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Un modelo para evaluar el VPN mediante modelos autoregresivos

Author

Listed:
  • M. Beatriz Mota Aragón

    (Universidad Autónoma Metropolitana)

  • Faviola Hernández Jiménez

    (C De Vino S.A. de C.V)

Abstract

In previous investigations, it was said that Net Cash Flows (NCF) and the Interest Rate(rt) of the investment project are stochastic processes. There was even a suggestion for a new stochastic continuous model which would explain this random evolution. This investigation began from there, and agrees that the stochastic Net Present Value (NPV) is more accurate to evaluate an investment project. The forecasts Net Cash Flows (NCF) can be estimated with econometric models, specifically with ARIMA models,(Box -Jenkings,1976)and smoothing exponential models,(Hot -Winters,1960)

Suggested Citation

  • M. Beatriz Mota Aragón & Faviola Hernández Jiménez, 2011. "Un modelo para evaluar el VPN mediante modelos autoregresivos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 66-87.
    • Handle: RePEc:ega:rafega:201110
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2011V5A10Mota-Hernandez.pdf
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    References listed on IDEAS

    as
    1. Aigner, Dennis J, 1971. "A Compendium on Estimation of the Autoregressive-Moving Average Model from Time Series Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(3), pages 348-371, October.
    2. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    3. Ali, A, 1994. "The Incremental Information-Content Of Earnings, Working Capital From Operations, And Cash Flows," Journal of Accounting Research, Wiley Blackwell, vol. 32(1), pages 61-74.
    4. Bera, Anil K. & Jarque, Carlos M., 1981. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals : Monte Carlo Evidence," Economics Letters, Elsevier, vol. 7(4), pages 313-318.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Modelos ARIMA; Suavizamiento Exponencial; Procesos estocásticos; Proyectos de inversión; Pronósticos; Flujos de Efectivo; Tasa de Rendimiento;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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