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Valor de una empresa en riesgo de expropiación en un entorno de crisis financiera. Caso Banamex

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  • Cruz Aké, Salvador

    (Instituto Politécnico Nacional, Escuela Superior de Economía)

  • Venegas-Martínez, Francisco

    (Instituto Politécnico Nacional, Escuela Superior de Economía)

Abstract

This paper applies the methodology of real options for valuing firms that for any reason are subject to a possible expropriation. In the development of this research is added to the valuation by discounted cash flows the value of the premium which shareholders would receive as compensation for the risk of expropriation. This assumes that the returns of companies with a potential threat of expropriation are conducted by a diffusion process mixed with jumps in the event of financial crisis. This research values the real option of expropriation (call option) in which, at the request of the government, the investor must sell the company (the underlying asset) to the government in exchange for compensation (the strike price). Finally, the developed methodology is applied to the case of Banamex.// Este artículo aplica la metodología de opciones reales en la valoración de empresas que por alguna circunstancia están sujetas a una posible expropiación. El trabajo añade, a la valoración por flujos de efectivo descontados, el valor de la prima que deberían recibir los accionistas como compensación por el riesgo de expropiación. Para ello se supone que los rendimientos de las empresas con amenaza de una posible expropiación son conducidos por un proceso de difusión con saltos en caso de crisis financiera. En esta investigación se valora la opción real de expropiación (opción de compra), en la que, a petición del gobierno, el inversionista deberá entregarle la empresa (el activo subyacente) al gobierno a cambio de una indemnización (precio de ejercicio). Por último, la metodología desarrollada es aplicada al caso de Banamex.

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Bibliographic Info

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXVII (2) (2010)
Issue (Month): 306 (abril-junio)
Pages: 473-503

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Handle: RePEc:elt:journl:v:77:y:2010:i:306:p:473-503

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Related research

Keywords: expropriation risk; risk management; mathematical and simulation methods; dynamic programming; riesgo de expropiación; administración de riesgos; métodos de simulación; programación dinámica;

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