Stock valuation and learning about profitability

• 成果类型: Article
• 署名作者: Pástor, L; Veronesi, P
• 署名单位: University of Chicago; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00587
• 发表日期: 2003
• 页码: 1749-1789
• 关键词: BAD-NEWS; RISK; equilibrium; INFORMATION; INVESTMENT; volatility; Dividends; returns; MARKETS; options

摘要

We develop a simple approach to valuing stocks in the presence of learning about average profitability. The market-to-book ratio (M/B) increases with uncertainty about average profitability, especially for firms that pay no dividends. M/B is predicted to decline over a firm's lifetime due to learning, with steeper decline when the firm is young. These predictions are confirmed empirically. Data also support the predictions that younger stocks and stocks that pay no dividends have more volatile returns. Firm profitability has become more volatile recently, helping explain the puzzling increase in average idiosyncratic return volatility observed over the past few decades.