FORMULAE Part I FÓRMULAS Parte I

(following Berk DeMarzo & Harford’s “Fundamentals of Corporate Finance” sequence)

GESTÃO FINANCEIRA I / GESTÃO FINANCEIRA / CORPORATE FINANCE / CORPORATE FINANCE I

𝐶
𝑃𝑉(𝑔𝑟𝑜𝑤𝑖𝑛𝑔 𝑝𝑒𝑟𝑝𝑒𝑡𝑢𝑖𝑡𝑦) = = 𝑉𝐴(𝑟𝑒𝑛𝑑𝑎 𝑝𝑒𝑟𝑝é𝑡𝑢𝑎) (4.7)
𝑟−𝑔

1 1+𝑔 𝑁
𝑃𝑉(𝑎𝑛𝑛𝑢𝑖𝑡𝑦 𝑜𝑓 𝐶 𝑓𝑜𝑟 𝑁 𝑝𝑒𝑟𝑖𝑜𝑑𝑠 𝑤𝑖𝑡ℎ 𝑖𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑟𝑎𝑡𝑒 𝑟, 𝑔𝑟𝑜𝑤𝑖𝑛𝑔 𝑎𝑡 𝑟𝑎𝑡𝑒 𝑔) = 𝐶 × (1 − ( ) ) =
𝑟−𝑔 1+𝑟

= 𝑉𝐴(𝑟𝑒𝑛𝑑𝑎 𝑡𝑒𝑟𝑚𝑜 𝑖𝑛𝑖𝑐𝑖𝑎𝑙 𝐶, 𝑐𝑟𝑒𝑠𝑐𝑒𝑛𝑡𝑒 𝑎 𝑡𝑎𝑥𝑎 𝑔, 𝑑𝑢𝑟𝑎𝑛𝑡𝑒 𝑁 𝑝𝑒𝑟í𝑜𝑑𝑜𝑠, 𝑎𝑡𝑢𝑎𝑙𝑖𝑧𝑎𝑑𝑎 𝑎 𝑡𝑎𝑥𝑎 𝑟) (4.8)

𝐴𝑃𝑅 𝑘 𝑇𝐴𝑁 𝑘
1 + 𝐸𝐴𝑅 = (1 + ) ; 1 + 𝑇𝐴𝐸 = (1 + ) (5.3)
𝑘 𝑘
1
𝐹𝑎𝑐𝑒 𝑉𝑎𝑙𝑢𝑒 𝑛
𝑌𝑇𝑀𝑛 = ( ) −1 (6.2)
𝑃

1 1 𝐹𝑉
𝑃 = 𝐶𝑃𝑁 × (1 − )+ (6.3)
𝑦 (1 + 𝑦)𝑛 (1 + 𝑦)𝑛

𝐶𝑃𝑁 𝐶𝑃𝑁 𝐶𝑃𝑁 + 𝐹𝑉

𝑃 = 𝑃𝑉(𝐵𝑜𝑛𝑑/𝑂𝑏𝑟𝑖𝑔𝑎çã𝑜 𝑐𝑎𝑠ℎ 𝐹𝑙𝑜𝑤𝑠) = + +⋯+ (6.4)
1 + 𝑌𝑇𝑀1 (1 + 𝑌𝑇𝑀2 )2 (1 + 𝑌𝑇𝑀𝑁 )𝑁

𝐷𝑖𝑣1 𝑃1 − 𝑃0
𝑟𝐸 = + (7.2)
𝑃0 𝑃0

𝐷𝑖𝑣1 𝐷𝑖𝑣 𝐷𝑖𝑣 𝑃

𝑃0 = + (1+𝑟 2)2 + ⋯ + (1+𝑟 𝑁)𝑁 + (1+𝑟𝑁 )𝑁 (7.4)
1+𝑟𝐸 𝐸 𝐸 𝐸

𝐷𝑖𝑣1
𝑃0 = (7.6)
𝑟𝐸 − 𝑔

𝐷𝑖𝑣𝑡 = 𝐸𝑃𝑆𝑡 × 𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝑃𝑎𝑦𝑜𝑢𝑡 𝑅𝑎𝑡𝑒𝑡 (7.8)

𝑔 = 𝑅𝑒𝑡𝑒𝑛𝑡𝑖𝑜𝑛 𝑟𝑎𝑡𝑒 × 𝑅𝑒𝑡𝑢𝑟𝑛 𝑜𝑛 𝑁𝑒𝑤 𝐼𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡 (7.11)

