Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/19101
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: | 1-Nov-2020 | Source: | Journal of Financial and Quantitative Analysis, 2020, vol. 55, no. 7, pp. 2150 - 2180 | Volume: | 55 | Issue: | 7 | Start page: | 2150 | End page: | 2180 | 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://hdl.handle.net/20.500.14279/19101 | ISSN: | 17566916 | DOI: | 10.1017/S0022109019000619 | Rights: | © Cambridge University Press | Type: | Article | Affiliation : | Georgetown University Ramon Llull University Cyprus University of Technology Cyprus University of Technology MIT Sloan School of Management |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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