The following table groups together the results of the calculations, making it possible to obtain all the parameters of the Black–Scholes formula in order to determine the economic value of equity using the real options method.
Table A7.1. Valuations of CAC 40 companies using real options
Company | Broker consensus EV | Risk-free rate in % | Share volatility in % | Accounting debt | Cash flow and equiv. | Net debt | Average maturity | d1 | d2 | Φ(d1) in % | Φ(d2) in % | Φ(-d1) in % | Φ(-d2) in % | Econ. value of debt | Net debt in %EV | Econ. value of E | B&S growth potential in % |
Accor S.A. | 7,074 | 2.18% | 29% | 1,717 | 1,491 | 226 | 3.4 | 3.09 | 2.57 | 100 | 99 | 0 | 1 | 101 | 1 | 6,974 | 9 |
Air Liquide S.A. | 34,666 | 2.18% | 20% | 7,036 | 1,788 | 5,248 | 4.7 | 4.65 | 4.27 | 100 | 100 | 0 | 0 | 4,563 | 13 | 30,103 | 4 |
Alstrom S.A. | 12,777 | 2.18% | 36% | 4,466 | 3,180 | 1,286 | 4.5 | 2.02 | 1.34 | 98 | 91 | 2 | 9 | 776 | 6 | 12,001 | 18 |
ArcelorMittal S.A. | 33,957 | 2.18% | 39% | 20,020 | 2,959 | 17,060 | 6.3 | 1.39 | 0.77 | 92 | 78 | 8 | 22 | 13,459 | 40 | 20,498 | 7 |
Bouygues S.A. | 11,541 | 2.18% | 32% | 7,023 | 3,161 | 3,862 | 7.3 | 1.37 | 0.76 | 92 | 78 | 8 | 22 | 2,469 | 21 | 9,072 | 39 |
Carrefour S.A. | 20,306 | 2.18% | 33% | 11,672 | 4,760 | 6,912 | 5.3 | 1.44 | 0.85 | 92 | 80 | 8 | 20 | 5,119 | 25 | 15,187 | 2 |
Compagnie St- Gobain | 24,221 | 2.18% | 34% | 11,044 | 2,949 | 8,095 | 5.8 | 1.79 | 1.18 | 96 | 88 | 4 | 12 | 6,514 | 27 | 17,707 | 6 |
Danone S.A. | 39,300 | 2.18% | 21% | 9,031 | 2,141 | 6,890 | 4.9 | 4.14 | 3.74 | 100 | 100 | 0 | 0 | 5,973 | 15 | 33,328 | -2 |
Electricité de France S.A. | 67,684 | 2.18% | 28% | 50,286 | 17,001 | 33,285 | 7.9 | 1.24 | 0.78 | 89 | 78 | 11 | 22 | 23,401 | 35 | 44,282 | 64 |
Essilor International S.A. | 16,356 | 2.18% | 20% | 904 | 397 | 507 | 2.5 | 9.85 | 9.54 | 100 | 100 | 0 | 0 | 459 | 3 | 15,897 | -2 |
France Telecom | 51,448 | 2.18% | 27% | 40,703 | 10,291 | 30,412 | 9.0 | 1.18 | 0.73 | 88 | 77 | 12 | 23 | 21,512 | 42 | 29,936 | 50 |
GDF Suez S.A. | 79,613 | 2.18% | 25% | 56,994 | 19,394 | 37,600 | 11.2 | 1.37 | 0.84 | 91 | 80 | 9 | 20 | 23,205 | 29 | 56,408 | 59 |
Gemalto N.V. | 5,567 | 2.18% | 28% | 504 | 339 | 165 | 1.0 | 8.88 | 8.60 | 100 | 100 | 0 | 0 | 154 | 3 | 5,413 | -10 |