𝑃𝑉(𝐹𝑢𝑡𝑢𝑟𝑒 𝑇𝑜𝑡𝑎𝑙 𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑𝑠 𝑎𝑛𝑑 𝑅𝑒𝑝𝑢𝑟𝑐ℎ𝑎𝑠𝑒𝑠)

𝑃0 = (7.15)
𝑆ℎ𝑎𝑟𝑒𝑠 𝑂𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔0

RATIOS RÁCIOS

𝐺𝑟𝑜𝑠𝑠 𝑃𝑟𝑜𝑓𝑖𝑡 𝑀𝑎𝑟𝑔𝑒𝑚 𝐵𝑟𝑢𝑡𝑎

𝐺𝑟𝑜𝑠𝑠 𝑃𝑟𝑜𝑓𝑖𝑡 𝑀𝑎𝑟𝑔𝑖𝑛 = = = 𝑀𝑎𝑟𝑔𝑒𝑚 𝐵𝑟𝑢𝑡𝑎 𝑑𝑎𝑠 𝑉𝑒𝑛𝑑𝑎𝑠
𝑆𝑎𝑙𝑒𝑠 𝑉𝑒𝑛𝑑𝑎𝑠
𝐸𝐵𝐼𝑇 𝐸𝐵𝐼𝑇
𝐸𝐵𝐼𝑇 𝑀𝑎𝑟𝑔𝑖𝑛 = = = 𝑀𝑎𝑟𝑔𝑒𝑚 𝑑𝑜 𝐸𝐵𝐼𝑇
𝑆𝑎𝑙𝑒𝑠 𝑉𝑒𝑛𝑑𝑎𝑠

𝑁𝑒𝑡 𝐼𝑛𝑐𝑜𝑚𝑒 𝑅𝑒𝑠𝑢𝑙𝑡𝑎𝑑𝑜 𝐿í𝑞𝑢𝑖𝑑𝑜

𝑁𝑒𝑡 𝑃𝑟𝑜𝑓𝑖𝑡 𝑀𝑎𝑟𝑔𝑖𝑛 = = = 𝑅𝑒𝑛𝑑𝑖𝑏𝑖𝑙𝑖𝑑𝑎𝑑𝑒 𝐿í𝑞𝑢𝑖𝑑𝑎 𝑑𝑎𝑠 𝑉𝑒𝑛𝑑𝑎𝑠
𝑆𝑎𝑙𝑒𝑠 𝑉𝑒𝑛𝑑𝑎𝑠
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝐴𝑠𝑠𝑒𝑡𝑠 𝐴𝑡𝑖𝑣𝑜 𝐶𝑜𝑟𝑟𝑒𝑛𝑡𝑒
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑅𝑎𝑡𝑖𝑜 = = = 𝐿𝑖𝑞𝑢𝑖𝑑𝑒𝑧 𝐺𝑒𝑟𝑎𝑙
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝐿𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 𝑃𝑎𝑠𝑠𝑖𝑣𝑜 𝐶𝑜𝑟𝑟𝑒𝑛𝑡𝑒
 𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝐴𝑠𝑠𝑒𝑡𝑠 − 𝐼𝑛𝑣𝑒𝑛𝑡𝑜𝑟𝑦 𝐴𝑡𝑖𝑣𝑜 𝐶𝑜𝑟𝑟𝑒𝑛𝑡𝑒 − 𝐼𝑛𝑣𝑒𝑛𝑡á𝑟𝑖𝑜𝑠
𝑄𝑢𝑖𝑐𝑘 𝑅𝑎𝑡𝑖𝑜 = = = 𝐿𝑖𝑞𝑢𝑖𝑑𝑒𝑧 𝑅𝑒𝑑𝑢𝑧𝑖𝑑𝑎
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝐿𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 𝑃𝑎𝑠𝑠𝑖𝑣𝑜 𝐶𝑜𝑟𝑟𝑒𝑛𝑡𝑒

𝐶𝑎𝑠ℎ 𝑜𝑟 𝐶𝑎𝑠ℎ&𝐸𝑞𝑢𝑖𝑣𝑎𝑙𝑒𝑛𝑡𝑠 𝐶𝑎𝑖𝑥𝑎 𝑜𝑢 𝐶𝑎𝑖𝑥𝑎&𝐸𝑞𝑢𝑖𝑣𝑎𝑙𝑒𝑛𝑡𝑒𝑠

𝐶𝑎𝑠ℎ 𝑅𝑎𝑡𝑖𝑜 = = = 𝐿𝑖𝑞𝑢𝑖𝑑𝑒𝑧 𝐼𝑚𝑒𝑑𝑖𝑎𝑡𝑎
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝐿𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 𝑃𝑎𝑠𝑠𝑖𝑣𝑜 𝐶𝑜𝑟𝑟𝑒𝑛𝑡𝑒

𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑠 𝑅𝑒𝑐𝑒𝑖𝑣𝑎𝑏𝑙𝑒 𝐶𝑜𝑛𝑡𝑎𝑠 𝑎 𝑅𝑒𝑐𝑒𝑏𝑒𝑟

𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑠𝑅𝑒𝑐𝑒𝑖𝑣𝑎𝑏𝑙𝑒𝐷𝑎𝑦𝑠 = = = 𝑃𝑟𝑎𝑧𝑜𝑀é𝑑𝑖𝑜𝑅𝑒𝑐𝑒𝑏𝑖𝑚𝑒𝑛𝑡𝑜𝑠
𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐷𝑎𝑖𝑙𝑦 𝑆𝑎𝑙𝑒𝑠 𝑉𝑒𝑛𝑑𝑎𝑠 𝐷𝑖á𝑟𝑖𝑎𝑠 (𝑚é𝑑𝑖𝑎)

𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑠 𝑃𝑎𝑦𝑎𝑏𝑙𝑒 𝐶𝑜𝑛𝑡𝑎𝑠 𝑎 𝑃𝑎𝑔𝑎𝑟

𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑠 𝑃𝑎𝑦𝑎𝑏𝑙𝑒 𝐷𝑎𝑦𝑠 = = = 𝑃𝑟𝑎𝑧𝑜𝑀é𝑑𝑖𝑜𝑃𝑎𝑔𝑎𝑚𝑒𝑛𝑡𝑜𝑠
𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐷𝑎𝑖𝑙𝑦 𝐶𝑜𝑠𝑡 𝑜𝑓 𝑆𝑎𝑙𝑒𝑠 𝐶𝑀𝑉𝑀𝐶 𝐷𝑖á𝑟𝑖𝑜 (𝑚é𝑑𝑖𝑜)

𝐼𝑛𝑣𝑒𝑛𝑡𝑜𝑟𝑦 𝐼𝑛𝑣𝑒𝑛𝑡á𝑟𝑖𝑜𝑠
𝐼𝑛𝑣𝑒𝑛𝑡𝑜𝑟𝑦𝐷𝑎𝑦𝑠 = = = 𝑃𝑟𝑎𝑧𝑜𝑀é𝑑𝑖𝑜𝑃𝑒𝑟𝑚𝑎𝑛ê𝑛𝑐𝑖𝑎𝐼𝑛𝑣𝑒𝑛𝑡á𝑟𝑖𝑜𝑠
𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐷𝑎𝑖𝑙𝑦 𝐶𝑜𝑠𝑡 𝑜𝑓 𝑆𝑎𝑙𝑒𝑠 𝐶𝑀𝑉𝑀𝐶 𝐷𝑖á𝑟𝑖𝑜 (𝑚é𝑑𝑖𝑜)

𝐴𝑛𝑛𝑢𝑎𝑙 𝐶𝑜𝑠𝑡 𝑜𝑓 𝑆𝑎𝑙𝑒𝑠 𝐶𝑀𝑉𝑀𝐶 𝐴𝑛𝑢𝑎𝑙

𝐼𝑛𝑣𝑒𝑛𝑡𝑜𝑟𝑦 𝑇𝑢𝑟𝑛𝑜𝑣𝑒𝑟 = = = 𝑅𝑜𝑡𝑎çã𝑜 𝑑𝑒 𝐼𝑛𝑣𝑒𝑛𝑡á𝑟𝑖𝑜𝑠
𝐼𝑛𝑣𝑒𝑛𝑡𝑜𝑟𝑦 𝐼𝑛𝑣𝑒𝑛𝑡á𝑟𝑖𝑜𝑠

𝐸𝐵𝐼𝑇 𝑜𝑟 𝐸𝐵𝐼𝑇𝐷𝐴 𝐸𝐵𝐼𝑇 𝑜𝑢 𝐸𝐵𝐼𝑇𝐷𝐴

𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝐶𝑜𝑣𝑒𝑟𝑎𝑔𝑒 𝑅𝑎𝑡𝑖𝑜 = =
𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝐸𝑥𝑝𝑒𝑛𝑠𝑒 𝐸𝑛𝑐𝑎𝑟𝑔𝑜𝑠 𝐹𝑖𝑛𝑎𝑛𝑐𝑒𝑖𝑟𝑜𝑠 𝑐𝑜𝑚 𝑎 𝑑í𝑣𝑖𝑑𝑎
= 𝐶𝑜𝑏𝑒𝑟𝑡𝑢𝑟𝑎𝐸𝑛𝑐𝑎𝑟𝑔𝑜𝑠𝐹𝑖𝑛𝑎𝑛𝑐𝑒𝑖𝑟𝑜𝑠𝐷í𝑣𝑖𝑑𝑎

𝑇𝑜𝑡𝑎𝑙 𝐷𝑒𝑏𝑡 𝐷í𝑣𝑖𝑑𝑎 𝑇𝑜𝑡𝑎𝑙

𝐷𝑒𝑏𝑡/𝐸𝑞𝑢𝑖𝑡𝑦 𝑅𝑎𝑡𝑖𝑜 = = = 𝑅á𝑐𝑖𝑜 𝐷í𝑣𝑖𝑑𝑎/𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑃𝑟ó𝑝𝑟𝑖𝑜
𝑇𝑜𝑡𝑎𝑙 𝐸𝑞𝑢𝑖𝑡𝑦 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑃𝑟ó𝑝𝑟𝑖𝑜

𝑇𝑜𝑡𝑎𝑙 𝐷𝑒𝑏𝑡 𝐷í𝑣𝑖𝑑𝑎 𝑇𝑜𝑡𝑎𝑙

𝐷𝑒𝑏𝑡 − 𝑡𝑜 − 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑅𝑎𝑡𝑖𝑜 = =
𝑇𝑜𝑡𝑎𝑙 𝐸𝑞𝑢𝑖𝑡𝑦 + 𝑇𝑜𝑡𝑎𝑙 𝐷𝑒𝑏𝑡 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑃𝑟ó𝑝𝑟𝑖𝑜 + 𝐷í𝑣𝑖𝑑𝑎 𝑇𝑜𝑡𝑎𝑙
= 𝐺𝑟𝑎𝑢 𝑑𝑒 𝐸𝑛𝑑𝑖𝑣𝑖𝑑𝑎𝑚𝑒𝑛𝑡𝑜 𝑇𝑜𝑡𝑎𝑙

𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡𝑠 𝑇𝑜𝑡𝑎𝑙 𝑑𝑜 𝐴𝑡𝑖𝑣𝑜

𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑒𝑟 (𝑎𝑡 𝑏𝑜𝑜𝑘 𝑣𝑎𝑙𝑢𝑒𝑠) = =
𝐸𝑞𝑢𝑖𝑡𝑦 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑃𝑟ó𝑝𝑟𝑖𝑜
= 𝑀𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑐𝑎𝑑𝑜𝑟 𝑑𝑜 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑃𝑟ó𝑝𝑟𝑖𝑜 (𝑎 𝑣𝑎𝑙𝑜𝑟𝑒𝑠 𝑐𝑜𝑛𝑡𝑎𝑏𝑖𝑙í𝑠𝑡𝑖𝑐𝑜𝑠)

𝑀𝑎𝑟𝑘𝑒𝑡 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑎𝑙𝑜𝑟 𝑑𝑒 𝑀𝑒𝑟𝑐𝑎𝑑𝑜 𝑑𝑜 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑃𝑟ó𝑝𝑟𝑖𝑜

𝑀𝑎𝑟𝑘𝑒𝑡 − 𝑡𝑜 − 𝐵𝑜𝑜𝑘 𝑅𝑎𝑡𝑖𝑜 = =
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑎𝑙𝑜𝑟 𝐶𝑜𝑛𝑡𝑎𝑏𝑖𝑙í𝑠𝑡𝑖𝑐𝑜 𝑑𝑜 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑃𝑟ó𝑝𝑟𝑖𝑜

𝑆ℎ𝑎𝑟𝑒 𝑃𝑟𝑖𝑐𝑒 𝐶𝑜𝑡𝑎çã𝑜 𝑑𝑎 𝐴çã𝑜

𝑃𝑟𝑖𝑐𝑒 − 𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑅𝑎𝑡𝑖𝑜 = = = 𝑃𝐸𝑅
𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑝𝑒𝑟 𝑆ℎ𝑎𝑟𝑒 𝑅𝑒𝑠𝑢𝑙𝑡𝑎𝑑𝑜 𝑝𝑜𝑟 𝐴çã𝑜

𝑆𝑎𝑙𝑒𝑠 𝑉𝑒𝑛𝑑𝑎𝑠
𝐴𝑠𝑠𝑒𝑡 𝑇𝑢𝑟𝑛𝑜𝑣𝑒𝑟 = = = 𝑅𝑜𝑡𝑎çã𝑜 𝑑𝑜 𝐴𝑡𝑖𝑣𝑜
𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡𝑠 𝑇𝑜𝑡𝑎𝑙 𝑑𝑜 𝐴𝑡𝑖𝑣𝑜

