Mensuração da robustez de recomendações de investimento em Valuation por meio da Simulação de Monte Carlo: um estudo de caso da Lojas Renner S.A. (LREN3)

Abstract

Company valuation using the Discounted Cash Flow method remains the most robust and widely used approach in both academic literature and the market. However, one of the main criticisms of this methodology is the use of single-point assumptions for the projected variables, disregarding the uncertainty inherent to these estimates and the biases embedded in the results. Thus, this study adopted an applied research methodology, with a quantitative approach, exploratory and descriptive objectives, and a case study procedure, supported by bibliographic and documentary research. The main financial statements of Lojas Renner were projected in order to derive the FCFF. The deterministic value of the company was calculated as the present value of the projected cash flows and the terminal value, discounted at a WACC of 15.92% and adjusted for net debt, resulting in a fair value of R$ 15.75, 3.88% above the market price on the valuation date, supporting a hold recommendation. Following this result, a Monte Carlo Simulation was parameterized around the model's main operating assumptions, in order to measure the robustness of the investment recommendation. The simulation produced an average fair value of R$ 15.76, with 48.36% of the iterations maintaining the hold recommendation. It was concluded that the recommendation proved sensitive to plausible variations in the assumptions, and that the Monte Carlo Simulation replaces a single-point estimate with a distribution of possible values, providing greater transparency to the investor communication process.