Lafarge S.A. | 24,324 | 2.18% | 33% | 15,286 | 3,312 | 11,974 | 5.9 | 1.39 | 0.87 | 92 | 81 | 8 | 19 | 9,542 | 39 | 14,782 | 5 |
LeGrand S.A. | 10,157 | 2.18% | 23% | 1,757 | 488 | 1,269 | 8.3 | 3.57 | 2.98 | 100 | 100 | 0 | 0 | 979 | 10 | 9,178 | -1 |
LVMH | 70,663 | 2.18% | 26% | 7,100 | 2,303 | 4,797 | 6.3 | 4.33 | 3.73 | 100 | 100 | 0 | 0 | 3,893 | 6 | 66,770 | -1 |
Michelin | 13,998 | 2.18% | 31% | 3,839 | 2,025 | 1,814 | 6.8 | 2.34 | 1.61 | 99 | 95 | 1 | 5 | 1,242 | 9 | 12,756 | 5 |
Pernod Ricard S.A. | 33,425 | 2.18% | 19% | 9,866 | 828 | 9,038 | 5.7 | 3.81 | 3.44 | 100 | 100 | 0 | 0 | 7,879 | 24 | 25,546 | -2 |
PPR S.A. | 22,942 | 2.18% | 25% | 4,678 | 1,282 | 3,396 | 3.6 | 4.15 | 3.72 | 100 | 100 | 0 | 0 | 3,045 | 13 | 19,897 | -8 |
Publicis Groupe S.A. | 10,372 | 2.18% | 19% | 2,284 | 2,174 | 110 | 2.8 | 5.12 | 4.81 | 100 | 100 | 0 | 0 | (24) | 0 | 10,396 | -2 |
Safran S.A. | 15,092 | 2.18% | 24% | 2,445 | 1,448 | 997 | 3.4 | 4.74 | 4.32 | 100 | 100 | 0 | 0 | 824 | 5 | 14,268 | 0 |
Sanofi S.A. | 103,138 | 2.18% | 22% | 14,983 | 4,124 | 10,859 | 4.6 | 4.86 | 4.43 | 100 | 100 | 0 | 0 | 9,435 | 9 | 93,703 | -3 |
Schneider Electric S.A. | 35,684 | 2.18% | 34% | 8,037 | 2,771 | 5,266 | 6.2 | 2.54 | 1.79 | 99 | 96 | 1 | 4 | 4,190 | 12 | 31,494 | -4 |
Solvay S.A. | 12,156 | 2.18% | 33% | 4,168 | 2,407 | 1,761 | 6.3 | 2.03 | 1.30 | 98 | 90 | 2 | 10 | 1,135 | 9 | 11,021 | 19 |
Total S.A. | 108,524 | 2.18% | 21% | 32,399 | 16,701 | 15,698 | 4.4 | 3.61 | 3.22 | 100 | 100 | 0 | 0 | 12,722 | 12 | 95,802 | 6 |
Unibail- Rodamco SE | 28,495 | 2.18% | 20% | 9,749 | 162 | 9,587 | 4.5 | 3.81 | 3.49 | 100 | 100 | 0 | 0 | 8,677 | 30 | 19,818 | 20 |
Vallourec S.A. | 6,653 | 2.18% | 41% | 2,095 | 902 | 1,193 | 5.5 | 1.97 | 1.16 | 98 | 88 | 2 | 12 | 888 | 13 | 5,765 | 9 |
Veolia Environnement S.A. | 17,728 | 2.18% | 39% | 20,454 | 5,724 | 14,730 | 7.4 | 0.24 | (0.15) | 59 | 44 | 41 | 56 | 9,156 | 52 | 8,572 | 80 |
Vinci S.A. | 33,963 | 2.18% | 28% | 20,871 | 8,281 | 12,590 | 9.2 | 1.42 | 0.80 | 92 | 79 | 8 | 21 | 7,849 | 23 | 26,114 | 27 |
Viviendi | 34,146 | 2.18% | 30% | 15,710 | 3,683 | 12,027 | 4.6 | 2.10 | 1.63 | 98 | 95 | 2 | 5 | 10,397 | 30 | 23,749 | 16 |