Investment Options, Assets in Place, and the Risk of Stocks
将企业未来投资机会视为经营期权，用或有债权分析研究增长机会对系统风险的影响，发现增长机会占市值比重越大，系统风险越高，且该效应独立于企业规模。
This study views the firm's future investment opportunities as operating options and examines the effect of growth opportunities on the firm's systematic risk using contingent claims analysis. The study predicts that the greater the portion of a stock's market value accounted for by the firm's growth opportunities, the higher the systematic risk. Overall, our empirical results strongly support this hypothesis. Furthermore, including firm size in empirical analysis does not significantly change the relationship between the stock beta and growth variables. Thus, we conclude that the effect of growth on stock risk is independent of firm size.