Critical Finance Review, 2016, 5: 85–128

不确定性與估值

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會增加其股票估值，并将這一理論作為對金融市場幾種現象的解釋。我們在包括股票和債券的設定中對這一觀點進行了進一步研究，并發現，除非公司負債累累，（與論文）相同的邏輯意味着不确定性會增加公司的股票估值，但會降低其債券的估值。并且，若公司的杠杆率較高則不确定性的影響較強。利用一系列文獻中現有的不确定性的代理變量，同時對波動率進行控制，我們實證檢驗了這些預測。我們的證據基于一些（但不是全部）代理變量，證實了股票估值和不确定性之間的正相關關系。然而，利用現有的不确定性的代理變量，我們的證據不支持不确定性與債券估值之間的負相關性，特别是當代理變量為公司年齡時。這些結果對現有不确定性代理變量的闡述以及利用這些代理變量的文獻中的結論提出了質疑。

關鍵詞：不确定性，凸性，估值，互聯網泡沫

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

原文鍊接： http://cfr.ivo-welch.info/readers/pub/cfr-020.pdf

翻譯：任兆月