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Las Opciones Reales y su influencia en la valoraci�n de empresas

Author

Listed:
  • Manuel Espitia Escuer

    (Departamento de Econom�a y Direcci�n de Empresas, Universidad de Zaragoza.)

  • Gema Pastor Agust�n

    (Departamento de Econom�a y Direcci�n de Empresas, Universidad de Zaragoza.)

Abstract

Las opciones reales son derechos que las empresas poseen sobre determinados activos y que les permiten adaptarse al entorno con mayor flexibilidad y soportando menores riesgos. Desde la perspectiva de las opciones reales, el activo total de la empresa se compone de las inversiones ejecutadas y en funcionamiento y de sus oportunidades futuras de inversi�n. Por tanto, se considera que el valor de mercado que no queda explicado por el valor de los activos tangibles e intangibles actuales de la empresa, se debe al valor de sus opciones reales. En este trabajo se analiza dicha propuesta y se plantea un modelo en el que la existencia de opciones reales en una empresa afecta al valor de mercado de la empresa y al riesgo premiado por los agentes. Para contrastarlo se realiza un an�lisis emp�rico sobre una muestra de empresas espa�olas que cotizan en el mercado continuo entre los a�os 1993-1999 y para las que existen opciones call sobre sus acciones.

Suggested Citation

  • Manuel Espitia Escuer & Gema Pastor Agust�n, 2003. "Las Opciones Reales y su influencia en la valoraci�n de empresas," Documentos de Trabajo dt2003-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2003-01
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    More about this item

    Keywords

    Valoraci�n de empresas; opciones reales; riesgo;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

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