Unconventional Wisdom on PSI, the Appropriate Discount Rate for the Tax Shield

Tham, Joseph; Wonder, Nicholas X.

doi:10.2139/ssrn.282149

Cited by 12 publications

(3 citation statements)

References 2 publications

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“…Existen dos posiciones extremas: a) Modigliani y Miller (1963) proponen actualizar los ahorros fiscales a la tasa libre de riesgo, b) Miles y Ezzell (1980, 1985 proponen actualizar los ahorros en el primer año al costo de la deuda y los años subsiguientes a las tasa del costo del capital para una firma desapalancada k u . También hay autores con posturas ecléticas entre las posiciones extremas indicadas, entre ellos Taggart (1991), Inselbag y Kaufold (1997), Tham y Wonder (2001), Tham y Velez Pareja (2001), Tham y Wonder (2002), Booth (2002), Farber, Gillet y Szafarz (2006), Cooper y Nyborg (2006), Oded y Michel (2007), Velez Pareja (2016). Los anteriores consideran que el valor de los aho-a una opción de compra americana, conocida como estrategia de caps (techos).…”

Section: El Valor Actual Del Ahorro Fiscal Como Una Cartera De Opcionesunclassified

El modelo binomial, ahorros fiscales y valor ajustado de la firma por escenarios de continuidad o disolución

Milanesi

2019

estud.gerenc.

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El descuento de flujos de fondo, en su versión tradicional, no incorpora valores contingentes de ahorros fiscales y los escenarios de continuidad o liquidación a los que se enfrenta la firma. El presente trabajo desarrolla, desde la teoría de opciones reales, un modelo binomial de valoración que incorpora el tratamiento contingente de los ahorros fiscales y los escenarios de disolución o continuidad, condicionados por el grado de endeudamiento. Para esto, se utilizó el enfoque metodológico del estudio de casos, exponiendo relaciones funcionales y ventajas respecto del descuento de flujos de fondos. Los resultados indican que el valor de la firma se ajusta a una función del tipo exponencial. El valor actual obtenido resume ahorros fiscales contingentes y escenarios de liquidación o continuidad.

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Section: El Valor Actual Del Ahorro Fiscal Como Una Cartera De Opcionesunclassified

El modelo binomial, ahorros fiscales y valor ajustado de la firma por escenarios de continuidad o disolución

Milanesi

2019

estud.gerenc.

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“…There are two extreme positions: a) Modigliani and Miller (1963) propose discounting tax savings at the risk free rate; b) Ezzell (1980, 1985) propose discounting tax savings at the debt yield during the first year, and discounting at the cost of capital of an unleveraged firm " for the following years. There are also some middle ground positions (Taggart, 1991;Inselbag & Kaufold, 1997;Tham & Wonder, 2001;Tham & Velez Pareja, 2001;Tham & Wonder, 2002;Booth, 2002;Farber, Gillet & Szafarz, 2006;Cooper & Nyborg, 2006;Oded & Michel, 2007;Velez Pareja, 2016). It is held that tax savings are conditioned by the capital structure objective whether by maintaining a fixed debt present value (Modigliani & Miller, 1963) or by keeping a fixed debt/equity market ratio (Miles & Ezzell, 1980, 1985.…”

Section: Tax Savings Present Value As An Option Portfolio and The Edgmentioning

confidence: 99%

Untitled

2019

Eur. Account. Manag. Rev.

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The European Accounting and Management Review (EAMR) is a peer-reviewed journal that aims to contribute to the advancement of scientific and technical knowledge in the fields of accounting and management, through publishing of research papers, including those which analyze problems of the research activities in these disciplines. EAMR articles are built in a framework of a theory and contribute to management practice using a variety of empirical methods (quantitative, qualitative, field, laboratory, meta-analytic, and combination). Research papers written from the theoretical and methodological perspective of other disciplines-such as economics, industrial engineering, law, management science, operations and other social sciences-are accepted as long as they include an interface with accounting and management and contribute to the study and understanding of organizations. Work published should be of interest of accountants and organizational experts, whether they work in industry, the public sector, in consulting, or in academic institutions. EAMR is published by the Catalan Association of Accounting and Management (Associació Catalana de Comptabilitat i Direcció, ACCID), an association founded in 2002 with the intention of becoming a nexus for professionals and academics working in the field of accounting and management. Currently, ACCID has more than 10.000 associate members and is oriented towards the following objectives: Improving the transparency of financial information, the promotion of best practices in the disclosure of financial information. The existence of a platform for debate and opinion about accounting issues, the promotion of research and the dissemination of new developments regarding accounting and management and, finally, the organization of conferences, seminars and conferences. EAMR provides authors and academics many benefits, such as free PDFs of the articles published, special discounts for ACCID publications and much more.

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Section: Tax Savings Present Value As An Option Portfolio and The Edgmentioning

confidence: 99%

A Binomial Model with Edgeworth Expansion on Particular Circumstances

Milanesi¹,

Alabi²

2018

Eur. Account. Manag. Rev.

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Contexts with high volatility and extreme events condition the value of the firm, its tax savings and continuity. These conditions must be contemplated for the employed valuation model. In that sense, the present paper' basis is the classic binomial model incorporating: a) firm contingent states of continuity or dissolution; b) tax saving valuation like a basket of real options, and c) extreme events by Edgeworth transformation. The paper structures in the following manner: first it develops the binomial function changed with the Edgeworth extension and the construction of implicit binomial lattice. Then it develops a valuation adapted to the binomial model with Edgeworth expansion that incorporates contingent tax savings, continuity or liquidation scenarios and cost of bankruptcy. With a hypothetical case it is illustrated its functioning, and comparing the results obtained between situations with kurtosis and skewness or normally. Finally the main conclusions are exposed.

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Unconventional Wisdom on PSI, the Appropriate Discount Rate for the Tax Shield

Cited by 12 publications

References 2 publications

El modelo binomial, ahorros fiscales y valor ajustado de la firma por escenarios de continuidad o disolución

El modelo binomial, ahorros fiscales y valor ajustado de la firma por escenarios de continuidad o disolución

Untitled

A Binomial Model with Edgeworth Expansion on Particular Circumstances

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