The Role of Growth Options in Explaining Stock Returns
扩展Fama-French模型，发现资本投资增长和未行权增长期权与股票回报显著负相关，投资者可能接受较低回报以换取更有利的风险收益特征。
Abstract We extend the Fama-French (1992) model by considering growth option (as well as distress/leverage) variables in explaining the cross section of stock returns. We find that growth option variables, namely growth in capital investment and yet-unexercised growth options (GO), are significantly and negatively related to stock returns. Investors may be willing to accept lower average returns from growth stocks in exchange for a more favorable (positively skewed) risk-return profile. Book-to-market (BM) ratio seems to proxy for omitted distress/leverage variables. When these are explicitly accounted for, BM is not that significant. Our growth options variables have added explanatory power.