𝑁𝑒𝑡 𝐼𝑛𝑐𝑜𝑚𝑒 𝑅𝑒𝑠𝑢𝑙𝑡𝑎𝑑𝑜 𝐿í𝑞𝑢𝑖𝑑𝑜

𝑅𝑂𝐸 = =
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑎𝑙𝑜𝑟 𝐶𝑜𝑛𝑡𝑎𝑏𝑖𝑙í𝑠𝑡𝑖𝑐𝑜 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑃𝑟ó𝑝𝑟𝑖𝑜

𝑁𝑒𝑡 𝐼𝑛𝑐𝑜𝑚𝑒 + 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝐸𝑥𝑝𝑒𝑛𝑠𝑒 𝑅𝑒𝑠𝑢𝑙𝑡𝑎𝑑𝑜 𝐿í𝑞𝑢𝑖𝑑𝑜 + 𝐸𝑛𝑐𝑎𝑟𝑔𝑜𝑠 𝐹𝑖𝑛𝑎𝑛𝑐𝑒𝑖𝑟𝑜𝑠 𝑐𝑜𝑚 𝐷í𝑣𝑖𝑑𝑎
𝑅𝑂𝐴 = =
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐴𝑠𝑠𝑒𝑡𝑠 𝑉𝑎𝑙𝑜𝑟 𝐶𝑜𝑛𝑡𝑎𝑏𝑖𝑙í𝑠𝑡𝑖𝑐𝑜 𝑑𝑜 𝐴𝑡𝑖𝑣𝑜

𝐸𝐵𝐼𝑇(1 − 𝑇𝑎𝑥 𝑅𝑎𝑡𝑒) 𝐸𝐵𝐼𝑇(1 − 𝑇𝑎𝑥𝑎 𝑑𝑒 𝐼𝑚𝑝𝑜𝑠𝑡𝑜)

𝑅𝑂𝐼𝐶 = =
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 + 𝑁𝑒𝑡 𝐷𝑒𝑏𝑡 𝑉𝑎𝑙𝑜𝑟 𝐶𝑜𝑛𝑡𝑎𝑏𝑖𝑙í𝑠𝑡𝑖𝑐𝑜 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑃𝑟ó𝑝𝑟𝑖𝑜 + 𝑁𝑒𝑡 𝐷𝑒𝑏𝑡
 FORMULAE Part II FÓRMULAS Parte II

(following Berk, DeMarzo and Harford’s “Fundamentals of Corporate Finance” sequence)

GESTÃO FINANCEIRA I / CORPORATE FINANCE I / GESTÃO FINANCEIRA / CORPORATE FINANCE

𝐹𝐶𝐹1 𝐹𝐶𝐹𝑁
𝑁𝑃𝑉 = 𝐹𝐶𝐹0 + + ⋯+ = 𝑉𝐴𝐿
1+𝑟 (1 + 𝑟)𝑁

𝐹𝐶𝐹1 𝐹𝐶𝐹𝑁
𝐼𝑅𝑅: 𝐹𝐶𝐹0 + +⋯+ =0
1 + 𝑖𝑟𝑟 (1 + 𝑖𝑟𝑟)𝑁

𝑉𝑎𝑙𝑢𝑒 𝐶𝑟𝑒𝑎𝑡𝑒𝑑 𝑁𝑃𝑉 𝑉𝐴𝐿

𝑃𝑟𝑜𝑓𝑖𝑡𝑎𝑏𝑖𝑙𝑖𝑡𝑦 𝐼𝑛𝑑𝑒𝑥 = = = = Í𝑛𝑑𝑖𝑐𝑒 𝑑𝑒 𝑅𝑒𝑛𝑑𝑖𝑏𝑖𝑙𝑖𝑑𝑎𝑑𝑒
𝑅𝑒𝑠𝑜𝑢𝑟𝑐𝑒 𝐶𝑜𝑛𝑠𝑢𝑚𝑒𝑑 𝑅𝑒𝑠𝑜𝑢𝑟𝑐𝑒 𝐶𝑜𝑛𝑠𝑢𝑚𝑒𝑑 𝑅𝑒𝑐𝑢𝑟𝑠𝑜 𝐶𝑜𝑛𝑠𝑢𝑚𝑖𝑑𝑜

𝑁𝑒𝑡 𝑊𝑜𝑟𝑘𝑖𝑛𝑔 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 = 𝐶𝑎𝑠ℎ + 𝐼𝑛𝑣𝑒𝑛𝑡𝑜𝑟𝑦 + 𝑅𝑒𝑐𝑒𝑖𝑣𝑎𝑏𝑙𝑒𝑠 − 𝑃𝑎𝑦𝑎𝑏𝑙𝑒𝑠 = 𝑁𝑊𝐶

