Real Options, Volatility, and Stock Returns

• 成果类型: Article
• 署名作者: Grullon, Gustavo; Lyandres, Evgeny; Zhdanov, Alexei
• 署名单位: Rice University; Boston University; University of Lausanne
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01754.x
• 发表日期: 2012
• 页码: 1499-1537
• 关键词: ASSET PRICE DYNAMICS; cross-section; GROWTH OPTIONS; irreversible investment; corporate-investment; RISK; firm; equilibrium; uncertainty; valuation

摘要

We provide evidence that the positive relation between firm-level stock returns and firm-level return volatility is due to firms real options. Consistent with real option theory, we find that the positive volatility-return relation is much stronger for firms with more real options and that the sensitivity of firm value to changes in volatility declines significantly after firms exercise their real options. We reconcile the evidence at the aggregate and firm levels by showing that the negative relation at the aggregate level may be due to aggregate market conditions that simultaneously affect both market returns and return volatility.