Abbas Rizvi Syed Kumail, Yarovaya Larisa, Mirza Nawazish, Naqvi Bushra
Suleman Dawood School of Business, Lahore University of Management Sciences, Lahore, Pakistan.
Centre for Digital Finance, Southampton Business School, UK.
Heliyon. 2022 Jun;8(6):e09486. doi: 10.1016/j.heliyon.2022.e09486. Epub 2022 May 22.
This paper assesses the impact of the COVID-19 pandemic on non-financial firms' valuations in the European Union (EU) using a stress testing approach. Notably, the paper investigates the extent to which the COVID-19 may deteriorate non-financial firms' value in the ten EU countries to provide a robust anchor to policymakers in formulating strategic government interventions. We employ a sample of 5342 listed non-financial firms across the selected member states that have consistent analyst coverage from 2010 to 2019. First, we estimate the input sensitivities of free cash flow and residual income models using a random effect panel employed to in-sample data. Second, based on these sensitivities, we compute the model-driven ex-post valuations and compare their robustness with actual price and analyst forecasts for the same period. Finally, we introduce multiple stress scenarios that may emanate from COVID-19, i.e., a decline in expected sales and an increase/decrease in equity cost. Our findings show a significant loss in valuations across all sectors due to a possible reduction in sales and an increase in equity cost. In extreme cases, average firms in some industries may lose up to 60% of their intrinsic value in one year. The results remained consistent regardless of the cash flow or residual income-driven valuation.
本文采用压力测试方法评估了新冠疫情对欧盟非金融企业估值的影响。值得注意的是，本文调查了新冠疫情在多大程度上可能使欧盟十个国家的非金融企业价值下降，以便为政策制定者制定战略政府干预措施提供有力依据。我们选取了2010年至2019年期间有一致分析师覆盖的选定成员国中的5342家上市非金融企业作为样本。首先，我们使用用于样本内数据的随机效应面板估计自由现金流和剩余收益模型的输入敏感性。其次，基于这些敏感性，我们计算模型驱动的事后估值，并将其稳健性与同期的实际价格和分析师预测进行比较。最后，我们引入了可能源于新冠疫情的多种压力情景，即预期销售额下降以及股权成本增加/减少。我们的研究结果表明，由于销售额可能下降和股权成本增加，所有行业的估值都出现了显著损失。在极端情况下，一些行业的普通企业可能在一年内损失高达60%的内在价值。无论采用现金流驱动还是剩余收益驱动的估值方法，结果都是一致的。
