THE INVESTMENT OPPORTUNITY SET AND ITS PROXY VARIABLES
用实物期权方法评估了多个投资机会代理变量的表现，发现资产市值账面比的信息含量最高，其他变量不提供额外信息。
Abstract We use a real options approach to evaluate the performance of several proxy variables for a firm's investment opportunity set. The results show that, on a relative scale, the market‐to‐book assets ratio has the highest information content with respect to investment opportunities. Although both the market‐to‐book equity and the earnings–price ratios are related to investment opportunities, they do not contain information that is not already contained in the market‐to‐book assets ratio. Consistent with this finding, a common factor constructed from several proxy variables does not improve the performance of the market‐to‐book assets ratio.