TY - GEN
N1 - Financial Sciences. Nauki o Finansach, 2023, vol. 28, no. 2, s. 1-10
N2 - The Monte Carlo simulation is the ultimate solution for considering nearly all possible scenarios in presumably any discounted cash flow valuation. This paper argues that a discount rate expresses an investor’s current requirement and should be respectively perceived as a parameter only. The consequences of qualifying a required rate of return (a discount rate) as a risk factor in a discounted cash flow valuation are described in the paper using a free cash flow financial model of an asset being a hypothetical publicly traded enterprise. The case study is a discounted cash flow valuation using the Monte Carlo simulation for risk analysis. The various sets of assumptions are considered to explain the consequences of qualifying a required rate of return in a discounted cash flow model as a risk factor. As indicated in the paper, the discount rate as an additional risk factor with an attributed probability distribution increases the volatility of a risk variable, then the distribution of a risk variable becomes more flattened. In previous studies, some authors indicated that a discount rate could be considered a risk factor in the Monte Carlo simulation (Krysiak 2000; Damodaran 2018).
L1 - http://dbc.wroc.pl/Content/125788/Kaczmarzyk_Should_One_Assume_the_Discount.pdf
M3 - artykuł
L2 - http://dbc.wroc.pl/Content/125788
PY - 2023
KW - corporate finance
KW - valuation
KW - DCF
KW - risk analysis
KW - Monte Carlo simulation
KW - finanse przedsiębiorstwa
KW - analiza ryzyka
KW - wycena
KW - Monte Carlo
C1 - Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy
A1 - Kaczmarzyk, Jan
PB - Publishing House of Wroclaw University of Economics and Business
C6 - Dla wszystkich zgodnie z licencją
LA - eng
CY - Wroclaw
ID - DOI: 10.15611/fins.2023.2.01
T1 - Should One Assume the Discount Rate to Be One of the Risk Factors?
UR - http://dbc.wroc.pl/dlibra/publication/edition/125788
T2 - Czy powinniśmy zakładać, że stopa dyskontowa jest jednym z czynników ryzyka?
ER -