Riesgo, performance y valoraciónalgunas alternativas
- GOMEZ-BEZARES REVUELTA, FERNANDO
- Fernando Gómez-Bezares Pascual Director
- Juan Manuel Mascareñas Pérez-Iñigo Director
Defence university: Universidad Complutense de Madrid
Fecha de defensa: 14 January 2015
- José Ramón Aragonés González Chair
- Sara González Fernández Secretary
- José Miguel Rodríguez-Pardo del Castillo Committee member
- José Manuel Rodríguez Carrasco Committee member
- Ricardo Javier Palomo Zurdo Committee member
Type: Thesis
Abstract
This thesis grows from my desire of researching on finance, and specifically on what I understand is the core of modern finance: valuation and risk. The financial crisis that emerged in August 2007 and showed all its importance the 15th of September 2008 with Lehman Brothers' collapse only supported the topicality of these subjects, as precisely this crisis had in its genesis some valuation and risk management relevant mistakes. This thesis has a general goal: To go in depth into and beyond some valuation and value creation financial methods, with special reference to risk treatment. This can be detailed in four specific goals: 1. To review some problems of current financial research, paying special attention to research on valuation. 2. To test in different markets the Capital Asset Pricing Model -CAPMand the Efficiency with a robust methodology based on speculation. Page 2of 2 3. To study the possibilities and advantages of linear penalization by risk in assets valuation and in performance measurement, using the total and the systematic risks; analyzing, besides, the graphical and statistical interpretations of classic performance indexes, to which we have added the PIRR (Penalized Internal Rate of Return), and establishing an axiomatic that justifies the use of these indexes. 4. To work in an original way of value creation for companies owned by Private Equity funds, based in the expansion of company's valuation multiple, which can show guidelines for action in other companies. These four goals are faced in six works, five of which have already been published in different journals and books of prestige. These six works can be read independently, but at the same time are closely linked and integrate one single doctoral thesis