Equity Volatility Size Adjustments by Industry

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American Society of Appraisers Business Valuation Review™
Winter 2018 Volume 37, Issue 4 pp. 158-163
James K. Herr, CFA, AM
valuation method
industry analysis, equity volatility, volatility


This article provides a means for determining equity volatility size adjustments in estimating lookback equity volatilities for eleven different industry sectors based on twenty years of historical data. The industry-specific size adjustments can be used for estimating volatility for common equity in privately-held or illiquid publicly traded companies. Consistent with an earlier article, I find that size adjustments vary significantly among industries, but I also find relatively minor differences for any given industry based on the time horizon.
Equity Volatility Size Adjustments by Industry
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