O impacto das catástrofes no valor dos ativos

Postado por Pedro Correia

Damodaran escreveu excelente artigo sobre o impacto de catástrofes: na avaliação de ativos, no mercado e a exposição aos riscos. Escolhemos alguns trechos de extrema relevância e que demonstram a visão diferenciada do autor.

Gerenciar a exposição ao risco catastrófico é muito mais difícil do que administrar a exposição ao risco contínuo:

As companies and investors with Japanese risk exposure struggled with the aftermath of the disaster, I was reminded again of how much more difficult it is to manage and deal with discontinuous risk than continuous risk, especially if that risk occurs infrequently and has large economic consequences.In fact, this is the reason that I argued that companies that think that operating in authoritarian, stable regimes is less risky than operating in democratic chaos are mistaken.

Em seguida apresenta argumentos para mostrar que, ao contrário do mercado, a queda da bolsa japonesa não foi desproporcional aos custos do dano:

While much of the commentary has noted that the market value lost (in the Nikkei) has been disproportionally large, relative to the cost of of the damage, the definition of cost (as damage to existing assets) seems crimped.

Segundo ele existe 3 níveis de custo (como dano aos ativos existentes) em qualquer catástrofe:

a. Damage to existing assets: This is measured, either in terms of book value (or what was originally spent to build or acquire these assets) or replacement cost (to replace the damaged assets).

b. Loss of earnings power: The true value lost in a catastrophe is not the original cost, replacement cost or book value of the assets destroyed but the present value of cash flows lost in future periods as a result of the loss. Thus, when a factory with a book value or replacement cost of $50 million collapses, the value lost is the present value of the expected cash flows that would have been generated by the factory. If the firm was generating returns that exceeded its cost of capital, the value from the foregone cash flows will exceed $ 50 million.

c. Psychic damage: Catastrophes create psychic damage by reminding investors not only of their own mortality but of the fragility of the assumptions that they make to justify value. After all, in discounted cash flow valuations, we assume that cash flows continue in perpetuity for most companies and that big chunks of value (especially for growth companies) come from expectations of excess returns from investments that firms will make in the future. To the extent that catastrophes shake this faith that investors have in the future, they can create significant damage to the value of growth assets.

Leia o artigo na íntegra.