Rozprawy doktorskie na temat „Valuation”

Background:

In Sweden Internet was introduced in 1983 and IT became a popular phe-nomenon in the 1990s. In the middle of this decade IT-companies had a prosperous period. Many companies acquired competitors frequently dur-ing these years in order to build brand names and stay competitive. More than 400 IT-companies went bankrupt during 2001, due to the burst of the IT-bubble. Today, there is no doubt that IT-companies are willing to acquire other companies in the industry. Before an acquisition both the purchaser and seller do a careful valuation of the current company, using different valuation methods. Lately, there are some IT-companies in the area of Jönköping and its surroundings that have carried out acquisitions.

Purpose:

In this thesis IT-companies in the area of Jönköping are considered in or-der to describe what valuation methods that are used when valuing these before an acquisition. Intangible assets are of great importance for this in-dustry. Therefore the aim is also to find out which these are and how they are valued.

Method:

In order to fulfill the purpose a qualitative research is maintained. Primary data is collected from two telephone interviews and six face-to-face inter-views. Three of the interviews are conducted with people working at IT-companies that have carried out an acquisition between 2006 and 2008. The other interviews were performed with people working with business valuation on a daily basis.

Conclusion:

When valuing IT-companies as well as the intangible assets, where good-will is significant due to synergies, the net present value approach is most commonly used. The relative valuation approach is also useful, especially for companies in the early phase of the life cycle since these do not show any historical facts. Within the IT-industry; P/S, P/E, and value per em-ployee, are all useful. The net asset value approach is the most common before a direct acquisition. In this research indirect acquisitions are most often applied.

Bakgrund:

I Sverige introducerades internet 1983 och IT blev ett populärt fenomen under 1990-talet. I mitten av decenniet hade IT-företagen en blomstrande period. Många företag förvärvade konkurrenter ofta för att skapa varu-märke och fortsätta vara konkurrenskraftiga. Över 400 IT-företag gick i konkurs under 2001 på grund av IT-bubblan. Idag är det ingen tvekan om att IT-företag är villiga att förvärva andra företag i denna industri. Innan ett förvärv genomför både förvärvaren och säljaren en noggrann värdering av det aktuella företaget med användning av olika värderingsmetoder. Det finns några IT-företag i Jönköpingsregionen som genomfört företagsför-värv på sista tiden.

Syfte:

Syftet i denna uppsats är att beskriva vilka värderingsmetoder IT-företag i Jönköpingsregionen använder vid värdering innan ett företagsförvärv. Immateriella tillgångar är viktiga i denna industri. Därför är syftet även att identifiera dessa och se hur de värderas.

Metod:

För att uppfylla syftet används en kvalitativ metod. Primärdata är insamlad från två telefonintervjuer och de andra sex på intervjuobjektens kontor. Tre intervjuer genomfördes med personer som arbetar på IT-företag som genomfört företagsförvärv mellan 2006 och 2008. De andra intervjuerna genomfördes med personer som arbetar med företagsvärdering dagligen.

Slutsats:

Vid värdering av IT-företag såväl som de immateriella tillgångarna, främst goodwill tack vare synergier, används i första hand avkastningsvärdering. Relativvärdering är också användbar, särskilt för företag i det tidiga skedet av livscykeln då ingen historisk information finns att tillgå. Inom IT-industrin är; P/S, P/E och värde per anställd, alla användbara. Substans-värdering är vanligast vid ett direkt förvärv. I denna studie är indirekta förvärv oftast förekommande.

A fundamental fact in finance and economics is that moneyhas a time value, meaning that if we want to value an amount ofmoney we get at some future date we should discount the amountfrom the future date back to today. When facing a stream ofcash flows occurring at di®erent times we discount each ofthe cash flows using suitable discount rates and then sum thecontributions. This sum of discounted cash flows defines thevalue today of this stream. Most future cash flows that appearin models in finance and economics are assumed to be stochastic(nondefaultable bonds being a counter example). To be able tovalue these stochastic cash flows we also have to takeexpectations. In some cases even the discount rate should bemodelled as a stochastic object. The purpose of the two papersin this licentiate thesis (’On the Valuation of Cash Flows–Discrete Time Models’and’On the Valuation ofCash Flows–Continuous Time Models’) is to establishgeneral properties of the value process. As time passes twothings happen. Firstly, the cash flows that are realised are nomore parts of the value and secondly, the information we canuse to determine the expected cash flows and discount ratesincreases.

