The bias of growth opportunity
研究发现，用市场价值与基本面价值之差衡量的增长机会偏差能预测股票收益，且该效应在投资者情绪高或套利限制严重时更显著，表明其捕捉的是行为偏差而非系统风险。
Abstract The bias of growth opportunity (BGO), measured as the difference between market and fundamental values of a firm's growth opportunity, has an ability to predict future stock returns. In the portfolio sort, downward‐biased BGO firms earn higher returns than upward‐biased ones, which is unexplained by the common asset pricing models. Cross‐sectional regression results also confirm BGO's power in predicting stock returns. To explain the anomaly, we show that the BGO premium is more pronounced when investor sentiment is high or when limits‐to‐arbitrage is severe, which suggests that the is more likely to capture behavioural biases than systematic risk.