Critical Finance Review, 2016, 5: 85–128

不确定性与估值

作者：Martijn Cremers (University of Notre Dame), Hongjun Yan (DePaul University)

摘要：Pásto和Veronesi（2003）提出：公司盈利能力的不确定性可能会增加其股票估值，并将这一理论作为对金融市场几种现象的解释。我们在包括股票和债券的设定中对这一观点进行了进一步研究，并发现，除非公司负债累累，（与论文）相同的逻辑意味着不确定性会增加公司的股票估值，但会降低其债券的估值。并且，若公司的杠杆率较高则不确定性的影响较强。利用一系列文献中现有的不确定性的代理变量，同时对波动率进行控制，我们实证检验了这些预测。我们的证据基于一些（但不是全部）代理变量，证实了股票估值和不确定性之间的正相关关系。然而，利用现有的不确定性的代理变量，我们的证据不支持不确定性与债券估值之间的负相关性，特别是当代理变量为公司年龄时。这些结果对现有不确定性代理变量的阐述以及利用这些代理变量的文献中的结论提出了质疑。

关键词：不确定性，凸性，估值，互联网泡沫

Uncertainty and Valuations

Martijn Cremers (University of Notre Dame), Hongjun Yan (DePaul University)

ABSTRACT

Pástor and Veronesi (2003) proposed the idea that uncertainty about a firm’s profitability could increase its stock valuation, as an explanation for several phenomena in financial markets. We further examine this idea in a set-up with both stocks and bonds, and show that unless a firm is deeply in debt, the same logic implies that uncertainty increases a firm’s stock valuation but decreases its bond valuation, and that the uncertainty’s impact is stronger if the firm’s leverage is higher. Using a number of existing uncertainty proxies in the literature and controlling for volatility, we empirically test these predictions. Our evidence based on some (but not all) proxies supports the positive association between stock valuation and uncertainty. However, our evidence generally does not support the negative association between uncertainty and bond valuation using existing uncertainty proxies, particularly firm age. These results challenge the interpretation of the existing uncertainty proxies and thus the results in the literature employing them.

Keywords: Uncertainty, convexity, valuation, technology bubble

原文链接： http://cfr.ivo-welch.info/readers/pub/cfr-020.pdf

翻译：任兆月