set of axioms in order to characterize appropriate measures of the (random) value of a company which provides a (sublinear) valuation functional consistent with the existence of a financial market. It allows to give an upper and a lower bound to the value of a firm.
Finally, in a random context, we consider some classical valuation methods and test them with respect to the axioms.
This work was partially supported by miur.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent Measures of Risk. Math. Finance 9, 203–228 (1999)
Bacidore, J.M., Boquist, J.A., Milbourn, T.T., Thakor, A.V.: The Search for the Best Financial Performance Measure. Financial Analysts J. 53, 11–20 (1997)
Bensaid, B., Lesne, J.P., Pagës, H., Scheinkman, H.: Derivative Asset Pricing with Transaction Costs. Math. Finance 2, 63–86 (1992)
Berk, J.B., Green, R.C., Naik, V.: Optimal Investment, Growth Options and Security Returns. J. Finance 54, 1553–1607 (1999)
Black, F., Scholes, M.: The Pricing of Options and Corporate Liabilities. J. Political Econ. 81, 637–659 (1973)
Brealey, R., Myers, S.: Principle of Corporate Finance. McGraw-Hill, New York (2008)
Brézis, H.: Analyse Fonctionelle. Thé orie et Applications. Masson, Milan (1983)
Castagnoli, E., Favero, G.: Going Sublinear: the Fundamental Theorem of Asset Pricing in the State Preference Model with Proportional Frictions, Studi di Matematica finanziaria ed attuariale 37, Università Commerciale “L. Bocconi”, Milan (2008)
Castagnoli, E., Favero, G.: On the Completeness of a Constrained Market. Int. J. Appl. Manag. Sci. 1, 90–96 (2008)
Castagnoli, E., Maccheroni, F., Marinacci, M.: Insurance Premia Consistent with the Market, Insur. Math. Econ. 31, 267–284 (2002)
Cigola, M., Modesti, P.: A Note on Mergers and Acquisitions, Manag. Finance 34, 221–238 (2008)
Copeland, T., Antikarov, V.: Real Options, a Practitioner’s Guide, Texere, New York (2001)
Copeland, T.E., Weston, J.F.: Financial Theory and Corporate Policy. Addison Wesley, New York (2004)
Daykin, C.D., Pentikäinen, T., Pesonen, M.: Practical Risk Theory for Actuaries. Chapman & Hall, London (1995)
Dixit, A.K., Pindyck, R.S.: Investment Under Uncertainty. Princeton University Press, Princeton (1994)
de Finetti, B., Obry, S.: L’Optimum nella Misura del Riscatto. In: Atti del Secondo Congresso Nazionale di Scienza delle Assicurazioni, Rome, vol. II, pp. 99–123 (1933)
Gilboa, I., Schmeidler, D.: Maxmin Expected Utility with Non-Unique Prior. J. Math. Econ. 18, 141–153 (1989)
Harrison, J.M., Kreps, D.: Martingales and Arbitrages in Multiperiods Securities Markets. J. Econ. Theory 20, 381–408 (1979)
Jouini, E.: Price Functionals with Bid-Ask Spreads: an Axiomatic Approach. J. Math. Econ. 34, 547–558 (2000)
Jouini, E., Kallal, H.: Martingales and Arbitrages in Securities Markets with Transactions Costs. J. Econ. Theory 66, 178–197 (1995)
Kellogg, D., Charnes, J.M.: Real-Options Valuation for a Biotechnology Company. Financial Analysts J. 56, 76–84 (2000)
Kolmogorov, A.N., Fomin, S.V.: Introductory Real Analysis. Dover Publications, New York (1970)
Koehl, P.F., Pham, H.: Sublinear Price Under Portfolio Constraints. J. Math. Econ. 33, 339–351 (2000)
Kreps, D.: Arbitrage and Equilibrium Economics with Infinitely Many Commodities. J. Math. Econ. 8, 15–35 (1981)
Larson, K.D., Gonedes, N.J.: Business Combinations: an Exchange Ratio Determination Model. Account. Rev. 44, 720–728 (1969)
Longley-Cook, A.G.: Risk-Adjusted Economic Value Analysis. North Am. Actuar. J. 2, 87–100 (1998)
Modesti, P.: EVA and NPV: Some Comparative Remarks. Math. Methods Econ. Finance 2, 55–70 (2007)
Modigliani, F., Miller, M.H.: The Cost of Capital, Corporate Finance and the Theory of Investment. Am. Econ. Rev. 48, 261–297 (1958)
Modigliani, F., Miller, M.H.: Dividend Policy, Growth and the Valuation of Shares. J. Bus. 34, 411–433 (1961)
Pemberton, J., Allen, I., Brown, D., Hardwick, S., Shah, N., Stevens, A., Wilson, C.: Classifying DCF Models to Explicate EVA. The Staple Inn Actuarial Society, London (2000)
Rolski, T., Schmidli, H., Schmidt, V., Teugels, J.: Stochastic Processes for Insurance and Finance. Wiley & Sons, New York (2000)
Schwartz, E.S., Moon, M.: Rational Pricing of Internet Companies. Financial Analysts J. 56, 62–75 (2000)
Shrieves, R.E., Wachowicz Jr., J.M.: Economic Value Added and Net Present Value: a Reconciliation of Variations of Discounted Cashflow Valuation. Eng. Econ. 46, 33–51 (2001)
Stewart, G.B.: The Quest for Value: the EVA TM Management Guide. Harper Business, New York (1991)
Trigeorgis, L. (ed.): Real Options in Capital Investment, Models, Strategies and Applications, Praeger, Westport (1995)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2010 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Modesti, P. (2010). Measures for Firms Value in Random Scenarios. In: Greco, S., Marques Pereira, R.A., Squillante, M., Yager, R.R., Kacprzyk, J. (eds) Preferences and Decisions. Studies in Fuzziness and Soft Computing, vol 257. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-15976-3_18
Download citation
DOI: https://doi.org/10.1007/978-3-642-15976-3_18
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-15975-6
Online ISBN: 978-3-642-15976-3
eBook Packages: EngineeringEngineering (R0)