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Τίτλος: Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility
Συγγραφείς: Bali, Turan G. 
Del Viva, Luca 
Lambertides, Neophytos 
Trigeorgis, Lenos 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Λέξεις-κλειδιά: Link;Crosssectional relations;Profitability;Distress risk;Lotteryness;Idiosyncratic skewness;Volatility
Ημερομηνία Έκδοσης: 1-Νοε-2020
Πηγή: Journal of Financial and Quantitative Analysis, 2020, vol. 55, no. 7, pp. 2150 - 2180
Volume: 55
Issue: 7
Start page: 2150
End page: 2180
Περιοδικό: Journal of Financial and Quantitative Analysis 
Περίληψη: 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
Εμφανίζεται στις συλλογές:Άρθρα/Articles

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