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|Title:||The role of growth options in explaining stock returns||Authors:||Trigeorgis, Lenos
|Keywords:||Asset pricing;Book-to-market;Growth options;Stock returns;Value-size effects||Category:||Economics and Business||Field:||Social Sciences||Issue Date:||1-Jan-2014||Publisher:||Cambridge University Press||Source:||Journal of Financial and Quantitative Analysis Volume 96, 26 February 2014||metadata.dc.doi:||10.1017/S0022109014000118||Abstract:||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, BMis not that significant. Our growth options variables have added explanatory power.||URI:||http://ktisis.cut.ac.cy/handle/10488/9702||ISSN:||00221090||Rights:||Copyright 2014, Michael G. Foster School of Business, University of Washington.||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
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