Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns
研究发现增长型和高特质波动率公司在市场波动率上升时表现优于CAPM，导致其风险较低，从而解释了价值效应和特质波动率折价现象。
Abstract The value effect and the idiosyncratic volatility (IVol) discount arise because growth firms and high IVol firms beat the CAPM during periods of increasing aggregate volatility (market volatility and average IVol), that makes their risk low. All else equal, growth options’ value increases with volatility, an effect that is stronger for high IVol firms, for which growth options take a larger fraction of the firm value and firm volatility responds more to aggregate volatility changes. The factor model with the market factor, the market volatility risk factor, and the average IVol factor explains the value effect and the IVol discount. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.