Empirical Evidence on Capital Investment, Growth Options, and Security Returns
发现资本支出增长会影响公司按规模和账面市值比分类的股票组合，并解释组合收益和未来股票收益的横截面差异，支持增长期权行权改变估值和预期收益的理论。
Growth in capital expenditures conditions subsequent classification of firms to portfolios based on size and book-to-market ratios, as in the widely used Fama and French (1992, 1993) methods. Growth in capital expenditures also explains returns to portfolios and the cross section of future stock returns. These findings are consistent with recent theoretical models (e.g., Berk, Green, and Naik (1999)) in which the exercise of investment-growth options results in changes in both valuation and expected stock returns.