Real Options Models of the Firm, Capacity Overhang, and the Cross Section of Stock Returns
使用随机前沿模型估算企业产能过剩程度，发现其与股票收益显著负相关，且能解释动量与盈利异常，支持实物期权理论中的放弃期权价值。
ABSTRACT We use a stochastic frontier model to obtain a stock‐level estimate of the difference between a firm's installed production capacity and its optimal capacity. We show that this “capacity overhang” estimate relates significantly negatively to the cross section of stock returns, even when controlling for popular pricing factors. The negative relation persists among small and large stocks, stocks with more or less reversible investments, and in good and bad economic states. Capacity overhang helps explain momentum and profitability anomalies, but not value and investment anomalies. Our evidence supports real options models of the firm featuring valuable divestment options.