Real Options Models of the Firm, Capacity Overhang, and the Cross Section of Stock Returns

• 成果类型: Article
• 署名作者: Aretz, Kevin; Pope, Peter F.
• 署名单位: University of Manchester; Alliance Manchester Business School; University of London; London School Economics & Political Science; Bocconi University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12617
• 发表日期: 2018
• 页码: 1363-1415
• 关键词: STOCHASTIC FRONTIER APPROACH; ASSET-PRICING ANOMALIES; SECURITY RETURNS; corporate-investment; Operating leverage; adjustment costs; FUTURE EARNINGS; GROWTH OPTIONS; VALUE PREMIUM; momentum

摘要

We use a stochastic frontier model to obtain a stock-level estimate of thedifferencebetweenafirm's installed production capacity and its optimal capacity. We show that this capacity overhang estimate relates significantly negatively to the cross section of stock returns, even when controlling for popular pricing factors. The negative relation persists among small and largestocks,stockswith more or less reversible investments, and in good and bad economic states. Capacity overhang helps explain momentum and profitability anomalies, but not value and investment anomalies. Our evidence supports real options models of the firm featuring valuable divestment options.