An Accounting-Based Measure of Valuation Uncertainty
利用会计估值模型估计一组假设的内在权益价值，通过其离散程度度量不确定性，该度量能解释IPO发行价区间和并购公平意见，并预测多种不确定性相关结果。
ABSTRACT 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. JEL Classifications: M41; G12; G14.