Can Real Options Explain the Skewness of Stock Returns?
研究了实物期权如何通过企业收缩或扩张业务的选择权影响股票收益偏度，发现偏度与生产率呈U型关系，且对调整成本低的公司影响更强，基于1972-2018年美国公司数据提供了实证支持。
We study a novel mechanism through which real options play a prominent role in inducing the skewness of stock returns. Building on the investment-based asset pricing framework, we show that firms’ real options to contract (expand) their businesses when productivity is low (high) can increase return skewness. Consequently, return skewness represents a U-shaped function of firm productivity. Furthermore, the real-options effect is stronger for more flexible firms, characterized by lower scale-adjustment frictions. Employing a large sample of U.S. firms during 1972–2018, we provide a battery of robust empirical evidence consistent with the model predictions. Our findings demonstrate that firm-level real flexibility can impact investors and managers’ decision making.