Estimation of the cost of equity for a food company: A view from portfolio valuation [Estimación del costo del equity para una empresa de alimentos: Una visión desde la valoración de portafolios]
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Associacao Iberica de Sistemas e Tecnologias de Informacao
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Estimating the cost of equity has become a necessity for the investor when providing funds to a company, for the valuation of projects and making business decisions. The importance of this indicator drives the carrying out of research that provides results adjusted to reality. In this context, the objective of this work seeks to innovate, applying portfolio management tools to determine the cost of own resources (Ke). To do this, a contrast is proposed between the International Capital Asset Pricing Model ICAPM model and the implementation of the Black-Litterman model. For the latter, the investor’s expectations are incorporated considering three scenarios (optimistic, moderate, and pessimistic). Empirical evidence and the application of the Treynor index suggest that the rates estimated using Black-Litterman are close to market results, where the investor looks for the combination that maximizes profitability and minimizes risk. © 2024, Associacao Iberica de Sistemas e Tecnologias de Informacao. All rights reserved.
Palabras clave
Black-Litterman, Cost of Capital, International Capital Asset Valuation Model (ICAPM), return, risk