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Value Uncertainty

Bali, Turan G.; Del Viva, Luca; Hefnawy, Menatalla El; Trigeorgis, Lenos

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Turan G. Bali

Luca Del Viva

Menatalla El Hefnawy


We examine how time-series volatility of book-to-market (UNC) is priced in equity returns and the relative contributions of its book volatility (variations in earnings and book value) and market volatility components (shocks in required return). UNC captures valuation risk, so stocks with high valuation risk earn higher return. An investment strategy long in high-UNC and short in low-UNC firms generates 8.5% annual risk-adjusted return. UNC valuation risk premium is driven by outperformance of high-UNC firms facing higher information risk and is not explained by established risk factors and firm characteristics.


Bali, T. G., Del Viva, L., Hefnawy, M. E., & Trigeorgis, L. (2023). Value Uncertainty. Management Science,

Journal Article Type Article
Acceptance Date Nov 20, 2022
Online Publication Date Sep 14, 2023
Publication Date 2023
Deposit Date Feb 6, 2023
Publicly Available Date Feb 6, 2023
Journal Management Science
Print ISSN 0025-1909
Electronic ISSN 1526-5501
Publisher Institute for Operations Research and Management Sciences
Peer Reviewed Peer Reviewed
Public URL


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