Publication: Riesgo, performance y valoración: algunas alternativas
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2015-04-24
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Universidad Complutense de Madrid
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Abstract
Esta tesis nace de mi deseo de investigar en finanzas, y concretamente en lo que entiendo que es el núcleo de las modernas finanzas: la valoración y el riesgo. La crisis financiera que se planteó en agosto de 2007 y se manifestó con toda su importancia el 15 de septiembre de 2008 con la caída de Lehman Brothers no hizo sino refrendar la actualidad de estos aspectos, pues precisamente dicha crisis tuvo en su génesis errores relevantes en la valoración y en la gestión del riesgo. Esta tesis doctoral tiene un objetivo general: Profundizar en los métodos financieros de valoración y creación de valor, con especial referencia al tratamiento del riesgo. Que podemos concretar en cuatro objetivos específicos: 1. Repasar algunos de los problemas de la investigación financiera actual, fijándome principalmente en la investigación sobre valoración. 2. Testar en diferentes mercados el Capital Asset Pricing Model -CAPM- y la Eficiencia con una metodología robusta basada en la especulación. Página 2 de 2 3. Estudiar las posibilidades y ventajas de la penalización lineal por riesgo en la valoración de activos y en la medición de la performance, usando el riesgo total y el sistemático; analizando, además, la interpretación gráfica y estadística de los índices clásicos de performance, a los que hemos sumado el PIRR (Penalized Internal Rate of Return), y estableciendo una axiomática que justifique el uso de tales índices. 4. Trabajar en una forma original de creación de valor en las compañías participadas por fondos de Private Equity, basada en la expansión del múltiplo de valoración de la compañía, que puede señalar pautas de actuación para otras compañías. Estos cuatro objetivos se abordan en seis trabajos, cinco de los cuales ya han sido publicados en diversas revistas y libros de prestigio. Estos seis trabajos pueden leerse de forma independiente, pero a la vez están relacionados entre sí y conforman una tesis
This thesis grows from my desire of researching on finance, and specifically on what I understand is the core of modern finance: valuation and risk. The financial crisis that emerged in August 2007 and showed all its importance the 15th of September 2008 with Lehman Brothers' collapse only supported the topicality of these subjects, as precisely this crisis had in its genesis some valuation and risk management relevant mistakes. This thesis has a general goal: To go in depth into and beyond some valuation and value creation financial methods, with special reference to risk treatment. This can be detailed in four specific goals: 1. To review some problems of current financial research, paying special attention to research on valuation. 2. To test in different markets the Capital Asset Pricing Model -CAPMand the Efficiency with a robust methodology based on speculation. Page 2of 2 3. To study the possibilities and advantages of linear penalization by risk in assets valuation and in performance measurement, using the total and the systematic risks; analyzing, besides, the graphical and statistical interpretations of classic performance indexes, to which we have added the PIRR (Penalized Internal Rate of Return), and establishing an axiomatic that justifies the use of these indexes. 4. To work in an original way of value creation for companies owned by Private Equity funds, based in the expansion of company's valuation multiple, which can show guidelines for action in other companies. These four goals are faced in six works, five of which have already been published in different journals and books of prestige. These six works can be read independently, but at the same time are closely linked and integrate one single doctoral thesis
This thesis grows from my desire of researching on finance, and specifically on what I understand is the core of modern finance: valuation and risk. The financial crisis that emerged in August 2007 and showed all its importance the 15th of September 2008 with Lehman Brothers' collapse only supported the topicality of these subjects, as precisely this crisis had in its genesis some valuation and risk management relevant mistakes. This thesis has a general goal: To go in depth into and beyond some valuation and value creation financial methods, with special reference to risk treatment. This can be detailed in four specific goals: 1. To review some problems of current financial research, paying special attention to research on valuation. 2. To test in different markets the Capital Asset Pricing Model -CAPMand the Efficiency with a robust methodology based on speculation. Page 2of 2 3. To study the possibilities and advantages of linear penalization by risk in assets valuation and in performance measurement, using the total and the systematic risks; analyzing, besides, the graphical and statistical interpretations of classic performance indexes, to which we have added the PIRR (Penalized Internal Rate of Return), and establishing an axiomatic that justifies the use of these indexes. 4. To work in an original way of value creation for companies owned by Private Equity funds, based in the expansion of company's valuation multiple, which can show guidelines for action in other companies. These four goals are faced in six works, five of which have already been published in different journals and books of prestige. These six works can be read independently, but at the same time are closely linked and integrate one single doctoral thesis
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Tesis inédita de la Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Departamento de Economía Financiera y Contabilidad III, leída el 15-01-2015