‘growth Options and the Value-size Puzzle’*
نویسندگان
چکیده
This study presents an intuitive explanation, based on insights of real options theory, for the value size puzzle. Growth firms are not overvalued, but priced for their upward potential. Small growth firms are especially characterized by an asymmetric risk-return relation. Therefore, the value-size premium comprises two parts: a distress premium and a growth discount. Beta underestimates the risk of distressed firms and overestimates the risk of growth firms caused by asymmetries in stock returns. We examine the impact of growth options on equity returns within a panel of 7,167 listed U.S. firms (1981– 2000).
منابع مشابه
Policy options for value added to different levels of production
This paper presents an analytic procedure for the value added to different production levels with different policy options. The approach is stochastic and thus provides a framework for informed decision-making on productivity growth under uncertainty conditions. The model was applied to data collected from a firm and re-sults recommend that the firm should redevelop if in diversification and sy...
متن کاملTackling The Corporate Diversification – Value Puzzle Using The Real Options Approach
This paper analyzes the diversification-value puzzle from the Real Options (RO) approach. Our proposal conceives corporate diversification as a process which involves both the sequential replacement of prior acquired investment opportunities by assets-in-place and the generation of new valuable growth options. We argue that this conceptual framework allows to explain both documented diversifica...
متن کاملThe Role of Unbalanced Balance Sheet of Banking System in Creating the Puzzle of Interest Rate, Inflation and Liquidity Growth: Evidence from Iran
The analysis of macroeconomic variables for current situation in Iran indicates a Conundrum. Solving this puzzle is vital for Central Bank of Iran in order to choose an appropriate approach for monetary policy and banking supervision. Increase in liquidity growth rate, significant decrease of inflation rate and interest rate rigidity are the three sides of this puzzle. This study designs an inn...
متن کاملExamination of Equity Premium Puzzle by Consumption Capital Asset Pricing Model with Fuzzy Nested Regimes: Evidence from Iran
The aim of this study is to examine the equity premium puzzle in Iran for the quarterly period of 1993-2016. In this regard, the hybrid bivariate Garch model and also fuzzy dummy variables with consumption capital asset pricing model (C-CAPM) have been used. The results of study show that using C-CAPM within fuzzy dummy variables (CCAPM-F), the relative risk aversion coefficient of investor is ...
متن کاملMarket Volatility Puzzle with Regard to the Systematic Risk of Bubble in the Securities Market of Iran
Stock market volatility is evaluated by measuring the variance of the market that is evaluated through consumption growth volatility in the framework of pricing of CCAPM models. This theory is not consistent with revealed facts, in reality; because consumption growth is very smooth but stock market appears highly volatile; this is famous to stock market volatility puzzle. In this regard, the ne...
متن کامل