Unternehmensbewertung unter Unsicherheit — Sicherheitsäquivalent- oder Risikozuschlagsmethode?

Bernhard Schwetzler ()
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Bernhard Schwetzler: Handelshochschule Leipzig

Schmalenbach Journal of Business Research, 2000, vol. 52, issue 5, 469-486

Abstract: Summary For discounting uncertain cash flows one can use certainty equivalents or risk-adjusted discount rates. In a multi-period setting these methods seem to lead to different results. This paper shows that the difference comes from different assumptions about the stochastic process governing the cash flow distributions implicitly made by frequently used formulations of the two methods. We present formulations of both valuation methods appropriate for both different stochastic processes which lead to correspondent firm values. We show that this result does not depend on whether certainty equivalents or risk adjusted discount rates are generated via capital market data or via the investor’s preferences.

Date: 2000
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DOI: 10.1007/BF03372626

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