The two papers consider discrete time models and continuoustime models respectively.Of course any continuous time modelis necessarily an idealisation. Thus one could argue from amodelling point of view that we should use discrete timemodels. The main reason for using continuous time models isthat we have the powerful machinery of stochastic calculus athand. Discrete time models are mostly used in practice whenvaluing a firm or a project, while the continuous time settingis more frequently used in thoretical approaches to valuation.Most of the results are parallelled in the two papers. Adi®erence is that we discuss some convergence results forthe value in discrete time which do not occur in the continuoustime paper. The reason for not including this in the continuoustime paper is because we find it a more important question indiscrete time. On the other hand the Brownian models incontinuous time, where the Martingale Representation Theorem isan important tool, make the analysis much more transparent.

In both papers we first define the underlying objects: thediscount process and the cash flow process. We then define,using these two processes, the value process (i.e. the expecteddiscounted value of the cash flow stream). We show that thediscounted value tends to zero almost surely, and that thereare three equivalent ways of writing the value process, each ofwhich has its own merits. We also extend this result to thecase when the cash flow process and the value process areevaluated at a stopping time. The first paper, on discrete timemodels, then continues by showing examples from finance,economics, and insurance where the discounted value processplays an important role. Finally we present two propositionswith necessary conditions for the value process to convergealmost surely. The second paper, on continuous time models,discusses some properties of the local dynamics of the valueprocess and then continues with Brownian models. We show thatthe value process can equivalently be expressed as a solutionto a forward-backward stochastic di®erential equation.Finally we show that under some additional assumptions there isa one-to-one correspondance between the cash flow process andthe value process. We also investigate the inverse problem offinding a cash flow process generating a given value processand discuss applications to real options.

Environmental goods such as clean air and water are integral to human quality of life. However, because these amenities are not priced, their monetary values are not directly apparent. As a result, Hedonic methods have been employed as a tool to recover household Marginal Willingness To Pay (MWTP) for these goods to inform policy-making given constrained public resources. This thesis consists of three chapters tied to the Hedonic valuation of a particular environmental `bad,' a brownfield site. Brownfield properties are lands that cannot be used due to the presence of a low-risk, hazardous substance.

The first chapter uses property value hedonics to reveal household willingness to pay for brownfield cleanup (joint work with Kevin Haninger and Christopher Timmins). We exploit variation in space and time to deal with the potential bias in estimating MWTP due to unobservable variables that are correlated with both housing prices and site cleanup. Furthermore, there has been recent work showing that if equilibrium price functions change over time, the capitalization of changes in neighborhood amenities into property values over time (e.g. brownfield cleanup) may neither represent the preferences of those living in the neighborhood before changes occurred or after. To address this, we provide a way to estimate cleanup without assuming that the hedonic price function is stable over time, an assumption that would likely be violated if site cleanup brought about significant changes to the community populations around the sites.

The second chapter considers two sources of distortions in the valuation of non-marketed goods - an expectations bias and a learning bias. If consumers suspect that cleanup of a brownfield is likely before it is cleaned (expectation) or gain new information about the severity of the brownfield contamination (information), then baseline period prices need to be adjusted to account for these potential distortions to the MWTP estimate. To address this, I collect a new data set on brownfield contamination information over time from Massachusetts, and recover hedonic values from a dynamic neighborhood choice framework that allows agents to learn about brownfield hazards in a Bayesian fashion. I find a MWTP estimate of \$888.38 per unit of site contamination when accounting for learning and forward-looking behavior, which is more than double the simple hedonic estimate. Furthermore, parameters from my model can be used to calculate the average value of information provided by a site assessment.

The final chapter, joint work with Gabrielle Inder, examines whether different types of information about brownfield contamination capitalize into property values differently. More specifically, we estimate a property value hedonic model to test if housing prices are impacted differently if information about nearby contamination is released as a continuous measure as opposed to a binary measure (i.e. exceeding a threshold value or not). We do this by exploiting variation in contaminant thresholds used, holding constant the contaminant level, due to regulatory requirements for brownfield investigations in the State of Massachusetts. As the variation in threshold levels are tied to the level of human exposure of the areas in which these contaminated sites exist, threshold exceedance is potentially endogenous to unobserved neighborhood characteristics that also impact housing values. To deal with this, we take an Instrumental Variables approach using variation in threshold exceedance due to the location of underground water sources. After instrumenting for threshold exceedance with the presence of an aquifer underground, our estimates indicate a 10\% decrease in housing values from exceeding contaminant thresholds, but that continuous toxicity levels have a negative but insignificant effect. These findings suggest that polices aimed to improve public awareness about pollution should be cognizant of how information is conveyed, as it may allow for better design of information provision programs aimed to improve environmental quality.