Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/9702
Title: | The role of growth options in explaining stock returns |
Authors: | Trigeorgis, Lenos Lambertides, Neophytos |
Major Field of Science: | Social Sciences |
Field Category: | Economics and Business |
Keywords: | Asset pricing;Book-to-market;Growth options;Stock returns;Value-size effects |
Issue Date: | Jun-2014 |
Source: | Journal of Financial and Quantitative Analysis, 2014, vol. 49, no. 3, pp. 749-771 |
Volume: | 49 |
Issue: | 3 |
Start page: | 749 |
End page: | 771 |
Journal: | Journal of Financial and Quantitative Analysis |
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: | https://hdl.handle.net/20.500.14279/9702 |
ISSN: | 00221090 |
DOI: | 10.1017/S0022109014000118 |
Rights: | © Michael G. Foster School of Business |
Type: | Article |
Affiliation : | Cyprus University of Technology University of Cyprus |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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