𝐹𝑟𝑒𝑒 𝐶𝑎𝑠ℎ 𝐹𝑙𝑜𝑤 = 𝐸𝐵𝐼𝑇(1 − 𝑇𝑎𝑥 𝑅𝑎𝑡𝑒) + 𝐷𝑒𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛 − 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐸𝑥𝑝𝑒𝑛𝑑𝑖𝑡𝑢𝑟𝑒𝑠 − ∆ 𝑁𝑊𝐶

OR

𝐹𝑟𝑒𝑒 𝐶𝑎𝑠ℎ 𝐹𝑙𝑜𝑤 = 𝑁𝑒𝑡 𝐼𝑛𝑐𝑜𝑚𝑒 + 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡𝐸𝑥𝑝𝑒𝑛𝑠𝑒 × (1 − 𝑇𝑎𝑥 𝑅𝑎𝑡𝑒) + 𝐷𝑒𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛 − 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐸𝑥𝑝𝑒𝑛𝑑𝑖𝑡𝑢𝑟𝑒𝑠 − ∆𝑁𝑊𝐶

𝐹𝐶𝐹𝑡
𝑃𝑉(𝐹𝐶𝐹𝑡 ) = = 𝑉𝑎𝑙𝑜𝑟 𝑎𝑡𝑢𝑎𝑙 𝑑𝑜 𝐹𝐶𝐹𝑡
(1 + 𝑟)𝑡

𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐺𝑎𝑖𝑛 = 𝑆𝑎𝑙𝑒 𝑃𝑟𝑖𝑐𝑒 − 𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 = 𝑉𝑎𝑙𝑜𝑟 𝑑𝑒 𝑉𝑒𝑛𝑑𝑎 − 𝑉𝑎𝑙𝑜𝑟 𝐶𝑜𝑛𝑡𝑎𝑏𝑖𝑙í𝑠𝑡𝑖𝑐𝑜 = 𝑀𝑎𝑖𝑠 𝑉𝑎𝑙𝑖𝑎

𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 = 𝑃𝑢𝑟𝑐ℎ𝑎𝑠𝑒 𝑃𝑟𝑖𝑐𝑒 − 𝐴𝑐𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑒𝑑 𝐷𝑒𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛 = 𝑉𝑎𝑙𝑜𝑟 𝑑𝑒 𝐴𝑞𝑢𝑖𝑠𝑖çã𝑜 − 𝐷𝑒𝑝𝑟𝑒𝑐𝑖𝑎çõ𝑒𝑠 𝐴𝑐𝑢𝑚𝑢𝑙𝑎𝑑𝑎𝑠
= 𝑉𝑎𝑙𝑜𝑟 𝐶𝑜𝑛𝑡𝑎𝑏𝑖𝑙í𝑠𝑡𝑖𝑐𝑜

𝐴𝑓𝑡𝑒𝑟 − 𝑇𝑎𝑥 𝐶𝑎𝑠ℎ 𝐹𝑙𝑜𝑤 𝑓𝑟𝑜𝑚 𝐴𝑠𝑠𝑒𝑡 𝑆𝑎𝑙𝑒 = 𝑆𝑎𝑙𝑒 𝑃𝑟𝑖𝑐𝑒 − 𝑇𝑎𝑥𝑅𝑎𝑡𝑒 × 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝐺𝑎𝑖𝑛
= 𝐶𝑎𝑠ℎ 𝐹𝑙𝑜𝑤 𝑙í𝑞𝑢𝑖𝑑𝑜 𝑑𝑒 𝑖𝑚𝑝𝑜𝑠𝑡𝑜 𝑑𝑒 𝑉𝑒𝑛𝑑𝑎 𝑑𝑒 𝐴𝑡𝑖𝑣𝑜

𝐸𝑛𝑡𝑒𝑟𝑝𝑟𝑖𝑠𝑒 𝑉𝑎𝑙𝑢𝑒 = 𝑀𝑎𝑟𝑘𝑒𝑡 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 + 𝐷𝑒𝑏𝑡 − 𝐶𝑎𝑠ℎ

𝐷𝑖𝑠𝑐𝑜𝑢𝑛𝑡𝑒𝑑 𝐹𝑟𝑒𝑒 𝐶𝑎𝑠ℎ 𝐹𝑙𝑜𝑤 𝑀𝑜𝑑𝑒𝑙: 𝑉0 = 𝑃𝑉(𝐹𝑢𝑡𝑢𝑟𝑒 𝐹𝑟𝑒𝑒 𝐶𝑎𝑠ℎ 𝐹𝑙𝑜𝑤 𝑜𝑓 𝐹𝑖𝑟𝑚)

