Growth options and firm valuation
研究了企业价值与增长期权的关系，发现企业层面波动率与托宾Q正相关，且主要由研发企业驱动；进一步分解波动率后，只有特质波动率显著影响估值。
Abstract This paper studies the relationship between firm value and a firm's growth options. We find strong empirical evidence that Tobin's Q increases with firm‐level volatility. The significance mainly comes from R&D firms, which have more growth options than non‐R&D firms. By decomposing firm‐level volatility into its systematic and unsystematic part, we document that only idiosyncratic volatility has a significant effect on valuation. Second, we analyze the relation of stock returns to realized contemporaneous idiosyncratic volatility and R&D expenses. Sorting on idiosyncratic volatility yields a significant negative relationship between portfolio alphas and contemporaneous idiosyncratic volatility for non‐R&D portfolios.