Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/19101
Title: Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility
Authors: Bali, Turan G. 
Del Viva, Luca 
Lambertides, Neophytos 
Trigeorgis, Lenos 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Link;Crosssectional relations;Profitability;Distress risk;Lotteryness;Idiosyncratic skewness;Volatility
Issue Date: 2019
Source: Journal of Financial and Quantitative Analysis, 2019
Journal: Journal of Financial and Quantitative Analysis 
Abstract: We provide new evidence about the economic role of growth options behind the profitability, distress, lotteryness, and volatility anomalies. We use idiosyncratic skewness to measure growth options and estimate expected idiosyncratic skewness capturing investors' expectation about the firm's mix of growth options versus assets-in-place. We find that investors require a positive premium to hold stocks of inflexible firms with low growth options and negative expected skewness, and that a newly proposed skewness factor based on growth options explains the aforementioned anomalies. Thus, the new measure of expected idiosyncratic skewness may serve to reduce the number of anomalies in the literature.
URI: https://ktisis.cut.ac.cy/handle/10488/19101
ISSN: 1756-6916
DOI: 10.1017/S0022109019000619
Rights: © Cambridge University Press
Attribution-NonCommercial-NoDerivatives 4.0 International
Type: Article
Affiliation : Georgetown University 
Ramon Llull University 
Cyprus University of Technology 
Cyprus University of Technology 
MIT Sloan School 
Appears in Collections:Άρθρα/Articles

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