𝑉0 + 𝐶𝑎𝑠ℎ0 − 𝐷𝑒𝑏𝑡0
𝑃0 =
𝑆ℎ𝑎𝑟𝑒𝑠 𝑂𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔0

𝐹𝐶𝐹1 𝐹𝐶𝐹2 𝐹𝐶𝐹𝑁 𝑉𝑁

𝑉0 = + 2
+ ⋯+ 𝑁
+
1 + 𝑟𝑤𝑎𝑐𝑐 (1 + 𝑟𝑤𝑎𝑐𝑐 ) (1 + 𝑟𝑤𝑎𝑐𝑐 ) (1 + 𝑟𝑤𝑎𝑐𝑐 )𝑁

𝐹𝐶𝐹𝑁+1 𝐹𝐶𝐹𝑁 × (1 + 𝑔𝐹𝐶𝐹 )

𝑉𝑁 = =
𝑟𝑤𝑎𝑐𝑐 − 𝑔𝐹𝐶𝐹 𝑟𝑤𝑎𝑐𝑐 − 𝑔𝐹𝐶𝐹

𝑄(𝑃 − 𝑉)
𝐷𝑒𝑔𝑟𝑒𝑒 𝑜𝑓 𝑂𝑝𝑒𝑟𝑎𝑡𝑖𝑛𝑔 𝐿𝑒𝑣𝑒𝑟𝑎𝑔𝑒 = 𝐷𝑂𝐿 = = 𝐺𝐴𝑂 = 𝐺𝑟𝑎𝑢 𝑑𝑒 𝐴𝑙𝑎𝑣𝑎𝑛𝑐𝑎 𝑂𝑝𝑒𝑟𝑎𝑐𝑖𝑜𝑛𝑎𝑙
𝑄(𝑃 − 𝑉) − 𝐹

𝑄(𝑃 − 𝑉) − 𝐹
𝐷𝑒𝑔𝑟𝑒𝑒 𝑜𝑓 𝐹𝑖𝑛𝑎𝑛𝑐𝑖𝑎𝑙 𝐿𝑒𝑣𝑒𝑟𝑎𝑔𝑒 = 𝐷𝐹𝐿 = = 𝐺𝐴𝐹 = 𝐺𝑟𝑎𝑢 𝑑𝑒 𝐴𝑙𝑎𝑣𝑎𝑛𝑐𝑎 𝐹𝑖𝑛𝑎𝑛𝑐𝑒𝑖𝑟𝑎
𝑄(𝑃 − 𝑉) − 𝐹 − 𝐹𝑖𝑛𝐶𝑜𝑠𝑡

𝑄(𝑃 − 𝑉)
𝐷𝑒𝑔𝑟𝑒𝑒 𝑜𝑓 𝑇𝑜𝑡𝑎𝑙 𝐿𝑒𝑣𝑒𝑟𝑎𝑔𝑒 = 𝐷𝑇𝐿 = = 𝐺𝐴𝑇 = 𝐺𝑟𝑎𝑢 𝑑𝑒 𝐴𝑙𝑎𝑣𝑎𝑛𝑐𝑎 𝑇𝑜𝑡𝑎𝑙
𝑄(𝑃 − 𝑉) − 𝐹 − 𝐹𝑖𝑛𝐶𝑜𝑠𝑡
𝑇
1 1
𝑅̅ = (𝑅 + 𝑅2 + ⋯ + 𝑅𝑇 ) = ∑ 𝑅𝑡
𝑇 1 𝑇
𝑡=1
 𝑇
1
𝑉𝑎𝑟(𝑅) = ∑(𝑅𝑡 − 𝑅̅ )2
𝑇−1
𝑡=1

𝑆𝐷(𝑅) = √𝑉𝑎𝑟(𝑅)

𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡 𝑖
𝑤𝑖 =
𝑡𝑜𝑡𝑎𝑙 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑝𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜

𝑅𝑝 = 𝑤1 𝑅1 + 𝑤2 𝑅2 + ⋯ 𝑤𝑁 𝑅𝑁

𝐸(𝑅𝑝 ) = 𝑤1 𝐸(𝑅1 ) + 𝑤2 𝐸(𝑅2 ) + ⋯ + 𝑤𝑁 𝐸(𝑅𝑁 )

𝑐𝑜𝑣(𝑅𝑖 , 𝑅𝑗 ) = 𝐸 [(𝑅𝑖 − 𝐸(𝑅𝑖 )) (𝑅𝑗 − 𝐸(𝑅𝑗 ))]

