REAL OPTIONS AND THE CROSS‐SECTION OF EXPECTED STOCK RETURNS
综述了理论文献，研究企业投资灵活性如何影响预期股票收益的横截面，并解释了账面市值比效应（价值溢价）的几种可能原因。
Abstract This paper surveys the theoretical literature investigating the effect of firms’ investment flexibility on the cross‐section of expected stock returns. Real options analysis derives firms’ value‐maximizing investment policies as functions of exogenous fundamental drivers of profitability and calculates firms’ market values as functions of the same variables. These functions yield the relationship between expected stock returns and firm fundamentals. Several plausible explanations for the value premium – the high average stock returns earned by firms with high book‐to‐market ratios – emerge from this literature.