Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility
用特质偏度衡量增长期权，发现投资者要求低增长期权、负预期偏度的不灵活公司股票有正溢价，且基于增长期权的新偏度因子能解释盈利能力、困境、彩票特征和波动率异象。
We provide new evidence on the economic role of growth options behind the profitability, distress, lotteryness, and volatility anomalies. We use idiosyncratic skewness to measure growth options and estimate expected idiosyncratic skewness capturing investors’ expectations about the firm’s mix of growth options versus assets-in-place. We find that investors require a positive premium to hold stocks of inflexible firms with low growth options and negative expected skewness and that a newly proposed skewness factor based on growth options explains the aforementioned anomalies. Thus, the new measure of expected idiosyncratic skewness may serve to reduce the number of anomalies in the literature.