This paper investigates the relationship between default probability and value when there is a selection bias due to missing controls for firm heterogeneous likelihood to survive in the sample. Our model delivers the following implications for the conglomerate case: (a) the sample conglomerate value increases in their default probability (b) the sample conglomerate discount falls together with their excess default probability with respect to focused companies (c) both effects disappear or switch sign when the analyst controls for survival probability. The data support the presence of a selection bias distorting downwards the relative value of sample firms with higher survival probability.
Survival and Value: the Conglomerate Case
Giovanna Nicodano
2024-01-01
Abstract
This paper investigates the relationship between default probability and value when there is a selection bias due to missing controls for firm heterogeneous likelihood to survive in the sample. Our model delivers the following implications for the conglomerate case: (a) the sample conglomerate value increases in their default probability (b) the sample conglomerate discount falls together with their excess default probability with respect to focused companies (c) both effects disappear or switch sign when the analyst controls for survival probability. The data support the presence of a selection bias distorting downwards the relative value of sample firms with higher survival probability.File | Dimensione | Formato | |
---|---|---|---|
Survival and Value Jan23.pdf
Accesso aperto
Descrizione: pre print autore
Tipo di file:
PREPRINT (PRIMA BOZZA)
Dimensione
570.01 kB
Formato
Adobe PDF
|
570.01 kB | Adobe PDF | Visualizza/Apri |
Euro Fin Management - 2023 - Altieri - Survival and value The conglomerate case.pdf
Accesso aperto
Descrizione: Con licenza: cc-by-nc-nd Tipo versione: publishedVersion Tipologia Open Access (OA): hybrid
Dimensione
2 MB
Formato
Adobe PDF
|
2 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.