A Supply Approach to Valuation

• 成果类型: Article
• 署名作者: Belo, Frederico; Xue, Chen; Zhang, Lu
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University System of Ohio; University of Cincinnati; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht067
• 发表日期: 2013
• 页码: 3029
• 关键词: investment; MODEL; RISK; constraints; returns; bubbles; COSTS; debt

摘要

A new methodology for equity valuation arises from the perspective of managers' supply of capital assets. Under q-theory, managers optimally adjust the supply of assets to changes in their market value. The first-order condition of investment then provides a valuation equation that infers asset prices from managers' costs of supplying the assets. This equation fits well the Tobin's q levels across many testing assets, including portfolios formed on q. With current investment-to-capital as the only input, the supply approach does not require cash flow forecasts or discount rate estimates, both of which are notoriously difficult to obtain in practice.