Alege limba:

  • English
  • Română

Submit a Paper

If you want to submit your paper, edited according to the Instruction to Authors, you may do it by pressing the button below.

 
 
 
 
 

Feedback form

 
 
 
 
 

Poll

We invite you to fill-in The Valuation Journal poll, which analyzes your opinion regarding the current trend of the Romanian economy, the level of risk premiums and the average capitalization rate to be considered when value Romanian enterprises and Real Estate Properties. The poll results will be published on The Valuation Journal website.

Thank you for your support.

 
 
 
 
 

Model for Use of Monte Carlo Simulations in Business Valuation

Authors:

Daniel MANAŢE, Pavel FĂRCAŞ

Abstract:

This paper shows the results of the numerical simulations carried out on a discounted cash flow-based enterprise valuation model created by the authors. It describes all the steps of a Monte Carlo type simulation in estimating equity capital value of an issuer listed on the Bucharest Stock Exchange (BSE).

Simulated random variables had a great impact on the output variables. Input random variables were characterized by distribution functions deemed appropriate and by moments of order of I and II, obtained from historical data.

The operating revenues distribution function is uniform and symmetrical around the estimated values, cantered on these values with a variation of ± 20%. This function was also considered adequate for the variation in the percentage of the net working capital (NWC) in operating revenues.

For non-operating assets a Gaussian distribution function and for the Enterprise Value/Earnings Before Interest, Taxes Depreciation and Amortization multiple (EV/EBITDA) an asymmetric triangular distribution function were used, based on multiples of the median values that are characteristic of the enterprises in Central and Eastern Europe (CEE ). One single output variable, i.e. the equity capital market value, was selected. The case study concluded with an analysis of the results obtained by simulation.

 
 
 
 

Journal information

  • Edited by: IROVAL under ANEVAR guidance
  • ISSN: 1842-3787
  • Frequency: bi-annual
  • Current Volume: 12 (2), 2017
 
 
 
 
 

International Databases Listing

 
 
 
 
 

CNCSIS category B+

 
 
 
 
 
 

Journal Archive

 
 
 
 
 

Subscription

We invite you to subscribe to The Valuation Journal, by filling in the subscription form on our site.

 
 
 
 
 

Search for valuators