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Applying Merton's valuation adjustment for incomplete information ... and do you need to?

机译：将Merton的估值调整应用于不完整的信息...，您是否需要？

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摘要

Purpose - The purpose of this paper is to offer a "how to" guide for applying Merton's (1987) valuation adjustment for incomplete information, which depends on market capitalization, idiosyncratic risk and extent of investor ownership. Design/methodology/approach - The paper illustrates Bodnaruk and Ostberg's (2009) formula for Merton's adjustment, and presents some example empirical estimates of the adjustment for some US stocks. Findings - The adjustment estimates are material for many example stocks, particularly volatile stocks with a low percentage of shares held by institutional funds. However, the adjustment estimates are modest for many other stocks, including some smaller cap. stocks. Research limitations/implications - Measuring the model's inputs requires using some judgment, particularly regarding the investor ownership variable. The paper will hopefully help stimulate useful empirical research on adjustment estimates and on best practices for applying the model. Practical implications - The paper may encourage more use of the incomplete-information adjustment in practice, which should lead to improved discount rate estimates in valuation analyses. Originality/value - No other "bridge the gap" coverage of the incomplete-information adjustment is available in textbooks or the applied literature.
机译：目的-本文的目的是为应用Merton（1987）的估值调整提供不完整信息的“方法”指南，该信息取决于市值，特质风险和投资者所有权程度。设计/方法论/方法-本文阐述了Bodnaruk和Ostberg（2009）的默顿调整公式，并给出了一些美国股票调整的经验估计示例。调查结果-调整后的估计值对许多示例股票来说都是重要的，尤其是机构基金所持股份比例较低的波动性股票。但是，对于许多其他股票，包括一些较小的上限，调整估计数并不多。股票。研究局限性/含义-评估模型的输入需要使用一些判断，尤其是关于投资者所有权变量的判断。该论文有望帮助激发有关调整估计和应用该模型的最佳实践的有用的经验研究。实际意义-该论文可能鼓励在实践中更多地使用不完全信息调整，这将导致在估值分析中改进折现率估计。原创性/价值-教科书或应用文献中没有其他“弥合差距”涵盖不完整信息调整的内容。

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