Optimal Investment, Growth Options, and Security Returns
通过动态模型说明，企业的最优投资选择会使其资产和增长期权发生可预测的变化，进而影响系统风险和预期收益，并同时复现了账面市值比与收益的关系、价值溢价、短期反转和长期动量等市场异象。
As a consequence of optimal investment choices, a firm's assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time‐series relation between the book‐to‐market ratio and asset returns; (ii) the cross‐sectional relation between book‐to‐market, market value, and return; (iii) contrarian effects at short horizons; (iv) momentum effects at longer horizons; and (v) the inverse relation between interest rates and the market risk premium.