An Accounting-Based Measure of Valuation Uncertainty

• 成果类型: Article
• 署名作者: Golubov, Andrey; Konstantinidi, Theodosia
• 署名单位: University of Toronto
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826; 1558-7967
• DOI: 10.2308/TAR-2023-0399
• 发表日期: 2026-07
• 页码: 231-261
• 关键词: valuation uncertainty; residual income valuation; valuation mistakes; VALUE PREMIUM; Investor sentiment; cross-section; MARKET; earnings; RISK; equity; INFORMATION; expectation; arbitrage; accruals

摘要

Existing measures of valuation uncertainty are indirect or available for limited samples. We use an accounting-based valuation model to estimate a set of hypothetical intrinsic equity values and measure uncertainty by their spread. We show that our measure reflects both cash flow and discount rate uncertainty, explains price ranges in IPO prospectuses and M&A fairness opinions, and incrementally predicts various future outcomes indicative of uncertainty. An application of our measure to a popular asset pricing context yields new insights into the properties of the value premium. Overall, our paper demonstrates how accounting information can be used to summarize uncertainty about intrinsic equity value. Data Availability: Data used in the article are available from public sources cited in the text.