analyze_two_stage_growth_firm: Get the posterior distribution of value-per-share parameter...

In TracyRage/fun_valuation: Personal fundamental analysis tool

Get the posterior distribution of value-per-share parameter (2-stage firm)

Description

This function calculates all the relevant parameters and their posteriors for the analysis of 2-stage growth firms. Specifically, this function calculates value-per-share parameter posterior.

Usage

analyze_two_stage_growth_firm(
  average_beta,
  industry_effective_tax,
  average_de,
  firm_tax,
  firm_debt,
  firm_equity,
  risk_free,
  risk_premium,
  company_spread,
  marginal_tax,
  after_tax_ebit,
  working_capital,
  net_capex,
  roic_target,
  roic_initial,
  shares_out,
  firm_cash,
  lower_unbeta = 0,
  upper_unbeta = 2,
  lower_unlevered_beta_sigma = 0,
  upper_unlevered_beta_sigma = 0.5,
  lower_levbeta = 0,
  upper_levbeta = 2,
  lower_levered_beta_sigma = 0,
  upper_levered_beta_sigma = 0.5,
  lower_cost_debt = 0,
  upper_cost_debt = 0.2,
  lower_cost_debt_sigma = 0,
  upper_cost_debt_sigma = 0.05,
  lower_cost_capital = 0,
  upper_cost_capital = 0.2,
  lower_cost_capital_sigma = 0,
  upper_cost_capital_sigma = 0.05,
  lower_cost_equity = 0,
  upper_cost_equity = 0.25,
  lower_cost_equity_sigma = 0,
  upper_cost_equity_sigma = 0.05,
  lower_growth = 0,
  upper_growth = 2,
  lower_growth_sigma = 0,
  upper_growth_sigma = 0.5,
  lower_reinvestment_rate = 0,
  upper_reinvestment_rate = 2,
  lower_reinvestment_sigma = 0,
  upper_reinvestment_sigma = 0.5,
  lower_terminal_reinvestment_rate = 0,
  upper_terminal_reinvestment_rate = 0.05,
  lower_terminal_reinvestment_sigma = 0,
  upper_terminal_reinvestment_sigma = 0.01
)

Arguments

average_beta	Number Industry average industry beta
industry_effective_tax	Number Industry average effective tax
average_de	Number Industry average Debt-to-Equity ratio
firm_tax	Number Firm current effective tax
firm_debt	Number Firm current debt
firm_equity	Number Firm current equity
risk_free	Number Current risk-free rate
risk_premium	Number Current risk premium rate
company_spread	Number Firm current debt spread, based on synthetic score
marginal_tax	Number Current country tax rate
after_tax_ebit	Number Firm current after tax EBIT
working_capital	Number Firm current working capital
net_capex	Number Firm current net capital investments
roic_target	Number Firm ROIC in 5Y
roic_initial	Number Firm current ROIC
firm_cash	Number Firm current cash
lower_unbeta	Number Lower margin unlevered beta
upper_unbeta	Number Upper margin unlevered beta
lower_unlevered_beta_sigma	Number Lower margin unlevered beta sigma
upper_unlevered_beta_sigma	Number Upper margin unlevered beta sigma
lower_levbeta	Number Lower margin levered beta
upper_levbeta	Number Upper margin levered beta
lower_levered_beta_sigma	NUmber Lower margin levered beta sigma
upper_levered_beta_sigma	NUmber Upper margin levered beta sigma
lower_cost_debt	Number Lower margin cost debt
upper_cost_debt	Number Upper margin cost debt
lower_cost_debt_sigma	Number Lower margin cost debt sigma
upper_cost_debt_sigma	Number Upper margin cost debt sigma
lower_cost_capital	Number Lower margin cost capital
upper_cost_capital	Number Upper margin cost capital
lower_cost_capital_sigma	Number Lower margin cost capital sigma
upper_cost_capital_sigma	Number Upper margin cost capital sigma
lower_cost_equity	Number Lower margin cost equity
upper_cost_equity	Number Upper margin cost equity
lower_cost_equity_sigma	Number Lower margin cost equity sigma
upper_cost_equity_sigma	Number Upper margin cost equity sigma
lower_growth	Number Lower margin growth
upper_growth	Number Upper margin growth
lower_growth_sigma	Number Lower margin growth sigma
upper_growth_sigma	Number Upper margin growth sigma
lower_reinvestment_rate	Number Lower margin reinvestment
upper_reinvestment_rate	Number Upper margin reinvestment
lower_reinvestment_sigma	Number Lower margin reinvestment sigma
upper_reinvestment_sigma	Number Upper margin reinvestment sigma
lower_terminal_reinvestment_rate	Number Lower margin terminal reinvestment rate
upper_terminal_reinvestment_rate	Number Upper margin terminal reinvestment rate
lower_terminal_reinvestment_sigma	Number Lower margin terminal reinvestment sigma
upper_terminal_reinvestment_sigma	Number Upper margin terminal reinvestment sigma
share_out	Number Firm current shares outstanding

Value

List Fitted STAN model and the medians of relevant parameters

Examples

analyze_two_stage_growth_firm(
average_beta = 1,
industry_effective_tax = 0.22,
average_de = 0.5,
firm_tax = 0.15,
firm_debt = 4444,
firm_equity = 950,
risk_free = 0.035,
risk_premium = 0.055,
company_spread = 0.05,
marginal_tax=0.3,
after_tax_ebit = 600,
working_capital = 100,
net_capex = 50,
roic_target = 0.35,
roic_initial = 0.2,
shares_out = 111,
firm_cash = 150,
lower_unbeta = 0,
upper_unbeta = 2,
lower_unlevered_beta_sigma = 0,
upper_unlevered_beta_sigma = 0.5,
lower_levbeta = 0,
upper_levbeta = 2,
lower_levered_beta_sigma = 0,
upper_levered_beta_sigma = 0.5,
lower_cost_debt = 0,
upper_cost_debt = 0.2,
lower_cost_debt_sigma = 0,
upper_cost_debt_sigma = 0.05,
lower_cost_capital = 0,
upper_cost_capital = 0.2,
lower_cost_capital_sigma = 0,
upper_cost_capital_sigma = 0.05,
lower_cost_equity = 0,
upper_cost_equity = 0.25,
lower_cost_equity_sigma = 0,
upper_cost_equity_sigma = 0.05,
lower_growth = 0,
upper_growth = 2,
lower_growth_sigma = 0,
upper_growth_sigma = 0.5,
lower_reinvestment_rate = 0,
upper_reinvestment_rate = 2,
lower_reinvestment_sigma = 0,
upper_reinvestment_sigma = 0.5,
lower_terminal_reinvestment_rate = 0,
upper_terminal_reinvestment_rate = 0.05,
lower_terminal_reinvestment_sigma = 0,
upper_terminal_reinvestment_sigma = 0.01)

TracyRage/fun_valuation documentation built on Jan. 29, 2023, 8:41 a.m.