Akademik Veri Yönetim Sistemi
Valuation in Emerging Market, Challenges, Approaches and Strategies, sinem derindere köseoğlu,adam patterson, Editör, Springer, London/Berlin , Berlin, ss.300-320, 2025
This chapter applies to a startup valuation an extended version of the Black-Scholes option pricing model named Equity-Linked Exchange Rate Option, which captures the correlation of risk factors and their volatilities. One of the factors is a macroeconomic variable that distinguishes emerging economies while the other one is the prices of assets underlying the expected revenues of the emerging-based startup. Contrary to traditional business valuation in emerging markets where to the expected rate of return (WACC) is added a premium to reflect the characteristics of an emerging market, the Real Options approach based on a multivariate (MV) asset framework allows to “freely” run the level of comovement among risk factors. The MV Real Options (MVRO) approach is compared with the DCF and the original B-S frameworks. Results show that even in worse conditions where the target revenues of the startup survival stage could not be achieved to continue in the project, there is still a value in the startup, the Time Value, which goes beyond its Intrinsic Value. However, the DCF showed that the investor should reject the startup project. In addition, the MVRO framework shows that the startup value increases at a diminishing rate as the volatility of the risk factor increases, and after a certain level of volatility the startup value decreases. This is interpreted as if the venture capitalist would have acclimated to the emerging market environment. After all, attention should be paid to the application of the RO framework since the B-S model was constructed under the market completeness assumption. Thus, the RO approach should be complementary to other valuation methods in the investment decision-taking.