Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - 2013 - This version: February 5, 2013
(average) Tobin's Q increases with firm-level volatility. However, the significance mainly comes from R&D firms, which have … more growth options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we … also document that only idiosyncratic volatility (ivol) has a significant effect on valuation. Second, we analyze the …