Macrodur - Questiion Answer What is this model trying to do We are trying to estimate how the cash flows of a firm and its value change as a

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Unformatted text preview: Questiion Answer What is this model trying to do? We are trying to estimate how the cash flows of a firm, and its value change as a function of the changes in macroeconomic variables. This will help us in the design of debt/ Inputs needed You will need to input operating income, market value of equity and total debt outstanding each year for the last 10 years. If your firm has been listed only for 3 or 4 yeare or less, switch to quarterly data. Data on Macroeconomic variab The updated macroeconomic data is available in a dataset called macro.xls which is available under updated on my web site. You can get the data for yourself by visiting the St.Louis Fed Reserve site. I have included the same data in the worksheets that are attached to this spreadsheet. Please make sure that you match up the data for your company with the right year. How do I read the outpout? With a grain of salt. These are regressions with relatively few observations and one outlier can cause strange results. If the numbers from the regressiion do not make intuitive sense, use the sector averages worksheet that is in this spreadsheet to estimate bottom up estimates. You will need to know the SIC code for your company but you can look that up by downloading the entire company excel spreadsheet under updated data on my website (it should be towards the top of the page), looking for your company and checking for the SIC code. Inputs Enter the number of periods for which you have data = 10 ! You can use annual data or you can use quarterly data You can enter up to 48 periods of data. Input the data below, starting with the most recent year Period Operating IncomeMarket Cap Total Debt 1 $1,720.00 $31,842.00 $6,972.00 2 $1,045.00 $48,930.00 $6,854.00 3 $2,618.00 $52,894.00 $7,489.00 4 $902.00 $26,957.00 $2,615.00 5 $1,151.00 $16,021.00 $2,609.00 6 $1,691.00 $14,711.00 $2,630.00 7 $2,040.00 $13,619.00 $1,793.00 8 $1,954.00 $16,296.00 $1,317.00 9 $1,530.00 $15,589.00 $315.00 10 $581.00 $13,689.00 $280.00 Important: I have assumed that your most recent year (2010) is the last year for which I have data. If your annual report is older, check the annual and quarterly worksheets to modify the macroeconomic variables. Output Based on Firm Value Based on Operating Income Slope of regression vs Interest -13.03 4.48 Duration of the firm's assets = 13.03 0.00 ! To get more detailed regression results, open data analysis Cyclicality of firm's assets = 0.38 8.06 and run a regression of change in OI (firm value) against changes Sensitivity to Inflation = 2.46 11.59 in macro economic variables....
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This note was uploaded on 01/29/2012 for the course FIN 6000 taught by Professor Banko during the Fall '11 term at University of Florida.

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Macrodur - Questiion Answer What is this model trying to do We are trying to estimate how the cash flows of a firm and its value change as a

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