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There are several methods. First, you can analyze the component parts of the business. For example, separate the conglomerate into its individual lines of business and use the market approach and the income approach to value the company. Under the income approach, you could estimate betas for each line of business, and value each line of business. The sum of the parts would equal the value of the corporation (NOTE - technically you could make the argument that the risk of the conglomerate is lower than each line of business separately, therefore, you may want to add a premium to reflect lower risk. Alternatively, valuing each line of business separately presumes a break-up value for the corporation, which may be higher than its value as a combined going-concern. You will need to assess the facts and circumstances of your case). Under the market approach, you can find individual comparables for each line of business and use their market multipliers to value each line of business. The sum of the parts will be the value of the conglomerate. Alternatively, you can just value the conglomerate as a whole using a common discounted cash flow or capitalization of earnings method. If the stock is publicly traded use the beta for the overall corporation. A market approach could not be used using this method, however, because of a lack of comparables.
Take a look at the paper I have on valuing octopus companies - multinational, multibusiness companies under research/papers