1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/19101
DC FieldValueLanguage
dc.contributor.authorBali, Turan G.-
dc.contributor.authorDel Viva, Luca-
dc.contributor.authorLambertides, Neophytos-
dc.contributor.authorTrigeorgis, Lenos-
dc.date.accessioned2020-10-01T06:54:11Z-
dc.date.available2020-10-01T06:54:11Z-
dc.date.issued2020-11-01-
dc.identifier.citationJournal of Financial and Quantitative Analysis, 2020, vol. 55, no. 7, pp. 2150 - 2180en_US
dc.identifier.issn17566916-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/19101-
dc.description.abstractWe 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.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofJournal of Financial and Quantitative Analysisen_US
dc.rights© Cambridge University Pressen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectLinken_US
dc.subjectCrosssectional relationsen_US
dc.subjectProfitabilityen_US
dc.subjectDistress risken_US
dc.subjectLotterynessen_US
dc.subjectIdiosyncratic skewnessen_US
dc.subjectVolatilityen_US
dc.titleGrowth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatilityen_US
dc.typeArticleen_US
dc.collaborationGeorgetown Universityen_US
dc.collaborationRamon Llull Universityen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationMIT Sloan School of Managementen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryUnited Statesen_US
dc.countrySpainen_US
dc.countryCyprusen_US
dc.countryUnited Kingdomen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1017/S0022109019000619en_US
dc.relation.issue7en_US
dc.relation.volume55en_US
cut.common.academicyear2020-2021en_US
dc.identifier.spage2150en_US
dc.identifier.epage2180en_US
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.journal.journalissn1756-6916-
crisitem.journal.publisherCambridge University Press-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0003-2864-1793-
crisitem.author.parentorgFaculty of Management and Economics-
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