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Volatility Coefficient (v) for Unlisted Companies

Author

Listed:
  • Ioan BIRCEA
  • Rodica BACIU

Abstract

For unlisted companies, the lack of information on the market price of shares or debts make it more difficult to calculate the volatility coefficient. As with any investment in financial securities, investing in unlisted companies is subject to market risk and specific risk. The return and implicitly the risk to which financial securities are subject are influenced by both internal and external factors. The volatility coefficient calculation in this case involves either methods based on comparisons with the volatility coefficients of listed companies (bottom-up method) or by methods based on linear or multiple regression. The purpose of this study is to present these methods and also to highlight that a pertinent estimation of the risk to which the shares or equity shares of unlisted companies are subject involves a corroboration of these methods. In this study the theory was expanded through a practical case regarding the calculation of the volatility coefficient of an unlisted company from the pharmaceutical.

Suggested Citation

  • Ioan BIRCEA & Rodica BACIU, 2017. "Volatility Coefficient (v) for Unlisted Companies," The Valuation Journal, The National Association of Authorized Romanian Valuers, vol. 12(1), pages 94-121.
    • Handle: RePEc:vaj:journl:v:12:y:2017:i:1:p:94-121
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    JEL classification:

    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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