Does firm value move too much to be justified by subsequent changes in cash flow?

• 成果类型: Article
• 署名作者: Larrain, Boria; Yogo, Motohiro
• 署名单位: University of Pennsylvania; Pontificia Universidad Catolica de Chile; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.01.002
• 发表日期: 2008
• 页码: 200-226
• 关键词: asset valuation; excess volatility; payout policy; valuation ratio

摘要

The appropriate measure of cash flow for valuing corporate assets is net payout, which is the sum of dividends, interest, and net repurchases of equity and debt. Variation in net payout yield, the ratio of net payout to asset value, is mostly driven by movements in expected cash flow growth, instead of movements in discount rates. Net payout yield is less persistent than dividend yield and implies much smaller variation in long-horizon discount rates. Therefore, movements in the value of corporate assets can be justified by changes in expected future cash flow. (c) 2007 Elsevier B.V. All rights reserved.