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01 junho 2015

A falácia do WACC e suas consequencias reais

In this paper, we provide evidence that firms fail to properly adjust for risk in their valuation of investment projects, and that such behavior leads to value-destroying investment decisions. According to the standard textbook formula, the value of an investment project depends on both its expected cash flows and its discount rate, which is a measure of risk. In practice, however, survey evidence shows that most firms use only a single discount rate to value all of their projects (Bierman (1993), Graham and Harvey (2001)), a behavior that we label the “WACC fallacy.” The weighted average cost of capital (WACC) fallacy is a failure to account for project-specific risk, which is particularly damaging when the firm has to decide between heterogeneous projects. The value of riskier projects will be overestimated, while that of safer ones will be underestimated.

We expect the WACC fallacy to have real effects: in relatively complex firms, investment will be biased against safe projects, which should lead to the destruction of value as capital is not optimally used. The economic magnitude of this bias is potentially large. For example, suppose that a firm invests in a project that pays a dollar in perpetuity. If it takes a discount rate of 10%, the present value of the project is $10. By contrast, a rate of 8% would imply a present value of $12.5. Hence, underestimating the discount rate by only two percentage points leads to overestimating the project's present value by 25%. The present paper is a first attempt to document and measure the distortions induced by the WACC fallacy by relying entirely on field data. To implement our empirical tests, we focus on two types of projects: investment within conglomerates, and mergers and acquisitions.

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Fonte: KRÜGER, P., LANDIER, A. and THESMAR, D. (2015), The WACC Fallacy: The Real Effects of Using a Unique Discount Rate. The Journal of Finance, 70: 1253–1285. doi: 10.1111/jofi.12250

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