The Role of Growth Options in Explaining Stock Returns

被引：51

作者：

Trigeorgis, Lenos ^{[1
]}

Lambertides, Neophytos ^{[2
]}

机构：

[1] Univ Cyprus, Fac Econ & Management, CY-1678 Nicosia, Cyprus

[2] Cyprus Univ Technol, Dept Commerce Finance & Shipping, CY-3036 Lemesos, Cyprus

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2014年 / 49卷 / 03期

关键词：

CROSS-SECTION; ASSET GROWTH; INVESTMENT; RISK; EQUILIBRIUM; SKEWNESS; MARKET;

D O I：

10.1017/S0022109014000118

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We extend the Fama-French (1992) model by considering growth option (as well as distress/leverage) variables in explaining the cross section of stock returns. We find that growth option variables, namely growth in capital investment and yet-unexercised growth options (GO), are significantly and negatively related to stock returns. Investors may be willing to accept lower average returns from growth stocks in exchange for a more favorable (positively skewed) risk-return profile. Book-to-market (BM) ratio seems to proxy for omitted distress/leverage variables. When these are explicitly accounted for, BM is not that significant. Our growth options variables have added explanatory power.

引用

页码：749 / 771

页数：23

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