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E-BookPDF1 - PDF WatermarkE-Book
242 Seiten
Englisch
Palgrave Macmillan UKerschienen am27.06.20161st ed. 2016
This book aims to overcome the limitations the variations in bank-specifics impose by providing a bank-specific valuation theoretical framework and a new asset-side model. The book includes also a constructive comparison of equity and asset side methods. The authors present a novel framework entitled, the 'Asset Mark-down Model'. This method incorporates an Adjusted Present Value model, which allows practitioners to identify the main value creation sources of a particular bank: from asset-based cash flow and the mark-down on deposits, to tax benefits on bearing liabilities. Through the implementation of this framework, the authors offer a more accurate and more specific approach to valuing banks.




Federico Beltrame is Lecturer in Banking and Finance in the Department of Economics and Statistics, University of Udine, Italy. He holds a PhD in Business Science from the same University. His main research interests are related to SMEs' cost of capital, banks' capital structure and Mutual Guarantee Credit Institutions. 

Daniele Previtali is post-doc fellow and lecturer at Luiss Guido Carli University, Rome, Italy. He holds a Ph.D. in Banking and Finance from University of Rome, Tor Vergata, Italy. In 2012, he was a visiting PhD candidate at Stern School of Business, New York, USA. His main research interests concern banks valuation, banks' capital structure and innovation.mehr
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Produkt

KlappentextThis book aims to overcome the limitations the variations in bank-specifics impose by providing a bank-specific valuation theoretical framework and a new asset-side model. The book includes also a constructive comparison of equity and asset side methods. The authors present a novel framework entitled, the 'Asset Mark-down Model'. This method incorporates an Adjusted Present Value model, which allows practitioners to identify the main value creation sources of a particular bank: from asset-based cash flow and the mark-down on deposits, to tax benefits on bearing liabilities. Through the implementation of this framework, the authors offer a more accurate and more specific approach to valuing banks.




Federico Beltrame is Lecturer in Banking and Finance in the Department of Economics and Statistics, University of Udine, Italy. He holds a PhD in Business Science from the same University. His main research interests are related to SMEs' cost of capital, banks' capital structure and Mutual Guarantee Credit Institutions. 

Daniele Previtali is post-doc fellow and lecturer at Luiss Guido Carli University, Rome, Italy. He holds a Ph.D. in Banking and Finance from University of Rome, Tor Vergata, Italy. In 2012, he was a visiting PhD candidate at Stern School of Business, New York, USA. His main research interests concern banks valuation, banks' capital structure and innovation.
Details
Weitere ISBN/GTIN9781137561428
ProduktartE-Book
EinbandartE-Book
FormatPDF
Format Hinweis1 - PDF Watermark
FormatE107
Erscheinungsjahr2016
Erscheinungsdatum27.06.2016
Auflage1st ed. 2016
ReihePalgrave Macmillan Studies in Banking and Financial Institutions
Seiten242 Seiten
SpracheEnglisch
IllustrationenXXIV, 242 p. 19 illus.
Artikel-Nr.1974176
Rubriken
Genre9200

