Volatility Risks and Growth Options
提出用公司对特质波动率新闻的敏感度来衡量增长机会，发现特质波动率敏感度能预测未来投资和增长，而总体波动率暴露则不能，且基于此指标识别的高期权依赖公司获得更低的风险溢价。
We propose to measure growth opportunities by firms’ exposure to idiosyncratic volatility news. Theoretically, we show that the value of a growth option increases in idiosyncratic volatility but its response to volatility of aggregate shocks can be either positive or negative depending on option moneyness. Empirically, we show that price sensitivity to variation in idiosyncratic volatility carries significant information about firms’ future investment and growth even after controlling for conventional proxies of growth options such as book-to-market and other relevant firm characteristics. Consistent with our theoretical arguments, we also find that firm’ exposure to aggregate volatility, while priced, does not help predict their future growth. Option-intensive firms identified using our idiosyncratic volatility-based measure earn a lower premium than do firms that rely more heavily on assets in place. This paper was accepted by Jerome Detemple, finance.