Real Options, Volatility, and Stock Returns
研究发现公司层面的股票收益与波动性正相关，且该关系源于实物期权；期权较多的公司正相关性更强，行权后敏感性下降，同时解释了宏观层面的负相关现象。
ABSTRACT We provide evidence that the positive relation between firm‐level stock returns and firm‐level return volatility is due to firms’ real options. Consistent with real option theory, we find that the positive volatility‐return relation is much stronger for firms with more real options and that the sensitivity of firm value to changes in volatility declines significantly after firms exercise their real options. We reconcile the evidence at the aggregate and firm levels by showing that the negative relation at the aggregate level may be due to aggregate market conditions that simultaneously affect both market returns and return volatility.