The Dynamics of Performance Volatility and Firm Valuation

被引：14

作者：

Chi, Jianxin Daniel ^{[1
]}

Su, Xunhua ^{[2
]}

机构：

[1] Univ Nevada, Lee Business Sch, Dept Finance, Las Vegas, NV USA

[2] Norwegian Sch Econ, Dept Finance, Bergen, Norway

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2017年 / 52卷 / 01期

基金：

中国国家自然科学基金;

关键词：

FINANCIAL CONSTRAINTS; CORPORATE GOVERNANCE; INVESTMENT DECISIONS; MARKET; RISK; EQUILIBRIUM; UNCERTAINTY; INFORMATION; COMPETITION; OWNERSHIP;

D O I：

10.1017/S0022109016000788

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We construct a model to illustrate the dynamics of cash- flow volatility (CFV) and firm valuation. As a firm progressively invests in its growth opportunities, its book value increases and catches up with its market value, reducing the valuation multiple (Q). CFV decreases because of the diversification effect of investing in more market segments. We document a positive CFV-Q association, which varies with firm size, investment opportunities, and the correlation across market segments. Empirical findings strongly support the model's predictions and are robust to alternative explanations offered by extant studies on firm growth, volatility, and valuation.

引用

页码：111 / 142

页数：32

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