The Real Options Component of Firm Market Value: The Case of the Technological Corporation
检验股票价格是否反映投资者对实物期权价值的预期，基于1994-2000年OECD主要股市391家高科技公司数据，发现研发活动、股票收益风险与偏度等变量能解释企业市场价值中超出在位资产的部分。
Abstract: This paper tests whether stock prices reflect investor's expectations regarding the value of real options. The analysis is implemented based on a sample of 391 high‐tech companies listed on main OECD stock markets during the period December 1994 through December 2000. Results confirm the predicted relation between the fraction of a firm's market value not accounted for by its assets‐in‐place, and a series of variables that are assumed to disclose its real options value, variables such as research and development activity, risk and skewness of stock returns, and size. The results are robust even after controlling for valuation date, sub‐industry, country, and alternative measures of risk.