Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Revising Equity Valuation with Tail Risk

Maggie Copeland, Thomas Copeland and Timothy Copeland
The Journal of Portfolio Management Summer 2017, 43 (4) 100-111; DOI: https://doi.org/10.3905/jpm.2017.43.4.100
Maggie Copeland
is a partner at Copeland Valuation Consultants, LLC in San Diego, CA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Thomas Copeland
is a professor in the School of Business Administration at the University of San Diego in San Diego, CA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Timothy Copeland
is a graduate student in the Courant Institute of Mathematical Finance at New York University in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

When VIX—a market index of volatility—increases, a firm’s response is to defer growth of investment. Simultaneously, the expected time to ruin, E(T), shortens, causing the firm’s value to decline more than commonly used valuation models suggest. The authors derive the characteristics of E(T) and revise valuation models that assume cash flows are growing perpetuities. They find that “value trap,” high-growth stocks, and “irrational exuberance” can be explained by incorporating E(T) into the traditional valuation models. Their empirical results show that the sensitivities of the 49 industry portfolios to the change in VIX are all significantly negative and undiversifiable and could be proxies for E(T).

  • © 2017 Institutional Investor, LLC
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 43 (4)
The Journal of Portfolio Management
Vol. 43, Issue 4
Summer 2017
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Revising Equity Valuation with Tail Risk
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Revising Equity Valuation with Tail Risk
Maggie Copeland, Thomas Copeland, Timothy Copeland
The Journal of Portfolio Management Jul 2017, 43 (4) 100-111; DOI: 10.3905/jpm.2017.43.4.100

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Revising Equity Valuation with Tail Risk
Maggie Copeland, Thomas Copeland, Timothy Copeland
The Journal of Portfolio Management Jul 2017, 43 (4) 100-111; DOI: 10.3905/jpm.2017.43.4.100
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • BACKGROUND
    • E(T): THE EXPECTED TIME TO RUIN
    • VIX, SIZE, REAL OPTIONS, AND E(T)
    • BIAS IN VALUATION: THE GORDON GROWTH MODEL
    • “IRRATIONAL EXUBERANCE?”
    • A BRIEF NUMERICAL EXAMPLE
    • EMPIRICAL RESULTS
    • THE VALUE TRAP AND E(T)
    • SUMMARY
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Implied Mortality for the Firm: The Market Tells the Tail
  • Industry Rotation and Time-Varying Sensitivity by VIX
  • Google Scholar

More in this TOC Section

  • Editor’s Introduction for 2021 Special Issue on Multi-Asset Strategies
  • PERSPECTIVES: Plato or Aristotle: Who Got It Right? Evidence from the Equity Markets
  • Editor’s Introduction for 2021 Special Issue on Factor Investing
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies