Valuation Uncertainty

65 Pages Posted: 24 May 2021 Last revised: 16 Dec 2022

See all articles by Andrey Golubov

Andrey Golubov

University of Toronto - Rotman School of Management; European Corporate Governance Institute (ECGI)

Theodosia Konstantinidi

City University London - The Business School

Date Written: December 12, 2022


We develop a firm-specific measure of valuation uncertainty from the distribution of valuations predicted by an empirical multiples-based valuation model. The measure is effective in summarizing the information in existing proxies and offers substantial incremental variation. Among many possible applications, we use our measure to test the hypothesis that valuation uncertainty is conducive to valuation mistakes. A value-like long-short strategy is particularly profitable among high valuation uncertainty stocks. Stocks in the short leg earn average returns indistinguishable from the risk-free rate – turning negative following periods of high investor sentiment – and their future earnings disappoint. Insiders trade against the presumed valuation mistakes.

Keywords: Valuation uncertainty, valuation mistakes, value premium

JEL Classification: G12, G14

Suggested Citation

Golubov, Andrey and Konstantinidi, Theodosia, Valuation Uncertainty (December 12, 2022). Rotman School of Management Working Paper No. 3850807, Available at SSRN: or

Andrey Golubov (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels

HOME PAGE: http://

Theodosia Konstantinidi

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics