Value Uncertainty

• 成果类型: Article
• 署名作者: Bali, Turan G.; Del Viva, Luca; El Hefnawy, Menatalla; Trigeorgis, Lenos
• 署名单位: Georgetown University; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); CUNEF Universidad; Durham University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4888
• 发表日期: 2024
• 页码: 4548-4563
• 关键词: BOOK-TO-MARKET; uncertainty; valuation risk; Equity returns

摘要

We examine how time-series volatility of book-to-market (UNC) is priced in equity returns and the relative contributions of its book volatility (variations in earnings and book value) and market volatility components (shocks in required return). UNC captures valuation risk, so stocks with high valuation risk earn higher return. An investment strategy long in high-UNC firms and short in low-UNC firms generates 8.5% annual risk adjusted return. UNC valuation risk premium is driven by outperformance of high-UNC firms facing higher information risk and is not explained by established risk factors and firm characteristics.