Banca de DEFESA: Roberto Lucas Spínola Souto

The illiquidity discount in business valuation in Brazil

Discount for lack of marketability, valuation, brazilian market, mergers and acquisitions, ipo, multiples, emerging markets

This doctoral thesis investigated the discount for lack of marketability (DLOM) in the Brazilian market. The central question was to understand how this phenomenon manifests in an emerging country, integrating theoretical perspectives, market practices, and empirical evidence. To this end, the research was developed in three complementary articles. The first article presented a critical review of the literature, identifying the main approaches to measuring DLOM, the criteria for sample selection and control, and the determining factors associated with its magnitude. The second article analyzed valuation practices in Brazil, based on a structured survey applied to professionals involved in mergers and acquisitions processes. The results revealed a lack of homogeneity among appraisers, the influence of additional premiums to the CAPM, the use of private knowledge, and signs of cognitive biases such as the herd effect, exposing methodological weaknesses that especially compromise the multiples approach. The third article, the core of the dissertation, empirically measured the discount for lack of marketability in Brazil through the analysis of 204 IPOs listed on B3 and 1,586 matched private and public transactions by sector and period. The findings indicated an average discount ranging from 5% to 9% in the 21- and 63-day windows after the IPO, directly associated with the liquidity index, but losing significance after six months, when other factors start to prevail. The results confirm that DLOM is a real and relevant phenomenon in Brazil, albeit conditioned by time and the institutional specificities of an emerging market. The contributions of the dissertation are threefold: the systematization of measurement methodologies for the discount and its determinants; the unprecedented characterization of valuation practices in Brazil, revealing heterogeneity and signs of biases; and the presentation of robust empirical evidence on the discount for lack of marketability in the country, with implications for appraisers, auditors, regulators, tax authorities, and courts. By integrating theory, practice, and empirical analysis, the dissertation advances the understanding of firm valuation in uncertain environments, positioning Brazil as a relevant case in the international debate on illiquidity.