کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960189 929419 2013 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Growth to value: Option exercise and the cross section of equity returns
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Growth to value: Option exercise and the cross section of equity returns
چکیده انگلیسی

We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option exercise, which is endogenously determined in equilibrium, is highly procyclical and acts as a hedge against risks in assets in place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our model incorporates long-run risks in aggregate consumption and replicates the empirical failure of the conditional capital asset pricing model (CAPM) prediction. The model also quantitatively accounts for the pattern in mean returns on book-to-market sorted portfolios, the magnitude of the CAPM-alphas, and other stylized features of the cross-sectional data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 107, Issue 2, February 2013, Pages 325–349
نویسندگان
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