Inhalt/Kritik

Inhaltsverzeichnis
1;Dedication;6
2;Foreword;8
3;Acknowledgements;12
4;Contents;14
5;About the Authors;18
6;List of Figures;20
7;List of Tables;22
8;1: Introduction;26
8.1;References;30
9;2: Valuation in Banking: Issues and Models;31
9.1;2.1 Introduction;31
9.1.1;2.1.1 A Different Role for Equity: The Regulatory Constraints;32
9.1.2;2.1.2 The Role of Debt;36
9.1.3;2.1.3 Loan Loss Provisioning and Charge-Offs;38
9.1.4;2.1.4 Cash Flow Estimation;40
9.2;2.2 Valuation Methods of Banks: A Critical Review;43
9.2.1;2.2.1 Discounted Cash Flow Models;43
9.2.2;2.2.2 Excess Returns Valuation;47
9.2.3;2.2.3 Asset and Mixed-Based Valuation;51
9.2.4;2.2.4 Relative Market Valuation;55
9.2.5;2.2.5 Contingent Claim Valuation;61
9.3;2.3 Conclusion;61
9.4;References;62
10;3: Value, Capital Structure and Cost of Capital: A Theoretical Framework;65
10.1;3.1 Introduction;65
10.2;3.2 Limitations of the Equity-Side Approach;66
10.3;3.3 An Asset-Side Approach to Bank Valuation: An Introduction;68
10.4;3.4 Bank Cost of Capital and the Modigliani-­Miller Propositions: A Review;70
10.5;3.5 Bank Valuation: A Scheme with Separate Quantification of Mark-Down;79
10.5.1;3.5.1 Valuation Scheme without Taxation and Growth;79
10.5.2;3.5.2 Valuation Scheme with Tax Benefits;85
10.5.3;3.5.3 Valuation Scheme with Taxation and Growth;87
10.5.4;3.5.4 The AMM: An Overview;91
10.6;3.6 The Restatement of Modigliani and Miller´s Theories for the Banking Industry;94
10.6.1;3.6.1 Absence of Taxes;94
10.6.2;3.6.2 Presence of Taxes;96
10.7;3.7 Consistency of the AMM with Excess Returns Models;97
10.8;3.8 Conclusion;102
10.9;References;103
11;4: Measuring the Cash Flows of Banks: The FCFA Asset-Side Approach;106
11.1;4.1 Introduction;106
11.2;4.2 The Balance Sheet Reclassification;107
11.3;4.3 The Income Statement Reclassification;114
11.4;4.4 From Incomes to Cash Flows;118
11.5;4.5 FCFA and FCFE: The Case of Intesa San Paolo Bank;122
11.6;4.6 Conclusion;130
11.7;References;132
12;5: The Banks Cost of Capital: Theories and Empirical Evidence;133
12.1;5.1 Introduction;133
12.2;5.2 Pricing Systematic Risk;135
12.2.1;5.2.1 Pricing Systematic Risk in the Banking Industry;136
12.2.2;5.2.2 Determinants of Banks´ Equity Beta;137
12.2.3;5.2.3 Separating Business Risk from Financial Risk: The Effect of Bank Leverage;139
12.3;5.3 Pricing Total Risk;144
12.3.1;5.3.1 Pricing Total Risk through Implied Cost of Capital Metrics;146
12.3.2;5.3.2 Pricing Total Risk through Standard Deviation;150
12.3.2.1; The Assets Value Splits into Certain Value of Assets and Uncertain Value (CaR);152
12.3.2.2; The Totally Levered Approach;153
12.3.2.3; The Unlevered Approach;158
12.4;5.4 Valuing Unlisted Banks through a Cost of Capital Comparable Approach: A Practical Example;163
12.4.1;5.4.1 The Financial Data of the  Small Bank ;164
12.4.2;5.4.2 Cost of Asset Estimation through the Beta of Comparable Banks;164
12.4.3;5.4.3 Cost of Asset Estimation through Total Beta Bank Comparable;165
12.4.4;5.4.4 Cost of Asset Estimation through CaRM: An Account Approach;167
12.5;5.5 Conclusion;171
12.6;References;172
13;6: Banks´ Asset-Side Multiples: Profitability, Growth, Leverage and Deposits Effect;176
13.1;6.1 Introduction;176
13.2;6.2 Literature Review: The Similarities Between the Target Firm and Its Comparables;179
13.3;6.3 Banks´ Market Multiples: Feasible Adjustments;181
13.3.1;6.3.1 Profitability and Growth Adjustments on Equity-Side Multiples;181
13.3.2;6.3.2 Asset-Side Adjustments: Additional Bank Market Multiples;184
13.4;6.4 Leverage and Deposits Effect on Bank Multiples;188
13.4.1;6.4.1 Unlevered Multiple in the Absence of Growth;188
13.4.2;6.4.2 Unlevered Multiples in the Presence of Growth;190
13.4.3;6.4.3 Calculating the Unlevered Multiple: A Practical Example;190
13.5;6.5 Conclusion;193
13.6;References;194
14;7: A Comparison between Valuation Metrics in a Real Case;196
14.1;7.1 Introduction;196
14.2;7.2 ABC Bank: Financial Statements and Business Plan;197
14.3;7.3 Measuring the Cost of Capital of ABC Bank;206
14.3.1;7.3.1 The CaRM;206
14.3.2;7.3.2 The CAPM;210
14.3.3;7.3.3 The CAPM with Total Beta;211
14.4;7.4 Valuing ABC Bank: The Application of the AMM;211
14.4.1;7.4.1 Balance Sheet Reclassification and Income Statement Adjustments;212
14.4.2;7.4.2 FCFA, Mark-Down and Tax Benefits;212
14.4.3;7.4.3 The ABC Bank Value using the AMM;219
14.5;7.5 Valuing ABC Bank: The Application of the DDM;224
14.6;7.6 Valuing ABC Bank: The Application of the FCFE Model;229
14.7;7.7 Valuing ABC Bank: The Application of Market Multiples;232
14.7.1;7.7.1 Equity-Side Approach: PBV, PTBV, PE;233
14.7.2;7.7.2 Asset-Side Approach: EV/OP and P/BVun (EV/A);235
14.8;7.8 Conclusion: Comparing Valuation Methods;241
14.9;Reference;246
15;References;247
16;Index;256mehr

Autor

Federico Beltrame is Lecturer in Banking and Financein the Department of Economics and Statistics, University of Udine, Italy. Heholds a PhD in Business Science from the same University. His main researchinterests are related to SMEs' cost of capital, banks' capital structure andMutual Guarantee Credit Institutions.

Daniele Previtali is post-doc fellow and lecturer atLuiss Guido Carli University, Rome, Italy. He holds a Ph.D. in Banking and Financefrom University of Rome, Tor Vergata, Italy. In 2012, he was a visiting PhDcandidate at Stern School of Business, New York, USA. His main researchinterests concern banks valuation, banks' capital structure and innovation.