On the importance of asset pricing factors in the relative valuation

Skočir, Matevž (avtor), Lončarski, Igor (avtor)

In this study, we examine the implications of multi-factor asset pricing models in corporate valuation, focusing on the relative valuation approach. Our investigation centers around an eight-factor model, which we compare against traditional valuation methods that rely on industry or risk grouping and cross-sectional averages. The purpose of this comparison is to assess the efficacy of incorporating pricing factor variables into the valuation process and to understand their impact on valuation accuracy. The findings of our analysis suggest that the use of the eight-factor model leads to a reduction in estimation errors of valuation multiples, indicating an important improvement in precision compared to conventional valuation methods. Additionally, our research offers insights into the practicality of applying multi-factor models. It contributes to the intersection between empirical asset pricing and corporate finance by providing a detailed evaluation of advanced valuation models and their relevance in improving the accuracy of relative valuation.

• Jezik: Angleški jezik
• Ključne besede: enterprises, asset allocation, risk management, models, relative valuation, market multiples, multi-factor asset pricing models, valuation errors
• Vrsta gradiva: Članek v reviji
• Tipologija: 1.01 - Izvirni znanstveni članek
• Organizacija: EF - Ekonomska fakulteta
• Status publikacije: Objavljeno
• Različica publikacije: Objavljena publikacija
• Leto izida: 2024
• Št. strani: 18 str.
• Številčenje: Vol. 70, pt. B, art. 102366
• PID: 20.500.12556/RUL-158418
• UDK: 336
• ISSN pri članku: 0275-5319
• DOI: 10.1016/j.ribaf.2024.102366
• COBISS.SI-ID: 194092547
• Datum objave v RUL: 07.06.2024

Gradivo je del revije

• Naslov: Research in international business and finance
• Skrajšan naslov: Res. int. bus. financ.
• Založnik: Elsevier
• ISSN: 0275-5319
• COBISS.SI-ID: 512590361

Licence

• Licenca: CC BY-NC 4.0, Creative Commons Priznanje avtorstva-Nekomercialno 4.0 Mednarodna
• Povezava: http://creativecommons.org/licenses/by-nc/4.0/deed.sl
• Opis: Licenca Creative Commons, ki prepoveduje komercialno uporabo, vendar uporabniki ne rabijo upravljati materialnih avtorskih pravic na izpeljanih delih z enako licenco.

Sekundarni jezik

• Jezik: Slovenski jezik
• Ključne besede: podjetje, alokacija premoženja, obvladovanje tveganj, modeli

Projekti

• Financer: ARRS - Agencija za raziskovalno dejavnost Republike Slovenije
• Številka projekta: P5-0161
• Naslov: Izzivi vlagateljev, podjetij, finančnih institucij in države v negotovem evropskem gospodarskem okolju