实物期权和不对称波动，根据公司的增长机会

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2020-04-02 DOI:10.1080/10293523.2020.1755928

Sagi Akron, Ender Demir, Roi D. Taussig

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引用次数: 0

摘要

摘要本文提出了一种实物期权行使机制，作为对不对称波动现象的一种新的解释。我们认为不对称波动源于正冲击后的实看涨期权行使和负冲击后的实看跌期权行使。此外，我们独特地将非对称波动率与实物期权和公司成长机会联系起来。本文利用1926年至2018年期间的美国市场回报数据，证明了在产生回报波动的积极市场冲击之后，成长型公司比价值型公司行使更多的实际看涨期权。这进一步缓解了成长型企业的波动反应，从而导致更高的不对称波动。账面市值比投资组合分析提供了重要的经验证据，证明公司的增长机会加剧了不对称波动现象。

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Real options and asymmetric volatility in light of the firm’s growth opportunities

ABSTRACT This study proposes a real options exercise mechanism as a novel explanation for the asymmetric volatility phenomenon. We suggest that asymmetric volatility stems from the exercise of real call options following positive shocks and the exercise of real put options after negative shocks. Furthermore, we uniquely link asymmetric volatility to real options and firm’s growth opportunities. Using US market return data from the period spanning 1926–2018, this paper demonstrates that following a positive market shock generating return volatility, growth-firms exercise more real call options than value-firms. This further alleviates growth-firms’ volatility response, thereby resulting in higher asymmetric volatility. Book-to-market portfolio analyses provide significant empirical evidence that the firm’s growth opportunities intensify the asymmetric volatility phenomenon.

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.