Company Valuation Under IFRS : Interpreting and Forecasting ...

Company valuation under IFRS
2. Estimated fair value and cash flow of enterprise (€ million)
Group interest:
Media (consolidated) 22,716
Media (associates) 1,836
Telecoms 13,051
Environment 1,886
Other 630
Overhead adjustment (1,138)
Group asset value 38,981
Cash flow to investors:
Interest 635
Dividend 0
Cash flow to investors 635
Source: Deutsche Bank
3. Volatility calculations
Share price volatility:
Period of measurement (days) 30
Measured S.D. over period 46.6%
Annual S.D. 162.5%
LN annual S.D. of share price 96.5%
Debt price volatility:
Period of measurement (days) 30
Measured S.D. over period 46.7%
Annual S.D. 162.9%
LN annual S.D. of debt price 96.6%
Inputs for volatility calculation:
Debt to capital ratio 70.0%
LN annual S.D. of stock price 96.5%
LN annual S.D. of debt value 96.6%
Correlation between values of debt and equity -0.559
Volatility calculation:
Weight of equity (We) 30.0%
Weight of debt (Wd) 70.0%
Variance of equity value (Ve) 93.1%
Variance of debt value (Vd) 93.4%
Correlation between values of debt and equity (CORRed) -0.559
Annual variance of firm value (S.D.^2) 32.3%
LN annual S.D. of firm value 56.8%
[Var firm = We^2*Ve+Wd^2*Vd+2*We*Wd*S.D.e*S.D.d*CORRed]
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