特殊波动率，成长型期权和收益横截面

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-04-03 DOI:10.1093/rapstu/raad006

Alexander Barinov, Georgy Chabakauri

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引用次数: 1

摘要

价值效应和特殊波动率(IVol)折价是由于成长型公司和高波动率公司在总波动率(市场波动率和平均波动率)增加期间优于CAPM，从而使其风险降低而产生的。在其他条件相同的情况下，成长型期权的价值随着波动性的增加而增加，这种效应在高IVol公司中更强，因为成长型期权占公司价值的比例更大，公司波动性对总波动率的变化反应更大。包含市场因素、市场波动风险因素和平均IVol因素的因子模型解释了价值效应和IVol折现。(JEL G12, G13, E44)收稿于2021年8月5日;编辑决定，2023年2月7日作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

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Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns

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. (JEL G12, G13, E44) Received August 5, 2021; editorial decision February 7, 2023 by Editor Hui Chen. 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.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.