1
𝑐𝑜𝑣(𝑅𝑖 , 𝑅𝑗 ) = ∑ (𝑅 − 𝑅̅𝑖 )(𝑅𝑗,𝑡 − 𝑅̅𝑗 )
𝑇 − 1 𝑡 𝑖,𝑡

𝑐𝑜𝑣(𝑅𝑖 , 𝑅𝑗 )
𝑐𝑜𝑟𝑟(𝑅𝑖 , 𝑅𝑗 ) =
𝑆𝐷(𝑅𝑖 )𝑆𝐷(𝑅𝑗 )

𝑉𝑎𝑟(𝑅𝑝 ) = 𝑤12 𝑉𝑎𝑟(𝑅1 ) + 𝑤22 𝑉𝑎𝑟(𝑅2 ) + 2𝑤1 𝑤2 𝑐𝑜𝑣(𝑅1 , 𝑅2 ) =

=𝑤12 𝑉𝑎𝑟(𝑅1 ) + 𝑤22 𝑉𝑎𝑟(𝑅2 ) + 2𝑤1 𝑤2 𝑐𝑜𝑟𝑟(𝑅1 , 𝑅2 )𝑆𝐷(𝑅1 )𝑆𝐷(𝑅2 )

𝑆𝐷(𝑅𝑖 )𝑐𝑜𝑟𝑟(𝑅𝑖 ,𝑅𝑀𝑘𝑡 ) 𝑐𝑜𝑣(𝑅𝑖 ,𝑅𝑀𝑘𝑡 )

𝛽𝑖 = =
𝑆𝐷(𝑅𝑀𝑘𝑡 ) 𝑉𝑎𝑟(𝑅𝑀𝑘𝑡 )

𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡 𝑃𝑟𝑖𝑐𝑖𝑛𝑔 𝑀𝑜𝑑𝑒𝑙: 𝐸(𝑅𝑖 ) = 𝑟𝑓 + 𝛽𝑖 × (𝐸[𝑅𝑀𝑘𝑡 ] − 𝑟𝑓 )

𝑐𝑜𝑣(𝑅𝑝 , 𝑅𝑀𝑘𝑡 )
𝛽𝑝 = = 𝑤1 𝛽1 + 𝑤2 𝛽2 + ⋯ + 𝑤𝑁 𝛽𝑁
𝑉𝑎𝑟(𝑅𝑀𝑘𝑡 )

𝑃𝑟𝑒𝑓𝑒𝑟𝑟𝑒𝑑 𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝐷𝑖𝑣𝑝𝑓𝑑

𝐶𝑜𝑠𝑡 𝑜𝑓 𝑃𝑟𝑒𝑓𝑒𝑟𝑟𝑒𝑑 𝑆𝑡𝑜𝑐𝑘 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 = 𝑟𝑃 = =
𝑃𝑟𝑒𝑓𝑒𝑟𝑟𝑒𝑑 𝑆𝑡𝑜𝑐𝑘 𝑃𝑟𝑖𝑐𝑒 𝑃𝑝𝑓𝑑

𝐶𝐴𝑃𝑀 𝐶𝑜𝑠𝑡 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 = 𝑟𝐸 = 𝑟𝑓 + 𝛽𝐸 × (𝐸[𝑅𝑀𝑘𝑡 ] − 𝑟𝑓 )

𝐷𝑖𝑣1
𝐶𝑜𝑛𝑠𝑡𝑎𝑛𝑡 𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝐺𝑟𝑜𝑤𝑡ℎ 𝑀𝑜𝑑𝑒𝑙 𝐶𝑜𝑠𝑡 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 = 𝑟𝐸 = +𝑔
𝑃𝐸

𝐸 𝑃 𝐷
𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐶𝑜𝑠𝑡 𝑜𝑓 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 = 𝑟𝑊𝐴𝐶𝐶 = 𝑟 + 𝑟 + 𝑟 (1 − 𝑇𝐶 )
𝐸+𝑃+𝐷 𝐸 𝐸+𝑃+𝐷 𝑃 𝐸+𝑃+𝐷 𝐷

𝑁𝑒𝑡 𝑁𝑒𝑤 𝐹𝑖𝑛𝑎𝑛𝑐𝑖𝑛𝑔 = 𝑃𝑟𝑜𝐹𝑜𝑟𝑚𝑎 𝐴𝑠𝑠𝑒𝑡𝑠 − 𝑃𝑟𝑜𝐹𝑜𝑟𝑚𝑎 𝐿𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 𝑎𝑛𝑑 𝐸𝑞𝑢𝑖𝑡𝑦